Econometrics, Quantitative Economics, Data Science

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como-2018

Lecture series

Economic applications of optimal transport

Lake Como School of Advanced Studies from May 7-11, 2018 (6h)

Course material

The lecture slides will be available before each lecture on this Github link.

Description of the Course

These lectures will deal with economic applications of optimal transport.

References

Galichon, A. (2016). Optimal transport methods in economics. Princeton.

Schedule:
Monday 5/7, 2:30pm-4:30pm
Tuesday 5/8, 11am-12:30pm
Thursday 5/20, 9am-10:30am
Thursday 5/20, 11am-12:30pm

Outline:
1. Multinomial choice models and their inversion (1h30)
Based on:
– Chiong, Galichon, Shum (2016). Duality in dynamic discrete choice models. Quantitative Economics.
– Bonnet, Galichon, Shum (2017). Yogurts choose consumers? Identification of Random Utility Models via Two-Sided Matching. Preprint.

2. Separable matching models with heterogeneity (1h30)
Based on:
– Galichon, Salanié (2010) Matching with Trade-offs: Revealed Preferences over Competing Characteristics. Technical report.
– Galichon, Salanié (2017) Cupid’s Invisible Hand: Social Surplus and Identification in Matching Models. Preprint.

3. Affinity estimation: a framework for statistical inference in matching models (1h30)
Based on:
– Dupuy, Galichon (2014) Personality traits and the marriage market. Journal of Political Economy.
– Dupuy, Galichon, Shum (2017) Estimating matching affinity matrix under low-rank constraints. Preprint.

4. Equilibrium transport: incorporating taxes in matching models (1h30)
Based on:
– Galichon, Kominers, Weber (2017) Costly Concessions: An Empirical Framework for Matching with Imperfectly Transferable Utility. Preprint.
– Dupuy, Galichon, Jaffe, Kominers (2017) Taxation in matching markets. Preprint.

mec_optim

ECON-GA 3002.015 and MATH.GA 2840.002

‘math+econ+code’ masterclass on optimization in economics: optimal transport, demand models and matching models

NYU Courant Institute, January 15-20, 2018 (36 hours)

Instructors: A. Galichon (NYU Econ+Math), Keith O’Hara (NYU Econ) and Yifei Sun (NYU Math)

Description

This intensive course, part of the ‘math+econ+code’ series, is focused on models of demand, matching models, and optimal transport methods, with various applications pertaining to labor markets, economics of marriage, industrial organization, matching platforms, networks, and international trade, from the crossed perspectives of theory, empirics and computation. It will introduce tools from economic theory, mathematics, econometrics and computing, on a needs basis, without any particular prerequisite other than the equivalent of a first year graduate sequence in econ or in applied math.
Because it aims at providing a bridge between theory and practice, the teaching format is somewhat unusual: each teaching “block” will be made of 50 minutes of theory followed by 1 hour of coding, based on an empirical application related to the theory just seen. Students are expected to write their own code, and the teaching staff will ensure that it is operational at the end of each block. This course is therefore closer to cooking lessons than to traditional lectures.
The course, jointly offered by NYU Econ and the Courant Institute, is open to graduate students in the fields of economics and applied mathematics, but also in other quantitative disciplines. Students need to bring a laptop with them to the lectures. The knowledge of a particular programming language is not required; students are however expected to have some experience with programming. The course can be taken for credit or as a registered auditor.
The teaching staff is Alfred Galichon (professor of economics and of mathematics at NYU), Keith O’hara (economics graduate student at NYU and R and C++ guru), and Yifei Sun (mathematics graduate student at NYU focusing on machine learning). They are authors of the TraME library (https://github.com/TraME-Project), a toolbox for inference and simulation of discrete choice and matching problems. The course is based on Galichon’s popular graduate classes previously taught at NYU, and on his recent book, Optimal Transport Methods in Economics.

Course material

Available on Github here.

Practical information

• Schedule: Mon 1/15 — Sat 1/20, 2018, 8am-12 noon and 1pm-3pm. Location: WWH 102 in the Courant building (251 Mercer St)
• Credits: 3, assessed through a take-home exam or a short final paper, at the student’s option.
• A syllabus is available at http://alfredgalichon.com/matheconcode/.
• Students need to register on Albert (MATH-GA 2840.002 or ECON-GA 3002.015). For more information please contact: galichon@cims.nyu.edu.

