Graphon Mean Field Games: A Dynamical Equilibrium Theory for a Networked World

Speaker: Peter Caines from McGill University Date and Time: 03/06/20, 11am-12 Room: SH203 Abstract: The complexity of large population multi-agent dynamical systems, such as occur in economics, communication systems, and environmental and transportation systems, makes centralized control infeasible and classical game theoretic solutions intractable. In this talk we first present the Mean Field Game (MFG) theory of large population […]

Dynamic Noisy Rational Expectations Equilibrium with Heterogeneous Information.

Speaker: Scott Robertson from Boston University Date and Time: 02/24/20, 4-5pm Room: SH306 Abstract: In this talk, we consider equilibria in the presence of asymmetric information and misinformed agents (noise traders). We establish existence of two equilibria. First, a full communication one where the informed agents’ signal is disclosed to the market, and static policies are optimal. […]

Dynamic Index Tracking and Risk Exposure Control Using Derivatives

Speaker: Tim Leung from UW-Seattle Date and Time: 03/23/2020,  4-5pm Abstract: A common challenge faced by many institutional and retail investors is to effectively control risk exposure to various market factors. There is a great variety of indices designed to provide different types of exposures across sectors and asset classes. Some of these indices can be difficult […]