Studies

Market Engineering in Empirical Industrial Organization and Finance

Professor

 

Jakub Kastl (Princeton University)

Dates

 

21 - 25 August 2017

Hours

 

9:30 to 13:00

Intended for

 

Intended for researchers, practitioners, and graduate students interested in industrial organization, and empirical mechanism design.

Prerequisites

 

First-year Master or PhD level microeconomic theory. Econometric tools will be introduced as needed. Basic familiarity with bootstrap would be useful.

Overview

 

The course will focus broadly on empirical mechanism design and its more applied use. We will cover state-of-the-art methods allowing the researcher to interpret data from various centralized markets through the lens of a model. We begin by analyzing simple auction markets. We will then transition to financial markets and show how various data sets can be used to indirectly approach questions for which typically data is not available due to the over-the-counter nature of trading. We will discuss issues of front-running, competition between banks, dynamics of financial health and systemic risk. Time permitting we will finish by discussing applications of mechanism design without transfers: matching of doctors to hospitals, students to schools etc.

Topics

 

Introduction to Empirical Analysis of Auction Data
Structural Empirical Analysis of Financial Markets
Designing Matching Markets

     
 

Jakub Kastl is Professor of Economics at Princeton University, Faculty Research Fellow at the National Bureau of Economic Research and Research Fellow at the Center for Economic Policy Research. His research is in the field of industrial organization, finance and microeconomics. He is a recipient of the Sloan Fellowship. He was awarded several grants by the National Science Foundation. His recent work studies auctions in financial markets using tools from computer science and machine-learning literature.

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