Outline

• Monday 1/15: linear programming, dynamic programming, network flows
• Tuesday 1/16: optimal transport toolbox
• Wednesday 1/17: convex analysis, nonlinear inverse problems, and multivariate quantiles
• Thursday 1/18: static and dynamic multinomial choice
• Friday 1/19: statistical estimation of models of matching with transfers
• Saturday 1/20: more general models of matching

Synopsis

SYNOPSIS
Part I: Tools
Day 1: linear programming (Monday Jan 15)
Block 1. Basics of linear programming (8am-9:50am)
• Theory: linear programming duality; complementary slackness; minimax formulation
• Coding: How to eat optimally? Dataset: Stigler’s original diet data (1945).
Block 2. Network flow problems (10:10am-noon)
• Theory: directed graphs and min-cost flow problem
• Coding: How to find the shortest path through a network? Dataset: Paris subway; New York City street network.
Block 3. Dynamic programming as linear programming (1pm-2:50pm)
• Theory: Bellman’s equation; interpretation of duality; forward induction, backward induction
• Coding: When to repair mechanical engines? Dataset: Rust’s bus maintenance data (1994).

Day 2: optimal transport I (Tuesday Jan 16)
Block 4. Discrete matching (8am-9:50am)
• Theory: Shapley-Shubik duality; stability; decentralized equilibrium
• Coding: How to solve it? Dataset from Dupuy and Galichon (JPE 2014).
Block 5. Positive assortative matching (10:10am-noon)
• Theory: Becker’s model; compensating differentials; comonotonicity
• Coding: What is a CEO worth? Dataset: Gabaix-Landier’s (QJE 2008) CEO pay data.

Block 6. Hotelling’s characteristics model (1pm-2:50pm)
• Theory: power diagrams, Aurenhammer’s method
• Coding: How to infer the unobservable quality of a car model? Dataset: Feenstra-Levinsohn (Restud 1994) car data.

Day 3: optimal transport II (Wednesday Jan 17)
Block 7. Continuous multivariate matching (8am-9:50am)
• Theory: Knott-Smith criterion; Brenier’s map; McCann’s theorem
• Coding: How to solve it? the iterated proportional fitting procedure (IPFP). Dataset from Dupuy and Galichon (JPE 2014).
Block 8. Convex analysis and nonlinear inverse problems (10:10am-noon)
• Theory: convex duality; Fenchel’s inequality; subdifferentials and their inverses
• Coding: How to optimize with big data? Proximal gradient algorithms; LASSO; stochastic gradient algorithms.
Block 9. Quantiles methods (1pm-2:50pm)
• Theory: Rosenblatt’s quantiles; vector quantiles; vector quantile regression
• Coding: How to predict demand? vector quantile regression. Dataset: Engel’s (1857) original food expenditure data.

Part II. Models
Day 4: models of static and dynamic multinomial choice (Thursday Jan 18)
Block 10. Basics of static discrete choice (8am-9:50am)
• Theory: Dary-Zachary-Williams theorem, generalized entropy of choice, the inversion theorem
• Coding: How to solve it? simulation methods; AR, SARS, and GHK. Dataset: Greene and Hensher (1997) data on choice of travel mode.
Block 11. Demand models, old and new (10:10am-noon)
• Theory: the GEV model; the random coefficient logit model and the pure characteristics models
• Coding: How to estimate demand for automobiles? Dataset: BLP.
Block 12. Dynamic discrete choice methods (1pm-2:50pm)
• Theory: Rust’s model; estimation; normalization issues
• Coding: career choice.

Day 5: empirical matching models, the quasilinear case (Friday Jan 19)
Block 13. Separable models of matching (8am-9:50am)
• Theory: matching with unobservable heterogeneity
• Coding: Did Roe vs. Wade decrease the value of marriage? Dataset: Choo and Siow (JPE 2006).
Block 14. The gravity equation (10:10am-noon)
• Theory: optimal transport and the gravity equation; generalized linear models and pseudo-Poisson maximum likelihood estimation
• Coding: How to forecast international trade flows? estimating the gravity equation based on WTO international trade data.
Block 15. High-dimensional matching models (1pm-2:50pm)
• Theory: estimation of rank-constrained models
• Application: Does physical appearance have a price? matching on socioeconomic and anthropomorphic characteristics. Dataset: Chiappori, Oreffice and Quintana-Domeque’s (JPE 2012).

