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une école du pole management Omnes Education

Research seminar: Agent-based modelling and the real estate market

 

 

October 16, from 1 PM to 2 PM

10 rue Sextius Michel, 75015 Paris

Hall SC 204

Pour plus d’informations, merci d’écrire à : hassanobeid@ebs-paris.com

 

The author:

 

141009-thomasDoctor Thomas ANKENBRAND is graduated from the University of St. Gallen and the University of Lausanne. Subsequently, he gained experience in several different functions and was then appointed head of treasury of Raiffeisen Switzerland in 1999. From 2001 to 2009, Dr. ANKENBRAND was a member of the Executive Committee of RBA-Holding in Bern and CEO of various companies of the RBA-Holding. In 2009, he joined Hypotheken Servicing Schweiz AG as CEO. In 2013 he founded AVACO AG. AVACO specializes in building complex, adaptive, multivariate market models to optimize customers’ returns and minimize their risks. With the experience in both financial markets and agent-based computational economics, AVACO offers research and consulting services. Currently, two different agent-based models are in active use: an agent-based global macro model, and an agent-based model of the Swiss real estate market.

 

Abstract:

 

The seminar gives an understanding of agent-based models and its application for financial markets. Dr. Thomas ANKENBRAND will present an agent-based model of the Swiss real estate market. Agent-based modelling and simulation reproduces the complex patterns found in real-world markets. This is achieved by simulating the relatively simple behavioral structures of individual market participants (the so called agents) and combining them to a greater whole. Such an approach allows to develop dynamic, non-linear models, comprising multiple input factors like interest rates and rental prices. Typical participants found in real estate markets such as private residents, institutional investors (pension funds, insurance companies, etc.) and speculators (trend followers) are included in the model as classes of agents. Hence, the model combines explicit knowledge of behavioral patterns of the agents with implicit knowledge in the form of time series analysis. Based on this, the behavior in bubble and crash situations can be simulated. The AVACO model fits very well to the development of the Swiss real estate market since 1986. It can be used for forecasting in asset management and for scenario analysis in risk management. Scenario analyses conducted by AVACO indicate that the Swiss real estate market is in a rather weak condition. In the absence of positive market forces, the market has a tendency towards a negative correction, which becomes more poignant in the presence of negative market forces such as rising interest rates. In the simulated scenarios, increasing interest rates can lead to a sharp correction of the real estate indices.