Financialized commodity markets volatility: An Edgeworth-Keynesian appraisal
Prof. Bertrand Munier, IAE - University of Paris 1
This talk will underline the exceptional degree of volatility reached by commodity prices (on the food prices example) and argue that standard models of the neo-classical type are unfitted to explain the phenomenon. The talk further argues that model closure has to be modified to yield some convincingly close price history to past observations. The essence and the results of a simulation model – the Momagri model – will then be presented. The modeling solution calls for some modular architecture, and hence for a reappraisal of the notion of market “resulting price”, which need not be any “equilibrium” price. A generalization to financial markets modeling can then be discussed.
About the speaker
Bertrand Munier is an Emeritus Professor at the Sorbonne Graduate Business School of University of Paris 1. His research areas are Global Risk Management, Decision analysis under Risk and Uncertainty, and Uncertainty management and modeling in agricultural commodities markets. His publications include 15 scientific books (written or edited), and 65 articles published in refereed scientific journals. He is a member of the Editorial Board of the journals "Group Decision and Negotiation", and "Risk and Decision Analysis".
Venue: Conference Room
Date: 13 December 2012
Time: 12:30 - 13:30 CET