Day 6: empirical matching models beyond quasilinearity (Saturday Jan 20)
Block 16. Matching with imperfectly transferable utility (8am-9:50am)
• Theory: Galois connections, distance-to-frontier function, nonlinear complementary slackness, equilibrium transport
• Application: How do taxes affect matching patterns and wages? Dataset: Football coach data from Dupuy, Galichon, Jaffe and Kominers (2017).
Block 17. Integrating matching models and collective models of intrahousehold bargaining (10:10am-noon)
• Theory: collective models, Pareto weights, sharing rule
• Application: Do people marry for consumption or companionship? Dataset: Galichon, Kominers and Weber (2017).
Block 18. Matching with nontransferable utility (1pm-2:50pm)
• Theory: the Dagsvik-Menzel model; nonprice rationing and the NTU-logit separable model
• Application: Revisiting Choo and Siow’s data.

otme-tse-2017

Short course

Optimal Transport Methods in Economics

Toulouse School of Economics, Fall 2017 (15h)

Course material

The lecture slides will be available before each lecture.

Description of the course

These lectures will introduce the theory of optimal transport, and various applications to economics and finance.

References

These lectures will be based on my monograph, Optimal Transport Methods in Economics, Princeton, 2016.

Schedule

Monday, Oct 9, 3:30pm–6:30pm
Monday, Oct 16, 3:30pm–6:30pm
Monday, Nov 6, 3:30pm–6:30pm
Monday, Nov 13, 3:30pm–6:30pm
Monday, Nov 20, 3:30pm–6:30pm

lecturesarchive

Older Lecture series

(Recent and upcoming lecture series can be found here.)
2013-2014:

talksarchive

Older Talks

(Recent and upcoming talks can be found here.)
2013-2014:

  • July 10, 2014, Economics seminar, EIEF, Rome
  • June 19, 2014, Conference in honor of Ivar Ekeland’s 70th birthday, Université Paris Dauphine
  • June 16-29, 2014, Guest Lectures on the Econometrics of Matching Markets, Toulouse School of Economics
  • June 5, 2014, Workshop on Econometrics Methods, Sciences Po
  • June 4, 2014, Economics seminar, Aalto University, Helsinki
  • May 19, 2014, NERA / STICERD Industrial Organization seminar, London School of Economics
  • April 10, 2014, Malinvaud Seminar, CREST, Paris
  • March 17, 2014, Roy Seminar, Paris
  • March 4, 2014, EPFL, Lausanne
  • February 14, 2014, Séminaire Léon Brillouin, IRCAM, Paris. Video here.
  • November 22, 2013, Research seminar, Austrian Central Bank, Wien
  • October 19, 2013, Harvard-MIT econometrics seminar
  • September 13, 2013, lunch seminar, Sciences Po Department of Economics

2012-1013:

  • June 11, 2013, workshop “Advances in Mechanism Design”, Paris School of Economics
  • June 6, 2013, workshop on Economic Theory, University of Manchester
  • June 5, 2013,  Finance & Stochastics seminar, Imperial College London
  • May 16, 2013, Econometrics and Statistics Seminar, Ecares, Université Libre de Bruxelles
  • May 10, 2013,  joint Econometrics-Family economics workshop, University of Chicago
  • April 26, 2013, Econometrics Seminar, Università della Svizzera italiana, Lugano
  • April 22-26, 2013, Workshop “Partial Identification”, Oberwolfach
  • April 8, 2013, Lunch seminar, Economics Department, Ecole Polytechnique
  • March 5, 2013, brown bag seminar, CalTech
  • February 19, 2013, Conference in honor of Rose-Anne Dana, Dauphine
  • December 14, 2012, Groupe de Travail Humaniste, Université Pierre-et-Marie-Curie, Paris
  • November 26-30, 2012, Workshop “Frontiers in Quantile Regression”, Oberwolfach
  • November 22, 2012, Econometrics seminar, Universite de Montreal
  • November 12, 2012, Econometrics seminar, Queen Mary University, London
  • November 5, 2012, Economics Research Seminar, ETH, Zurich

2011-2012:

