Discovery Early Career Researcher Award - Grant ID: DE130100819
Funder
Australian Research Council
Funding Amount
$281,600.00
Summary
Measuring the improbable: optimal Monte Carlo methods for rare event simulation of maxima of dependent random variables. Some events occurring with low frequency can have dramatic consequences: natural catastrophes, economic crises, system malfunctions. Estimating their probabilities is a very difficult problem. This project will develop new simulation methods capable of delivering the most precise and efficient estimators for the probabilities of such events.
Improving Choice Models: Multiple Goal Pursuit and Multi-Stage Decision Processes. This project aims to develop new econometric models of choice behaviour that recognise individuals adopt “how to decide” strategies when choosing between alternatives. Existing models simplistically assume that people evaluate all goods and choose the best of them, when in fact they ignore some goods, select what information is relevant, pursue multiple goals, and otherwise deviate from the assumptions commonly ma ....Improving Choice Models: Multiple Goal Pursuit and Multi-Stage Decision Processes. This project aims to develop new econometric models of choice behaviour that recognise individuals adopt “how to decide” strategies when choosing between alternatives. Existing models simplistically assume that people evaluate all goods and choose the best of them, when in fact they ignore some goods, select what information is relevant, pursue multiple goals, and otherwise deviate from the assumptions commonly made in econometric models. Filling in this significant gap in the choice modelling literature constitutes a significant contribution to improving our understanding of human decision making and policy analysis in every area of human endeavour.Read moreRead less
Accounting for preference seperability in stated choice experiments. This project aims to unite three separate streams of applied economic research into a single framework in order to develop a micro-economically consistent framework for demand forecasting and analysis. Forecasting demand to improve product performance or policy impacts requires realistic representations of how humans actually make choices. Combining theories of preference separability with recent developments in both activity a ....Accounting for preference seperability in stated choice experiments. This project aims to unite three separate streams of applied economic research into a single framework in order to develop a micro-economically consistent framework for demand forecasting and analysis. Forecasting demand to improve product performance or policy impacts requires realistic representations of how humans actually make choices. Combining theories of preference separability with recent developments in both activity and time use modelling and stated choice techniques, the project plans to develop new insights into consumer equilibrium as well as new econometric methods to test for the assumption of preference separability. Project outcomes would lead to an improved understanding of consumer behaviour as well as demand forecasting, with benefits to studies involving the need for benefit cost comparisons.Read moreRead less
Fair pricing of superannuation guaranteed benefits with downturn risk. Australians have more than $2.7 trillion in superannuation assets, meaning that Australia is the fourth largest holder of pension fund assets worldwide. Hence the impact of market fluctuations on financial well-being of retirees can be detrimental, especially during market downturns associated with economic crises. The finance industry addresses this issue by complementing variable annuities with riders designed to protect th ....Fair pricing of superannuation guaranteed benefits with downturn risk. Australians have more than $2.7 trillion in superannuation assets, meaning that Australia is the fourth largest holder of pension fund assets worldwide. Hence the impact of market fluctuations on financial well-being of retirees can be detrimental, especially during market downturns associated with economic crises. The finance industry addresses this issue by complementing variable annuities with riders designed to protect the income stream of retirees. This project aims to develop a novel approach to fair pricing and optimal withdrawals and surrender policies for superannuation guaranteed benefit products through a comprehensive analysis of complex optimisation problems in stochastic models of financial markets with downturn risk.Read moreRead less
Multi-person stochastic games with idiosyncratic information flows. The project will develop rigorous mathematical techniques aiming to quantify the impact of different information flows on solutions to decision making problems under uncertainty that are frequently encountered in Financial Economics, Mathematical Finance and Social Sciences.
