During the Summer of 2020, the CMSA will be hosting a periodic Social Science Applications Seminar.
The list of speakers is below and will be updated as details are confirmed.
|7/13/2020 10:00-11:00am ET||Ludovic Tangpi (Princeton)||Please note, this seminar will take place online using Zoom. |
Title: Convergence of Large Population Games to Mean Field Games with Interaction Through the Controls
Abstract: This work considers stochastic differential games with a large number of players, whose costs and dynamics interact through the empirical distribution of both their states and their controls. We develop a framework to prove convergence of finite-player games to the asymptotic mean field game. Our approach is based on the concept of propagation of chaos for forward and backward weakly interacting particles which we investigate by fully probabilistic methods, and which appear to be of independent interest. These propagation of chaos arguments allow to derive moment and concentration bounds for the convergence of both Nash equilibria and social optima in non-cooperative and cooperative games, respectively. Incidentally, we also obtain convergence of a system of second order parabolic partial differential equations on finite dimensional spaces to a second order parabolic partial differential equation on the Wasserstein space.
For security reasons, you will have to show your full name to join the meeting.
|Michael Ewens (Caltech)||Please note, this seminar will take place online using Zoom. |
Title: Measuring Intangible Capital with Market Prices
Abstract: Despite the importance of intangibles in today’s economy, current standards prohibit the capitalization of internally created knowledge and organizational capital, resulting in a downward bias of reported assets. As a result, researchers estimate this value by capitalizing prior flows of R&D and SG&A. In doing so, a set of capitalization parameters, i.e. the R&D depreciation rate and the fraction of SG&A that represents a long-lived asset, must be assumed. Parameters now in use are derived from models with strong assumptions or are ad hoc. We develop a capitalization model that motivates the use of market prices of intangibles to estimate these parameters. Two settings provide intangible asset values: (1) publicly traded equity prices and (2) acquisition prices. We use these parameters to estimate intangible capital stocks and subject them to an extensive set of diagnostic analyses that compare them with stocks estimated using existing parameters. Intangible stocks developed from exit price parameters outperform both stocks developed by publicly traded parameters and those stocks developed with existing estimates. (Joint work with Ryan Peters and Sean Wang.)