SemesterSpring Semester, 2020
DepartmentPhD Program of Economics, First Year
Course NameMacroeconomic Theory(IV)
Course TypeRequired
Course Objective
Course Description
Course Schedule

General Specification:

(a) The student is expected to spend 12 hours per week on this course, which means 9-hour preparation and review work plus 3-hour class attendance.

(b) The assignment (the reading and the homework) will be given at the end of each ppt of the lecture.

(c) There will be a total of 16 lectures given in the class, the rest of the two weeks are one reserved for the midterm (Week 9, April 13) and one reserved for the final exam (Week 17, June 8). 

Weekly Progress

Week One (Lectured on Feb 17, 2020)

The Overview of the Class

(a) Wherefore Agent-Based Modeling

(b) The Crisis of Economy and the Crisis of Economics

(c) Market Origin of Agent-Based Modeling

(d) From the Non-Tanonnement Process to Macroeconomics

Week Two (Lectured on Feb  24, 2020)

An Introduction to Computational Social Science

(a) Computational Thinking of Social Phenomena

(b) John von Neumann (1903-1957) and his work 

(c) NetLogo

(d) Schelling-Sakoda Model

Week Three (Lectured on March 7, 2020; originally March 2, attending the 46th EEA Meeting)

Earliest Agent-Based Models: Cellular Automata (CA)

(a) Why Should We Take a Serious Look at CA?

(b) Biological Origin of Cellular Automata

(c) John Conway's Game of Life

(d) Stephen Wolfram’s Elementary Cellular Automata

(e) NetLogo, Computer Science, Cellular Automata

Week Four (Lectured on March 9, 2020)

Cellular Automata in Macroeconomic Modeling (I)

(a) Sentiment Dynamics and Economic Fluctuation

(b) Model of Market Sentiment

Week Five (Lectured on March 16, 2020)

Cellular Automata in Macroeconomic Modeling (II)

(a) Kalman Filter Learning, Belief Formation, and Multiple Equilibria

(b) Computational Irreducibility of Economic Policy

Week Six (Lectured on March 23, 2020)

Network-Based Agent-Based Models: Development before and after the Late 1990s

(a) The First Generation (before the late 1990s)

(b) Spatial Games

(c) The Salient Break (the middle and late 1990s): Causes for Missing Networks

(d) The Second Generation (after the late 1990s)

(e) Small-World Networks and Market Efficiency

(f) Network Topologies and Cooperative Behavior

Week Seven (Lectured on March 30, 2020)

ACE and Macroeconomic Experiments

(a) Rational Expectations

(b) Cobweb Model

(c) Macroeconomic Experiments on the Cobweb Model

(d) Learning to Optimize

(e) Genetic Algorithms

(f) Agent-based Cobweb Model Simulation via Genetic Algorithm Learning

Week Eight (Lectured on April 6, 2020)

Agent-Based Modeling of Cobweb Models

(a) Learning to Forecast

(b) Genetic Programming

(c) Agent-based Cobweb Models and Simulation via, Genetic Programming

Week Nine (April 13, 2020)

Midterm Exam

Week Ten (Lectured on April 20, 2020)

Agent-Based Modeling of OLG Models (I)

(a) OLG Models in Economics

(b) OLG Inflation Experiments

(c) Two-Period OLG Model

(d) The Arifovic Model (Arifovic, 1996)

Week Eleven (Lectured on April 27, 2020)

Agent-Based Modeling of OLG Models (II)

(a) The Chen-Yeh Model

(b) The Bullard-Duffy Model

(c) The Grandmont Model (Grandmont, 1985)

Week Twelve (Lectured on May 4, 2020)

Agent-Based Modeling of Exchange Rate Dynamics (I)

(a) The Kareken-Wallace Model (Kareken and Wallace, 1981)

(b) OLG Experiments of Exchange Rates

(c) The Arifovic Model (Arifovic, 1996)

Week Thirteen (Lectured on May 11, 2020)

Agent-Based Modeling of Exchange Rate Dynamics (II)

(a) Econometric Analysis of Exchange Rates (Arifovic and Gencay, 2000)

(b) Capital Flight

(c) An agent-based model of Inflation and Exchange Rate (Arifovic, 2001)

Week Fourteen (Lectured on May 18, 2020)

Agent-Based Modeling of Exchange Rate Dynamics (III)

(a) Currency Collapse

(b) Single Currency Equilibrium (Arifovic, 2002)

Week Fifteen (Lectured on May 25, 2020)

Agent-Based Financial Markets (I)

(a) Programmed Agents and H-Type Models

(b) General Description

(c) Brock-Hommes's ABS Models (Brock and Hommes, 1997, 1998)

Week Sixteen (Lectured on June 1, 2020):

Agent-Based Financial Markets (II)

(a) The Lux Model

(b) Stochastic Mechanics

(c) Jump Processes

(d) Master Equation

(e) Fokker-Plank Equation

Week Seventeen (Lectured on June 8, 2019):

Final Exam

Week Eighteen (Lectured on June 15, 2020):

Agent-Based Financial Markets (III)

(a) Autonomous Agents

(b) Santa Fe Artificial Stock Market

(c) Empirically-Based Agent-Based Models

Teaching Methods
Teaching Assistant

The teaching assistant shall help the instructor to supervise and assist students' term project progress. The assistant shall assist the instructor in classroom preparation, such as the projector, internet connection, etc. The assistant shall help the instructor to grade the term project and help answer various administration problem associated with the class, such as classroom

change (if needed), information announcement, lecture notes upload, etc.




The course will be taught in English.  The course will proceed in lectures.  All lectures are prepared in power points, and the students will be able to get these power points before or after the classes.  Students are encouraged to use skype to interact with the instructor outside the classes.

The evaluation of the student performance will be based on a term project (30%), a midterm exam (30%) and a final exam (40%).  For the term project, the student needs to choose a broad subject related to the class, and write an overview essay on it. For example,

Chen, S. H., Chang, C. L., & Du, Y. R. (2012). Agent-based economic models and econometrics. The Knowledge Engineering Review, 27(2), 187-219.

Chen, S. H., & Gostoli, U. (2014). Behavioral macroeconomics and agent-based macroeconomics. In Distributed Computing and Artificial Intelligence, 11th International Conference (pp. 47-54). Springer, Cham.

These two are just examples to show how the term project looks like, but the student does not have to choose so wide and write so extensive. To choose a subject in a proper way, the student is required to use the search engine, such as Google Scholar, to target a subject with 5 to 7 coherent articles on that subject, then read and write an overview on it.  Alternatively, the student can choose to write a book review of a book published recently, say after 2015. Again, the book chosen has to be related to the class, for example,

Di Guilmi, C., Gallegati, M., & Landini, S. (2017). Interactive macroeconomics: stochastic aggregate dynamics with heterogeneous and interacting agents. Cambridge University Press.

A good overview and review will be further polished and promoted to be published in a Scoups-Indexed journal.

The term project is due on Sep 1, 2020, and the late submission will not be accepted. The student is very welcome to discuss what they plan to do with the instructor using office hours or skype.  Both the midterm and the final exam will be open-book, and the student will be given one week for the midterm and two weeks for the final to work on it. So, for example, if the final exam is on June 8, 18:00 pm sharp, then the student only needs to submit his/her answer before June 22, 18:00 pm. Late submission will not be accepted.

Textbook & Reference

Chen, Shu-Heng (2015), Agent-Based Computational Economics: How the idea originated and where it is going, Routledge.

Namatame, Akira and Shu-Heng Chen (2016), Agent-Based Modelling and Network Dynamics, Oxford.

Urls about Course