The objective of this conference is to bring together researchers working on important economic research analyzing extreme events, ambiguity and expectations.
Keynote Speakers are Charles Manski (Northwestern University) and David Schmeidler (Interdisciplinary Center Herzliya, and Tel Aviv University).
Distinguished Lecturers are Richard Davis (Columbia University) and Amos Golan (Info-Metrics Institute, American University).
The Fourth Annual Conference on Extreme Events, Expectations, and Decisions is organized by Lorán Chollete from UiS Business School and funded by Finansmarkedsfondet, Research Council of Norway.
Increase in Impact of Extreme Events
This annual conference series has a long-term focus on improved understanding of the modern financial system, and is motivated by current economic developments. In recent years there has been a noticeable increase in the frequency and impact of extreme events. These include currency crashes and default (East Asia in 1994, Russia in 1998, Argentina in 2001), liquidity crises (LTCM in 1998), the financial crisis and ensuing Great Recession from 2008 to 2010, and the current Euro zone debt crisis.
At the same time, natural and technological disasters have figured prominently in socioeconomic life, including Hurricane Katrina in 2005, the Haiti earthquakes in 2010, and the Japan earthquake and nuclear meltdown in 2011. Extreme events are sometimes correlated across markets, which makes their impact more severe.
When extremes occur simultaneously, new modeling approaches are needed by academics, practitioners and regulators. These approaches include statistical techniques for extreme value estimation and quick detection of structural change; analyzing investor behavior in thin markets; improving warning signals of systemic risk; and developing models of decisions and expectations formation in the face of ambiguity.
Importance of Ambiguity
Economic decisions involve non-routine events where ambiguity may be pervasive. Due to interconnection across businesses and markets, investors and policymakers have incomplete information about the actual amount of uncertainty they face. This situation represents an immense challenge, since it is not always possible to define an optimal decision. Such ambiguity significantly alters expectations, inference and decisions, and therefore can affect the real economy.
Papers cover several topics, including:
- Estimating and forecasting aggregate uncertainty
- Theory and applications of partial identification
- Decision-making in environments of ambiguity and thin markets
- Statistical approaches to estimating and forecasting extreme events
- Financial aspects of extreme events and tail risk
The conference aims to enhance our understanding of market behavior during tumultuous economic periods like the present, with a focus on improving market performance over the long term.
View the programme
The conference takes place in Ellen og Axel Lunds Hus, room 317.