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DTSTART;TZID=America/New_York:20190207T163000
DTEND;TZID=America/New_York:20190207T173000
DTSTAMP:20240514T182948Z
CREATED:20240212T101329Z
LAST-MODIFIED:20240514T182948Z
UID:10001963-1549557000-1549560600@cmsa.fas.harvard.edu
SUMMARY:Inference for the Mean
DESCRIPTION:Speaker: Ulrich Mueller (Princeton) \nTitle: Inference for the Mean \nAbstract: Consider inference about the mean of a population with finite variance\, based on an i.i.d. sample. The usual t-statistic yields correct inference in large samples\, but heavy tails induce poor small sample behavior. This paper combines extreme value theory for the smallest and largest observations with a normal approximation for the t-statistic of a truncated sample to obtain more accurate inference. This alternative approximation is shown to provide a refinement over the standard normal approximation to the full sample t-statistic under more than two but less than three moments\, while the bootstrap does not. Small sample simulations suggest substantial size improvements over the bootstrap.
URL:https://cmsa.fas.harvard.edu/event/2-7-2019-colloquium/
LOCATION:CMSA\, 20 Garden Street\, Cambridge\, MA\, 02138\, United States
CATEGORIES:Colloquium
ATTACH;FMTTYPE=image/png:https://cmsa.fas.harvard.edu/media/CMSA-Colloquium-020719.png
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BEGIN:VEVENT
DTSTART;TZID=America/New_York:20190220T163000
DTEND;TZID=America/New_York:20190220T173000
DTSTAMP:20240514T182813Z
CREATED:20240212T114533Z
LAST-MODIFIED:20240514T182813Z
UID:10002102-1550680200-1550683800@cmsa.fas.harvard.edu
SUMMARY:Optimally Imprecise Memory and Biased Forecasts
DESCRIPTION:Speaker: Michael Woodford (Columbia) \nTitle: Optimally Imprecise Memory and Biased Forecasts \nAbstract: We propose a model of optimal decision making subject to a memory constraint. The constraint is a limit on the complexity of memory measured using Shannon’s mutual information\, as in models of rational inattention; the structure of the imprecise memory is optimized (for a given decision problem and noisy environment) subject to this constraint. We characterize the form of the optimally imprecise memory\, and show that the model implies that both forecasts and actions will exhibit idiosyncratic random variation; that beliefs will fluctuate forever around the rational-expectations (perfect-memory) beliefs with a variance that does not fall to zero; and that more recent news will be given disproportionate weight. The model provides a simple explanation for a number of features of observed forecast bias in laboratory and field settings. [Joint work with Rava Azeredo da Silveira and Yeji Sung
URL:https://cmsa.fas.harvard.edu/event/2-20-2019-colloquium/
LOCATION:CMSA\, 20 Garden Street\, Cambridge\, MA\, 02138\, United States
CATEGORIES:Colloquium
ATTACH;FMTTYPE=image/png:https://cmsa.fas.harvard.edu/media/CMSA-Colloquium-022019-791x1024-1.png
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/New_York:20190227T143000
DTEND;TZID=America/New_York:20190227T153000
DTSTAMP:20240514T182606Z
CREATED:20240212T102330Z
LAST-MODIFIED:20240514T182606Z
UID:10001978-1551277800-1551281400@cmsa.fas.harvard.edu
SUMMARY:Sentiment and Speculation in a Market with Heterogeneous Beliefs
DESCRIPTION:Speaker: Ian Martin (LSE) \nTitle: Sentiment and Speculation in a Market with Heterogeneous Beliefs \nAbstract: We present a dynamic model featuring risk-averse investors with heterogeneous beliefs. Individual investors have stable beliefs and risk aversion\, but agents who were correct in hindsight become relatively wealthy; their beliefs are overrepresented in market sentiment\, so “the market” is bullish following good news and bearish following bad news. Extreme states are far more important than in a homogeneous economy. Investors understand that sentiment drives volatility up\, and demand high risk premia in compensation. Moderate investors supply liquidity: they trade against market sentiment in the hope of capturing a variance risk premium created by the presence of extremists. [Joint work with Dimitris Papadimitriou] \n  \n 
URL:https://cmsa.fas.harvard.edu/event/2-27-2019-colloquium/
LOCATION:CMSA\, 20 Garden Street\, Cambridge\, MA\, 02138\, United States
CATEGORIES:Colloquium
ATTACH;FMTTYPE=image/png:https://cmsa.fas.harvard.edu/media/CMSA-Colloquium-022719-e1550767365109.png
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/New_York:20190228T143000
DTEND;TZID=America/New_York:20190228T150000
DTSTAMP:20240514T182343Z
CREATED:20240212T104226Z
LAST-MODIFIED:20240514T182343Z
UID:10002002-1551364200-1551366000@cmsa.fas.harvard.edu
SUMMARY:A sharp transition for Gibbs measures associated to the nonlinear Schrödinger equation
DESCRIPTION:Speaker: Philippe Sosoe (Cornell) \nTitle: A sharp transition for Gibbs measures associated to the nonlinear Schrödinger equation \nAbstract: In 1987\, Lebowitz\, Rose and Speer (LRS) showed how to construct formally invariant measures for the nonlinear Schrödinger equation on the torus. This seminal contribution spurred a large amount of activity in the area of partial differential equations with random initial data. In this talk\, I will explain LRS’s result\, and discuss a sharp transition in the construction of the Gibbs-type invariant measures considered by these authors. (Joint work with Tadahiro Oh and Leonardo Tolomeo)
URL:https://cmsa.fas.harvard.edu/event/3-6-2019-colloquium/
LOCATION:CMSA\, 20 Garden Street\, Cambridge\, MA\, 02138\, United States
CATEGORIES:Colloquium
ATTACH;FMTTYPE=image/png:https://cmsa.fas.harvard.edu/media/CMSA-Colloquium-030619-791x1024-1.png
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