  • June 21, 2012, “OTtO” workshop, Orsay
  • June 8, 2012, FiME workshop, IHP, Paris
  • May 21-25, 2012, Guest lecture, French Statistical Society, Brussels
  • May 16, 2012, Economics Seminar, Stanford GSB
  • May 4, 2012, Economics Seminar, SciencesPo, Paris
  • May 2, 2012, Economics Seminar, Paris School of Economics
  • April 11, 2012, Economics Seminar, HEC, Paris
  • March 29, 2012, Econometrics Seminar, Columbia University
  • March 15, 2012, Malinvaud Seminar, CREST, Paris
  • March 5, 2012, Economics Seminar, Queen Mary University, London
  • March 2, 2012, Economics Seminar, University of Alicante
  • December 14, 2011, Econometrics and Statistics seminar, Tilburg University
  • December 7, 2011, ESRC Seminar on testability in game theory, Warwick
  • November 25, 2011, Plenary speaker, Conference on Optimization & Practices in Industry, Clamart

2010-2011:

  • June 7, 2011, Finance seminar, Imperial College, London
  • May 20, 2011, Econometrics seminar, DEFI, Université de la Méditerranée
  • May 9, 2011, Séminaire Parisien d’Optimisation, Institut Henri Poincare
  • March 2, 2011, Econometrics colloquium, Columbia University
  • Feb 21, 2011, Economic Theory Seminar, Columbia University
  • Jan 8, 2011, Econometric Society Winter Meeting, Denver
  • Dec 13, 2010, 2nd meeting of the French Econometrics Society, Paris
  • Nov 30, 2010, Econometrics seminar, Cemmap, University College London
  • Nov 25, 2010, Workshop “Recent Advances in Revelealed Preferences,” Universite Paris-Dauphine, Paris
  • Oct 27, 2010, Economics department, University of British Columbia, Vancouver
  • Sept 24, 2010, Conference “Partial Identification and Revealed Preferences,” Montreal
  • Sept 1, 2010 Conference OKASE, Toulouse School of Economics
  • Aug 19, 2010, Econometric Society World Congress, Shanghai

2009-2010:

  • June 2, 2010, Econometrics workshop, UCLA
  • May 19, 2010, Econometrics seminar, UC Riverside
  • May 18, 2010, Econometrics seminar, UC San Diego
  • May 13, 2010, Labor Economics and Econometrics seminar, Northwestern University
  • May 12, 2010, Econometrics workshop, University of Chicago, Economics Department
  • May 5, 2010, Stochastic Analysis Seminar, Institut Henri Poincaré
  • April 27, 2010, Economic Theory seminar, Vanderbilt University
  • April 15, 2010, Econometrics and Statistics seminar, University of Chicago Booth School of Business
  • April 7, Econometrics and applied microeconomics seminar, CalTech
  • March 16, 2010, Conference “Large portfolio, Concentration and Granularity,” Paris
  • March 8, 2010, Econometrics seminar, Paris School of Economics
  • Feb 4, 2010, Econometrics seminar, Columbia University
  • Jan, 4, 2010, North American Winter meeting of the Econometric Society, Atlanta
  • Dec 17, 2009, Stochastics seminar, University of Freiburg
  • Dec 4, 2009, Bachelier Seminar, Paris
  • Oct 13, 2009, Economic Theory seminar, Toulouse School of Economics

2008-2009:

  • July 7, 2009, “Optimization, Transport and Equilibrium” workshop, Paris
  • June 3, 2009, North American Summer Meeting of the Econometric Society, Boston
  • April 20, 2009, Risk Seminar, Department of Statistics, Columbia University
  • March 20, 2009, 2nd International Financial Research Forum, Europlace Institute of Finance, Paris
  • Feb 28, 2009, conference “New Economics of the Family”, Milton Friedman Institute, the University of Chicago
  • Jan 16, 2009, IHPST, Paris
  • Nov 32, 2008, Statistics seminar, LUISS, Rome
  • Oct 24, 2008, Cireq conference on Inference with Incomplete Models, Montreal
  • Oct 17, 2009, Workshop on dynamic and multivariate measures, IHP, Paris
  • Oct 6, 2008, Collegio Carlo Alberto, Torino

2007-2008:

