Department of Economics
New York University

DOUGLAS GALE

Financial Economics Workshop

Fall 2004

This fall, we will be offering a workshop in Financial Economics.

Space is limited so you must get permission from the instructor if you wish to attend (you can do this by e-mailing douglas.gale@nyu.edu). If you want to take the workshop for credit, you can register for Topics in Econ: Financial Economics Workshop G31.3001-04.

The workshop is aimed at students who have already passed the field exam. It will meet on Fridays from 10:00 AM to 12:00 noon in 269 Mercer, Room 712 and will serve two main purposes:

  • a forum in which to present and discuss your research and
  • a reading group for research topics you are interested in.
This year, the reading part of the course will emphasize topics on learning and information aggregation. The focus for our reading will be the new book by Christophe Chamley, Rational Herds: Economic Models of Social Learning. Cambridge, UK and New York, USA: Cambridge University Press (2004). It would be helpful if you get the book as soon as possible and read Chapter 2 "Bayesian Tools" and Chapter 3 "Social Learning with Common Memory" as background. Much of this material will be familiar to most of you but it is good to make sure that we are all "up to speed".
Schedule

The following is a tentative outline of the topics to be covered in the first half of the semester. The chapters listed here are from Chamley's book Rational Herds. While using the book to organize our discussions, we will also look at some of the important papers in the literature.
September 10
Organizational meeting. Introduction to basic ideas of social learning

Reading:
Chapter 4 "Cascades and Herds"
Lecture notes on social learning
Lecture notes on Smith and Sorenson (2000)

September 17
Social Learning with Imperfect Information

Reading:
Chapter 5 "Limited Memories"
Bogachan Celen and Shachar Kariv  "Observational Learning under Imperfect Information"
(presented by Bogachan Celen, Columbia Business School)

September 24
Models of Social Learning with Endogenous Timing

Reading:
Chapter 6 "Delay," Chapter 7: "More Delays"
Christophe Chamley and Douglas Gale "Information and Strategic Delay in a Model of Investment"
(presented by Niyati Ahuja)

October 1
Learning in Networks

Reading:
Chapter 9 "Networks"
Douglas Gale and Shachar Kariv "Bayesian Learning in Social Networks"
(presented by Syngjoo Choi)

October 8
Learning from Prices

Reading:
Chapter 14 "Sequences of Financial Trades"
Marco Cipriani and Antonio Guarino "Herd Behavior and Contagion in Financial Markets"
(Presented by Marco Cipriani, George Washington U.)

October 15
Slow Learning

Reading:
Chapter 15 "Gaussian Financial Markets"
Xavier Vives "How Fast Do Rational Agents Learn?"
(presented by Pritha Dev)

October 22
Crises and Bubbles

Reading:
Chapter 16 "Financial Frenzies"
Dilip Abreu and Marcus Brunnermeier "Bubbles and Crashes"
(Presented by Eren Tufekci)

Research presentations

 October 29

Jinyong Kim "Time-Series Restrictions for the Cross-Section of Expected Returns: Testing  Conditional CCAPMs"
Onur Ozgur "A Model of Dynamic Liquidity Contracts"

November 5 -- No meeting today

November 12

 Eren Tufekci
Sadi Ozelge

November 19

Tomasz Piskorski
Luis Hall

November 26 -- Thanksgiving

December 3

Andrea Ferrero "The Effect of the Euro on the Choice between Private and Public Debt"
Bei Zhang "Notes on Berk and Green 'Mutual Fund Flows and Performance in Rational Markets'."