Workshop on

Mathematical Aspects of Behavioural Economics and Finance

13—14 November, 2015

Venue: V111, Mathematics Building, The University of Newcastle

The aim of the workshop is to bring mathematical scientists together with other researchers in the field of behavioural economics and finance with a view to enhancing the formal modelling and analysis of human decision-making under conditions of uncertainty.

It will focus on (i) barriers (cognitive, social and phenomenal in nature) that prevent the transformation of uncertainty into measured risk, and risk management or amelioration based on developments in mathematical risk theory over the previous decade; (ii) refined computational and mathematical techniques for better modelling the resulting behaviour; and, development of (iii) institutional frameworks that allow policy makers to better manage the adverse social and economic outcomes that can result when barriers of this kind impede efforts at decision-making and control.

Themes to be canvassed in the Workshop include: cognitive processes, learning theories, decision-making under uncertainty, constructivism and computability in economics, managing fragility, the "cult of statistical significance" and abuse of statistical methods, robust applications of variational analysis in finance, and ethical and behavioural aspects of regulation, complexity and uncertainty.


You can download the abstract/schedule booklet here.

Friday 13th

10:15-10:30Introduction and opening: Laureate Professor Jon Borwein 
—SESSION ONE: Mathematicians Against Fraudulent Financial and Investment Advice—
10:30-11:15David Bailey (University of California, Davis)
Reproducibility and statistical overfitting in quantitative finance
[download presentation]
11:15-12:00Jon Borwein (CARMA, University of Newcastle)
Publishing Standards for Computational Science: "Setting the Default to Reproducible"
[download presentation]
12:00-12:30Amir Salehipour (CARMA, University of Newcastle)
New financial analysis tools at CARMA
[download presentation]
12:30-1:00Break-out session #1
—SESSION TWO: The “Cult of Statistical Significance” and Abuse of Statistical Methods—
2:00-2:45Morris Altman (Head of School of Business, University of Newcastle)
Statistical and Analytical Significance Compared: A More Scientific Approach to Applied Economics
[download presentation]
2:45-3:30Stephen T. Ziliak (College of Arts and Sciences, Roosevelt University)
Guinnessometrics Against Cult of Statistical Significance
[download presentation]
3:45-5:00Break-out session #2
7:00Dinner (at Verde Luna, Hamilton)

Saturday 14th

—SESSION THREE: Good Data, Bad Data, and Ugly Data—
9:30-10:15Andreas Ortmann (School of Economics, University of NSW)
On the deepening replication crisis in the social sciences and what to do about it
[download presentation]
10:15-11:00Jacek Krawczyk (School of Economics and Finance, Victoria University of Wellington)
Capturing behaviour of sustainability managers through viability theory
[download presentation]
11:00-11:45David Bailey (University of California, Davis)
Big Data and its Sins!
[download presentation]
11:45-12:15Andrew Mattingly (IBM Australia)
Software Quality and Human Behaviour
[download presentation]
12:15-12:45Break-out session #3
—SESSION FOUR: Behavioural Approaches to Decision-Making—
1:15-2:00Scott Brown (Australian Research Fellow, School of Psychology, University of Newcastle)
The best of both worlds: integrating psychological and econometric theories of choice [Not presented]
[download presentation]
2:00-2:45James Juniper (School of Business, University of Newcastle)
Beyond Behavioural Economics
[download presentation]
2:45-3:15Break-out session #4
—SESSION FIVE: Applications—
3:30-4:15Marc Adam (School of Design, Communication, and IT, University of Newcastle)
Using Heart Rate Measurements to Understand and Support Decision Making in Electronic Auctions
[download presentation]
4:15-4:45Mike Meylan (CARMA, University of Newcastle)
Modelling and Data, why one cannot live without the other
[download presentation]
4:45-5:00Discussion and closing remarks