  • Jul 18, 2008, “Optimization, Transport and Equilibrium” workshop, University of British Columbia, Vancouver
  • June 26, 2008, “Risk, Decision and Uncertainty” conference, Oxford
  • June 12, 2008, Workshop “Nonsmooth Inference, Analysis and Dependence,” Goteborg
  • June 12, 2008, Finance seminar, Toulouse School of Economics
  • May 22, 2008, Finance seminar, Universite de Geneve
  • May 20, 2008, Workshop on New Directions in Quantitative Finance, Paris
  • May 16, 2008, Bachelier Seminar, Paris
  • March 28, 2008, Conference “Inference in Partially Identified Models and Applications,” UCL, London
  • Jan 5, 2008, North American Winter meeting of the Econometric Society, New Orleans
  • Nov 29, 2007, Malinvaud seminar, CREST, Paris
  • Nov 9, 2007, Workshop “Model Validation, Predictive Ability and Model Risk,” Banque de France, Paris
  • June 25, 2007, “Optimization, Transport and Equilibrium” workshop, Columbia University
  • May 22, 2007, Econometrics Seminar, Northwestern University
  • April 27, 2007, PhD Defense, Harvard University

 

coursesarchive

Past Classes

(Current classes can be found here.)
“Matching Markets: Theory and Applications”. PhD course, Sciences Po, Spring 2014.
“Decision under risk”. Master (M2) Finance and Strategy and Financial Regulation and Risk Management, Sciences Po, Winter 2013.
“Matching Markets: Theory and Applications”. PhD course, Sciences Po, Spring 2013.
“Economics of the Firm”. Undergraduate course, Ecole Polytechnique, Winter 2011.
“Theoretical and Empirical Aspects of Matching Markets”. PhD Course, Columbia University, Winter 2011.
“Business statistics,” MBA course, Chicago University, Booth School of Business, Winter 2010.
“Corporate and Financial Strategy”. Master (M1) course, Ecole Polytechnique, 2007-2011.
“Asset Pricing and Economics of Uncertainty”. Master (M1) course, Ecole Polytechnique, 2007-2010.

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bestofmybookshelf

Best of my (scientific) bookshelf

Without any logical order or any explanation of my picks, here is a selection of my very favorite books:

  • Villani, C. (2003). Topics in Optimal Transportation. AMS.
  • Vohra, R. (2011). Mechanism design. A linear programming approach. Cambridge.
  • Vohra, R. (2004). Advanced Mathematical Economics. Routledge.
  • Frankel, T. (2012). The geometry of physics. An introduction. Cambridge.
  • Gale, D. (1960). The theory of linear economic models. Chicago.
  • Burkard, R. Dell’Amico, M., Martello, S. (2012) Assignment Problems. SIAM.
  • Henry-Labordere, P. (2008). Analysis, Geometry, and Modeling in Finance: Advanced methods in option pricing. Chapman & Hall.
  • Roth, A. and Sotomayor, M. (1990). Two-sided matching. A Study in Game-Theoretic Modeling and Analysis. Cambridge.
  • Border, K. (1989). Fixed Point Theorems with Applications to Economics and Game Theory. Cambridge.
  • Krishna, V. (2010). Auction Theory. Second edition. Elsevier.
  • Hiriart-Urruty, J.-B., and Claude Lemaréchal, C. (2004). Fundamentals of Convex Analysis. Springer.
  • Aubin, J.-P., and Ekeland, I. (2006). Applied nonlinear analysis. Dover.
  • Grady, L., and Polimeni, J. (2010). Discrete Calculus: Applied Analysis on Graphs for Computational Science. Springer.
  • Bertsekas, D. (1998). Network Optimization: Continuous and Discrete Models (Optimization, Computation, and Control). Athena Scientific.
  • Bobzin, H. (2008). Principles of Network Economics. Springer.
  • Rheinboldt, W. (1987). Methods for Solving Systems of Nonlinear Equations. SIAM.
  • Bhatia, R. (2011). Matrix Analysis. Springer.
  • Horn, R. and Johnson, C. (1994). Topics in Matrix Analysis. Cambridge.

causal2017S

DS-GA 3001

Introduction to Causal Inference for Data Scientists

NYU, Center for Data Sciences, NYU Spring 2017

Course information

Instructor: Alfred Galichon (NYU FAS Economics and CIMS Mathematics).
Section leader: Yifei Sun (NYU CIMS Mathematics).

Schedule:
Lecture: Thursday 4:55pm – 6:35pm
Lab: Thursday 6:45pm – 7:35pm

Location (lecture and lab): 60 Fifth Avenue, Room 110.