第１１１回「非線形・統計力学とその周辺」セミナーのご案内

日時：平成２２年１１月２２日（月）１４時３０分から

場所：京都大学工学部総合校舎４０６号室（吉田キャンパス）

講演者： Thomas LUX (Institute of Economics, the University of Kiel, Germany)

講演題目：
Explaining and Forecasting the Psychological Component of Economic Activity

講演要旨：

We develop a methodology for estimating the parameters of dynamic opinion 
or expectation formation processes with social interactions. 
We study a simple stochastic framework of a collective process of opinion formation 
by a group of agents who face a binary decision problem. 
The aggregate dynamics of the individuals' decisions 
can be analyzed via the stochastic process governing the ensemble average of choices. 
Numerical approximations to the transient density for this ensemble average 
allow the evaluation of the likelihood function 
on the base of discrete observations of the social dynamics. 
This generic approach can be used to estimate the parameters of 
various opinion formation processes from a variety of available aggregate data. 
Our applications include: 
(i) identification of interaction effects 
in a well-known business climate index as well as 
(ii) analysis of sentiment data from the German stock market. 
In both cases we find strong evidence of strong social interactions 
with the potential of generating abrupt swings 
in the average mood of respondents. In this way, 
the psychological component or the imprints of ‘animal spirits’ 
in economic data can be identified.