Institut für Volkswirtschaftslehre
- Geld, Währung und Internationale Finanzmärkte –
Prof. Dr. Thomas Lux
Seminar in Financial Economics
Eligible within the following Master programmes: Economics, Quantitative Economics, Quantitative
Finance, BWL mit WPF VWL (PO 2007), Wirtschaftsinformatik mit Vertiefung VWL, Informatik,
Finanzmathematik
The seminar will cover a range of topics in behavioral finance, experimental finance, and agent-based
models of speculative dynamics. The seminar will run as a 4-6 (half) day course during the summer
term 2017. Students can register via OLAT. Starting on January 25th, deadline is February 10th, 2017.
The submission deadline for the seminar paper will be June, 6th, 2017. A kick-off meeting will be held
on February 15th at 10 a.m. in WSP 1-R.506 to fix dates for the seminar presentations.
Students are required to write a seminar paper (15 pages) and to present this paper, consisting of a
30 minutes oral presentation on their chosen topic and 5 minutes discussion of another topic, which
will be randomly assigned. In case of more than 26 applications, students will be admitted according
to the usual criteria. Successful participation is rewarded with 6 ECTS for Master students.
Note that according to current regulations, students can only receive credits for one seminar of the
same category (here: Financial Economics) even if they attend more than one seminar of the same
category!
1. Principles of Prospect Theory
Kahneman D. and A. Tversky, Prospect theory: An analysis of decision under risk,
Econometrica 47, 1979
Kahneman, D. and A. Tversky, Advances in prospect theory: Cumulative representation of
uncertainly, Journal of Risk and Uncertainty 5, 1992
and secondary literature
2. Prospect Theory and Asset Prices
Barberis, N. et al., Prospect theory and asset prices, Quarterly Journal of Economics 116, 2001
Li, Y. and L. Yang, Prospect theory, the disposition effect, and asset prices, Journal of
Financial Economics 107, 2013
3. Neural Representation of Economic Decision-Making Processes and Economic Theory
Bechara, A. and A. Damasio, The sematic marker hypothesis: A neural theory of economic
decisions, Games and Economic Behavior 25, 2005
Payzan-LeNestour, E. et al., The neural representation of unexpected uncertainty during
value-based decision making, Neuron 79, 2013
4. Experimental Asset Markets, Bubbles and Crashes
Smith, V. et al., Bubbles, crashes and endogenous expectations in experimental spot asset
markets, Econometrica 56, 1988
Porter, D. and V. Smith, Stock market bubbles in the laboratory, Journal of Behavioral
Finance 4, 2003
Caginalp, G. et al., Financial bubbles: Excess cash, momentum and incomplete information,
Journal of Psychology and Financial Markets 2, 2001
5. Experimental Asset Markets: More Recent Results
Sutter, M. et al., Bubbles and Information: An Experiment, Management Science 58, 2011
Michailova, J. and U. Schmidt, Overconfidence and bubbles in experimental asset markets,
Journal of Behavioral Finance 17, 2016
Kirchler, M. et al., Thar she bursts: Reducing confusion reduces bubbles, American Economic
Review 102, 2012
6. Learning-to-Forecast Experiments in Goods and Financial Markets
Bao, T. et al., Bubble Formation and (In)efficient markets in learning-to-forecast and
optimize experiments, Economic Journal, in press
-
Anufriev, M. et al., Learning to forecast with genetic algorithms, manuscript, University of
Technology Sydney, 2013.
7. Selection Mechanisms and the Survival of Irrational Traders
Benos, A., Aggressiveness and survival of overconfident traders, Journal of Financial Markets
1, 1998
Luo, G. and D. Hirshleifer, On the survival of overconfident traders in competitive securities
markets, Journal of Financial Markets 4, 2001
Gervais, S. and T. Odean, Learning to be overconfident, Review of Financial Studies 14, 2001
8. The Adaptive Market Hypothesis for Securities Market Trading
Lo, A., The adaptive market hypothesis: Market efficiency from an evolutionary perspective,
Journal of Portfolio Management 30, 2004
Farmer, D., Market force, ecology, and evolution, Industrial and Corporate Change 11, 2002
Zheng, M., Trading heterogeneity, information transparency and market efficiency,
manuscript, Chinese University of Hongkong, 2016
9. Switching between Strategies in Securities Markets: Empirical Evidence
Boswijk, H. et al., Behavioral heterogeneity in stock prices, Journal of Economic Dynamics &
Control 31, 2007
Goldbaum, D. and R. Zwinkels, An empirical investigation of heterogeneity and switching in
the foreign exchange markets, Journal of Economic Behavior & Organisation 107, 2014
10. Estimation and Comparison of Agent-Based Model of Speculative Trading
Franke, R. and F. Westerhoff, Structural stochastic volatility in asset pricing dynamics:
Estimation and model content, Journal of Economic Dynamics & Control 36, 2012
Barde, S., Direct comparison of agent-based models of herding in financial markets, Journal
of Economic Dynamics & Control, in press
Advisor for topics 1-5: Tariq Chaudhry ([email protected] )
Advisor for topics 6-10: Dr. Stephen Sacht ([email protected] )