DCSM Workshop

DCSM Workshop

Dynamic Computational Statistical Models (DCSM Workshop) for Socioeconomic and Geopolitical Systems: Spring Semester 2012, NYU Courant Institute


Lecture 15: May 15 2012 Class presentations #5: Patel LV-Social Media

Lecture 14: May 8 2012: Class presentation #3: Blaclard Chaja GoogleTrends Prediction, Class presentation #4: Bean – Learning in networks

Lecture 13: May 1 2012: Guest Lecturer Paul Romer (bio1) (2) Paul Romer – Courant Lecture Paul’s TED talk

Lecture 12: April 24 2012 Guest Lecturer Charles Epstein (bio) Epstein Bibliography. Epstein and Schotland: Bad Truth about Laplace’s Transforms. Epstein Lecture
Class Presentation #2: Blaclard Chaja Optimization_SocialWelfare

Lecture 11: April 17 2012 Guest Lecturer Thomas Mertens (bio)Thomas Mertens High dimensionality 201204
Recommended Reading (assigned by the course instructor):

Hansen, Polson, Sargent: Nonlinear Filtering and Robust Learning; Polson Bayes Logit; 2) Culp, Cochrane: Equilibrium Asset Pricing and Discount Factors: Overview and Implications for Derivatives Valuation and Risk Management

Lecture 10: April 10 2012 Guest Lecturer Drew Conway: Drew Conway Socio_Terrorism Slides

Lecture 9: April 3 2012 Guest Lecturer Michael Kwak (bio):  In our April 3rd session, Michael Kwak simulated some of the compound distributions that we have discussed during our previous sessions. Attendees were invited to participate actively during the class, by downloading a free trial version of the software that he used for his demonstration (..simulation demo software..) Michael Kwak Slides DCSM Workshop
Recommended Reading (assigned by the course instructor):
Liao: Stock Option Pricing Using Bayes Filters; 2) Hore, Johannes, Lopes, McCulloch and Polson: Bayesian Computation in Finance

Lecture 8: March 27 2012
Class Presentation #1 Ballard:  Ballard – A Network Model of Sorting in EducationBallard – code
Lowrance on the Stein Estimator: James-Stein Estimator – Lowrance

Lecture 7: Computational Statistical Modeling_Lecture #7 March 20 2012 
Required Reading:
Casella et al: Bayesian Lasso_Casella et al_10.

Lecture 6: Computational Statistical Modeling_Lecture #6 March 6 2012

Lecture 5: Computational Statistical Modeling_Lecture #5 Feb 28 2012
Required Reading:
Brian Arthur AER (1991) Designing economic agents that act like human agents: A behavioral approach

Lecture 4:  Computational Statistical Modeling_Lecture #4 Feb 21 2012
Required Reading:
Sargent: “Bounded Rationality in Macroeconomics”, Chapters 4 and 5

Lecture 3: Computational Statistical Modeling_Lecture #3 Feb 7 2012
Required Reading:
Holst: The Poisson Dirichlet Distribution

Lecture 2: Computational Statistical Modeling_Lecture #2 Jan 31 2012
Required Reading:
1) Cook: Notes on the Negative Binomial distribution; 2) Frigyik, Kapila, Gupta: Introduction to the Dirichlet Distribution and Related Processes  3) M. Aoki and H. Yoshikawa “Reconstructing Macroeconomics” Chapters 5, 8, 9

Lecture 1: Computational Statistical Modeling_Lecture #1 Jan 24 2012 
Required Reading:  1) Aoki, M. “Reconstructing Macroeconomics …” Ch. 1, 2;  2) Epstein, J.M.”Nonlinear Dynamics, Mathematical Biology and Social Science” Lecture #1;  3) Bueno de Mesquita, B. “Predicting Politics” Ch. 3
Recommended Reading: 1) Aoki, M.”Modeling Aggregate Behavior …” Ch. 1, 2, 4; 2) “New Approaches to Macroeconomic Modeling …” Ch. 1, 2.4, 2.5, 3.1 Schelling, T. “Micromotives and Macrobehavior” Chapter on mixing and sorting model of segregation.
Research Project Assignment: organize into groups and discuss project ideas to present at least one abstract in two weeks for group voting; the following week’s submission will be literature survey review and summary.

Download DSCM Workshop Outline

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