Heuristic-based behavioural models with an application to macroeconomics. This project will develop behavioural micro-foundations for economic models with heterogeneous agents. In these models the interaction of decision rules used by agents leads to complex phenomena at the aggregate level, for example, the cycles of bubbles and crashes. The agents switch between decision rules on the basis of past performance. However, a broad range of specifications of the rules and switching mechanisms has l ....Heuristic-based behavioural models with an application to macroeconomics. This project will develop behavioural micro-foundations for economic models with heterogeneous agents. In these models the interaction of decision rules used by agents leads to complex phenomena at the aggregate level, for example, the cycles of bubbles and crashes. The agents switch between decision rules on the basis of past performance. However, a broad range of specifications of the rules and switching mechanisms has led to many degrees of freedom in modelling. In this project, laboratory experiments with paid human subjects will be used to discipline this modelling. The resulting models will improve macroeconomic and financial policy responses to volatile market conditions.Read moreRead less
Discovery Early Career Researcher Award - Grant ID: DE120101426
Funder
Australian Research Council
Funding Amount
$375,000.00
Summary
Understanding industrialisation, entrepreneurship, and technology adoption in emerging economies: new evidence from historical Japanese firms. Japan's pre-war industrialisation is widely used as a model by emerging economies, despite a lack of detailed data. This project provides a new firm-level dataset from hitherto unused archives, which allows empirical testing of theories about entrepreneurial activity, technology adoption, financial access, and other determinants of economic growth.
Information design, cognitive abilities and macro-economic stability. This project aims to improve our understanding of individual decision making in financial markets and its implications for macro-economic stability. Using laboratory and internet experiments, models of adaptive choice behaviour will be developed and validated. The project will help to gain insight into how past information, and the way it is presented, affects investment decisions, which individual characteristics matter for d ....Information design, cognitive abilities and macro-economic stability. This project aims to improve our understanding of individual decision making in financial markets and its implications for macro-economic stability. Using laboratory and internet experiments, models of adaptive choice behaviour will be developed and validated. The project will help to gain insight into how past information, and the way it is presented, affects investment decisions, which individual characteristics matter for decisions, and how this behaviour translates into the evolution of aggregate macro-economic variables. The expected outcomes of the project will have the potential to improve the design of tools for better individual financial decision making, to stabilize volatile markets and to enhance economic welfare.Read moreRead less
Can green investors drive the transition to a low emissions economy? The project aims to develop a game-theoretical approach to model the impact of climate change on financial markets by studying the interactions between the government, companies and investors. Expected outcomes include novel solution concepts for stochastic games with heterogeneous beliefs, asymmetric information, and model uncertainty, as well as optimal investment and production strategies under climate driven economic transi ....Can green investors drive the transition to a low emissions economy? The project aims to develop a game-theoretical approach to model the impact of climate change on financial markets by studying the interactions between the government, companies and investors. Expected outcomes include novel solution concepts for stochastic games with heterogeneous beliefs, asymmetric information, and model uncertainty, as well as optimal investment and production strategies under climate driven economic transitions. Results will be used to validate and improve the recently launched Australian based climate transition index. The project should yield significant benefits for the financial industry and investors by providing novel insights into financial risks during the transition to a low emissions economy.Read moreRead less
Discovery Early Career Researcher Award - Grant ID: DE200100896
Funder
Australian Research Council
Funding Amount
$427,008.00
Summary
How to beat model uncertainty with more information. Experience of the 2008 financial crisis exposed a weakness in our over-reliance on mathematical models. The main aim of this project is to develop mathematical tools to investigate the role of information in reducing model uncertainty. The project will undertake pressing research in robust finance, which is now one of the most active and dynamic topics in financial mathematics. It expects to quantify the value of information under uncertainty ....How to beat model uncertainty with more information. Experience of the 2008 financial crisis exposed a weakness in our over-reliance on mathematical models. The main aim of this project is to develop mathematical tools to investigate the role of information in reducing model uncertainty. The project will undertake pressing research in robust finance, which is now one of the most active and dynamic topics in financial mathematics. It expects to quantify the value of information under uncertainty in mathematical modelling. It will generate new knowledge in probability theory and stochastic processes providing a significant mathematical contribution in its own right.Read moreRead less