Starting a new chapter

I’m happy to announce that I’ve joined the Institute of Economics and EMbeDS at the Sant’Anna School of Advanced Studies in Pisa as a JSMF postdoctoral fellow. I had been awarded a JSMF fellowship in September 2018: these are amazing grants that fund 2/3-year projects leaving almost complete freedom to grantees, both in terms of research projects and host institutions. My position will last until December 2022.

I will spend part of my time following the research lines that I started developing during my PhD. But I will mainly focus on a new research line: understanding the potential of Agent-Based Models for time series forecasting. ABMs are much more detailed than more traditional equation-based models, yet their additional flexibility has rarely been used to provide more accurate quantitative predictions. Showing that ABMs can produce more accurate forecasts would particularly be useful with economists, who tend to be skeptical about the value added of ABMs. It would explicitly demonstrate that ABMs can give more reliable answers to key policy questions than traditional models, because they more realistically represent the workings of the economy. There is already some research in this direction: I predict that it will grow even more in the next few years.

Researchers at the Institute of Economics at Sant’Anna have pioneered the use of Agent-Based Models in economics. Recently, Sant’Anna was awarded funding from the Italian Ministry of Research to establish a “Department of Excellence” called EMbeDS (Economics and Management in the era of Data Science). This has led to a cluster of hires of statisticians, computer scientists and econometricians, and to the acquisition of several large datasets. This focus on big data, which is further reinforced by the interactions with computer scientists at the University of Pisa, is really useful for my project, as I believe that ABMs can be successful in forecasting only if they can be calibrated starting from micro data. Thus, the combined expertise on economics, agent-based modeling and data science makes Sant’Anna an ideal choice for my fellowship. The environment in Sant’Anna is also extremely informal, friendly and collaborative!

Last spring, I also visited a few other research centers that I was considering as host institutions. I learned so much by interacting with researchers in those centers, and I have already started collaborating with a few of them on some exciting new projects! I really hope to make as many of these collaborations as possible happen.

Finally, I will remain linked to the complexity group at INET Oxford as an associate member, planning on visiting once a term. Some exciting projects are starting, and I especially hope to contribute to the ones on business cycles. INET Oxford has been an exceptional place to do my PhD, and I’m really grateful to everyone there. You won’t get rid of me!

(I’ve unfortunately neglected this blog over the last few months. Looking for this position while writing my PhD thesis has absorbed all my energies. Now that I’ve started my postdoc I hope to come back blogging with a certain regularity.)