Seminars , Courses and Events Quantitative Economics
MLSE Seminars
MLSE is a (mostly) bi-weekly seminar to foster cooperation between the Department of Microeconomics and Public Economics and the Department of Quantitative Economics. It aims to give researchers the opportunity to present their ongoing work and to facilitate cooperation
Website of MLSE : https://www.maastrichtuniversity.nl/mlse-seminar
In case you want to follow the seminar online, please let us know. Also let us know whenever you know people that would like to receive these emails.
If you would like to present in this seminar series, please send an email to either @Gonzalez Fernandez, Pedro (ALGEC) or @Triêu, Anh (KE)
Date and time: Tuesday 4 February 2025 (15:00-16:00), TS53 A0.23
Authors: Andrés Perea
Title: More reasoning, less outcomes: A monotonicity result for reasoning in dynamic games
Abstract:
A focus function in a dynamic game describes, for every player and each of his information sets, the collection of opponents' information sets he reasons about. Every focus function induces a rationalizability procedure in which a player believes, whenever possible, that his opponents choose rationally at those information sets he reasons about. Under certain conditions, I show that if the players start reasoning about more information sets, then the set of outcomes induced by the associated rationalizability procedure becomes smaller or stays the same. This result does not hold on the level of strategies, unless the players only reason about present and future information sets. The monotonicity result enables us to derive existing theorems, such as the relation in terms of outcomes between forward and backward induction reasoning, but also paves the way for new results.
Link to working paper: https://www.epicenter.name/wp-content/uploads/2024/12/Monotonicity-WP.pdf
EPICENTER Summer Course on Epistemic Game Theory
In 2025, our EPICENTER will organize the tenth
EPICENTER Summer Course on Epistemic Game Theory
Reasoning in Static and Dynamic Games
Maastricht University, June 30 – July 11, 2025
Website: Detailed information about the course, and how to register, can be found on the course website https://www.epicenter.name/summercourse/ .
About the course: Are you interested in game theory, and its relation to human reasoning and decision making? Then this is the perfect course for you.
In this course we explore game theoretic situations from an epistemic perspective, by zooming in on the reasoning of a player before he makes a decision in the game. This reasoning does not only concern the possible choices of his opponents, but also the beliefs that his opponents may have before they make a choice.
The course consists of three parts: standard reasoning in static games, cautious reasoning in static games, and reasoning in dynamic games.
In static games, the players only make one choice, and choose in complete ignorance of the other players' choices. For standard reasoning we focus on the central reasoning concept of common belief in rationality, and investigate what happens if we add a correct beliefs assumption.
Cautious reasoning means thar a player, before he makes a choice himself, does not completely discard any opponent's choice from consideration. For this part we will investigate different variants of common belief in rationality.
In dynamic games, a player may have to make more than one choice, and may fully or partially observe what other players have done before he makes a choice himself. We explore backward and forward induction reasoning, embodied by the reasoning concepts of common belief in future rationality and common strong belief in rationality.
The course is open to advanced bachelor students, master students, PhD students and researchers all over the world.
Book: This course is based on the textbook Epistemic Game Theory: Reasoning and Choice by Andrés Perea, which was published by Cambridge University Press in 2012.
Difference with previous edition: In 2024 we provided a course on incomplete information, unawareness and psychological games. To follow this year’s course, it is not necessary to have followed the previous edition. In fact, you should be able to follow this year’s course without having any prior knowledge about game theory. The course is completely self-contained.
Forward: Please forward this message to all people whom you think might be interested.
Questions? Please send an E-mail to Andrés Perea at: course@epicenter.name
Operations Research Programme 2025
Joint ORBEL - NGB conference on Operations Research at Maastricht University
29 January 2025 12:00 - 31 January 2025 16:15
Joint ORBEL - NGB Conference on Operations Research
The conference is intended as a meeting place for researchers, users and potential users of Operational Research, Statistics, Computer Science and related fields. It will provide managers, practitioners, and researchers with a unique opportunity to exchange information on quantitative techniques for decision-making.
The joint conference will take place at the School of Business and Economics of Maastricht University, and will be organized by the Department of Quantitative Economics, section Operations Research.
The objective of Operational Researchers is to work with clients to find practical and pragmatic solutions to operational or strategic problems, often working within tight timing constraints. Once a good or better way of proceeding has been identified, Operational Researchers can also be central to the management of implementing the proposed changes.
Organizations may seek an extensive range of operational improvements - for example, greater efficiency, better customer service, higher quality or lower cost. Whatever the business engineering aim, OR can offer the flexibility and adaptability to provide objective help. Most of the problems OR tackles are messy and complex, often entailing considerable uncertainty. OR can use advanced quantitative methods, modelling, problem structuring, simulation and other analytical techniques to examine assumptions, facilitate an in-depth understanding and decide on practical action.
Econometric Seminars Programme 2025
Author: Rosnel Sessinou (Erasmus University Rotterdam)
Wednesday 12 February 2025 15:00 PM 16:00 PM TS53 Room info later
Title: Validating a Selected Model: Encompassing, Progression, and Redundancy Testing
Abstract: Testing for encompassing is a necessary preliminary step before conducting valid post-selection inference, such as efficient market hypothesis testing. However, no existing test accommodates high-dimensional stationary data, such as the US factor zoo dataset. This paper introduces a Subseries-based Cauchy Combination Test (SCT) that fills this gap. SCT is a (high-dimensional) score test that bypasses the need to estimate large covariance matrices; unlike the Wald or J tests, it outperforms in low and high dimensions. SCT is unbiased and has power at least equal to the minimum p-value test or sup-score test powers. When developing linear factor models, SCT enables reproducibility, redundancy, or progression testing. Applying SCT to US equity market data from 1964 to 2020 reveals that some prominent US factor models can span the mean-variance efficient frontier of US blue-chip stocks even if these models are all misspecified. In line with the recent literature, SCT fails to reject the null hypothesis of a replication crisis, suggesting no widespread breakdown in the factors' performance. However, SCT also fails to reject the null hypotheses of factor redundancy in the US factor zoo and, therefore, that of a progression crisis in the asset pricing literature during the same period.
Author: Barend Spanjers (VU Amsterdam)
Wednesday 26 March 15:00 PM-16:00 PM
Details follow.
Author: Jad Beyhum (KU Leuven)
Wednesday 2 April 15:00 PM-16:00 PM
Details follow.
For previous seminars, please see our archive