Laissez-faire or policing social networks?

June 3, 2020

#4 worldwide in 2019 QS ranking Masters in Business Analytics

September 26, 2018

Et si on réinitialisait les réseaux sociaux

September 23, 2018

Beware of weak links in large datasets

August 7, 2018

Data Science and Artistic Creation

January 12, 2018

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August 2, 2015

Isaac Asimov, one of the masters of Anticipation, aka Sci-Fi, invented the concept of Psychohistory in his novel FOUNDATION (1951). Well, I believe what psychohistory is really describing is (macro)econometrics when it works perfectly, if it ever does.

 

Indeed, if I quote wikipedia's description of psychohistory, it relies on the following axioms:

 

Psychohistory depends on the idea that, while one cannot foresee the actions of a particular individual, the laws of statistics as applied to large groups of people could predict the general flow of future events. [...]

Asimov applied this concept to the population of his fictional Galactic Empire, which numbered a quintillion. The character responsible for the science's creation, Hari Seldon, established two axioms:...

July 7, 2015

The NBER Summer Institute has started again and economists from around the world are now congregating in Boston to discuss their recent work. I wrote last year on the topics that people were interested in. Greece is clearly at the center of discussions and we had today a very intesting interaction with the Governor of the Bank of Japan. There will be a special session on the Greek crisis on Thursday and I'm looking forward to it. 

I mostly go to the Econometrics and Forecasting group whose presentations started this morning with in particular Marcelo Medeiros from PUC-Rio on Adaptive Lasso, an interesting method for big data applications. Giorgio Primiceri from Northwestern also presented an interested approach to Bayesian Priors for deterministic terms in VA...

March 19, 2015

I have now arrived in Oslo for the 23rd Symposium of the Society for Nonlinear Dynamics & Econometrics. This is a conference that I like very much for it's always a nice mix of theory and empirical work from people in academia and Central banks the world over. The BI Norwegian Business School has an impressive architecture.

 

The paper I present shows an interesting source of dependence over long period. We show (with my two coauthors Alain Hecq from Maastricht University and Sébastien Laurent from Aix-Marseille University and GREQAM) that types of persistence that are commonly observed (e.g. the so called Golden Rule of realized volatilities) can actually arise from dependence across a very large number of variables (such as traded assets in financial ma...

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