New SNSF grant on Financial Economics for Prof. Semyon Malamud
© 2024 EPFL
Semyon Malamud has been awarded a grant by the Swiss National Science Foundation (SNSF) for his project entitled " Statistical Complexity in Financial Economics". This research will investigate how statistical complexity shapes economic behavior and will aim at explaining phenomena like expectation formation, financial market equilibria, and hysteresis in economic data and models.
Abstract
Many real-world economic systems are characterized by tremendous statistical complexity. Indeed, the number of factors influencing the observed state of the world is often comparable to or even larger than the number of observations based on which economic agents learn. This project aims to develop novel theoretical and empirical models of economic behavior in the presence of statistical complexity. Using these models to investigate the ability of statistical complexity to explain numerous observed empirical phenomena in economic and financial systems, including behavioral expectation formation, equilibria in financial markets, and the emergence of hysteresis (long-term memory and path-dependencies) in economic data and models.
The amount of the grant is 571 260 CHF for a duration of four years.