Peter Winker

Erricos Kontoghiorghes

Berc Rustem

Computational models and methods are central to the analysis of economic and financial decisions. Simulation and optimisation are widely used as tools of analysis, modelling and testing. The focus of this book is the development of computational methods and analytical models in financial engineering that rely on computation. The book contains eighteen chapters written by leading researchers in the area on portfolio optimization and option pricing; estimation and classification; banking; risk and macroeconomic modelling. It explores and brings together current research tools and will be of interest to researchers, analysts and practitioners in policy and investment decisions in economics and finance.

Essays in Honour of Manfred Gilli

Computational Methods in Financial Engineering

Blake LeBaron

This special issue of the Journal of Economics and Statistics is devoted to the use of agent-based models for economic policy advice. It presents a collection of research papers in different fields of applications. Special emphasis is laid on discussing the potential and possible limitations of agent-based models for economic policy advice. The editorial provides an overview on the role of agent-based modeling in economic policy referring also to the papers presented. Furthermore, it highlights the strength of the approach, i.e., the explicit microfoundation and the modeling of heterogenous agents. Finally, we also report on current limitations of the method with regard to economic policy advice and point at some areas deserving further research.

Sonderausgabe von Heft 2+3/Bd. 228 Jahrbücher für Nationalökonomie und Statistik

Agent Based Models for Economic Policy Advice

Praxisbezogen und gut verständlich: Dieses Buch führt Studierende der Wirtschaftswissenschaften und benachbarter Fächer in die wichtigsten Methoden der angewandten Wirtschaftsforschung, einschließlich der Ökonometrie, ein. Es betrachtet u.a. die Bereiche Daten (Grundlage und Aufbereitung), Wirtschaftsindikatoren, Input-Output-Analyse, ökonometrische Verfahren, Trend- und Saisonbereinigung, Simulation, Prognose. Mit anschaulichen Fallbeispielen.

Empirische Wirtschaftsforschung und Ökonometrie

Wolfgang Franz

Themenheft 3/Bd. 233 (2013) Jahrbücher für Nationalökonomie und Statistik

150 Years Journal of Economics and Statistics

Many problems in statistics and econometrics offer themselves naturally to the use of optimization heuristics. Standard methods applied to highly complex problems often produce approximate results, of unknown quality, based on heavy assumptions. Optimization heuristic methods provide powerful results to many complex problems, combined with relatively simple implementation. The techniques used in optimization heurisitics can be applied to problems encountered in econometrics, statistics and operations research. * Offers a self-contained introduction to optimization heuristics in econometrics and statistics * Features many examples of optimization heuristic methods applied to real problems * Includes detailed coverage of the threshold accepting heuristic methods applied to real problems * Provides suggestions for further reading Split into three parts, the book opens with a general introduction to optimization in statistics and econometrics, followed by detailed discussion of a relatively new and very powerful optimization heuristic, threshold accepting. The final part consists of many applications of the methods described earlier, encompassing experimental design, model selection, aggregation of time series, and censored quantile regression models. Those researching and working in econometrics, statistics and operations research are given the tools to apply optimization heuristic methods to real problems in their work. Postgraduate students of statistics and econometrics will find the book provides a good introduction to optimization heuristic methods.

Peter Winker

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