The 2018 Winter Camp of Quantitative Economics is hosted by Sargent Institute of Quantitative Economics and Finance (SIQEF) at Peking University HSBC Business School (PHBS). The Winter Camp is designed and organized by Professor Thomas Sargent. It intends to offer rigorous training in programming, math, and Economics to undergraduate students who have an ambition to pursue a Ph.D. in Economics or related fields.

The Sargent Institute of Quantitative Economics and Finance (SIQEF) at Peking University HSBC Business School is dedicated to research in macroeconomics, investment, economics, and finance, focusing on the application of quantitative tools such as artificial intelligence and big data in Economic analysis.

The mission of SIQEF is to promote the innovation and development of the frontier areas of quantitative economics and finance theory, and to provide a new theoretical basis for the formulation of macroeconomic policies and the invention of intelligent financial instruments, providing a prospective and professional decision-making reference for a sustainable economic development and macroeconomic policy control.

Professor Thomas Sargent, the 2011 Nobel laureate in Economics, serves as the Director of SIQEF.

Peking University HSBC Business School (PHBS) was founded in 2004 with the intention to advance Peking University (PKU)’s involvement in the global economics, finance, and management research.

Located in Shenzhen, PHBS brings Peking University’s historical presence and first-tier business education programs to the country’s south and benefits from the dynamic and entrepreneurial spirit of the thriving city. As an additional advantage, the proximity to Hong Kong, a world financial hub, provides unmatched opportunities for the entire campus community.

PHBS currently offers a doctoral program, specialized Master’s programs, dual-degree-Master’s programs with the National University of Singapore, a MBA program, an Executive MBA program, and numerous executive development programs.

To provide in-depth Chinese educational experiences with a global perspective, PHBS admits international students into the specialized Master’s and MBA programs. PHBS is accredited for EPAS by EFMD and is in the process of AACSB accreditation.

QuantEcon is a NumFOCUS fiscally sponsored project dedicated to the development and documentation of modern open source computational tools for economics, econometrics, and decision making. We welcome contributions and collaboration from the economics community and other partner organizations.

The Winter Camp provides a 10-day intensive training in Python programming and its applications in Economics. Roughly, in the first 5 days, we focus on handing out tools, and in the later 5 days, instructors will teach topics in Economics.

On each day, lectures will be held in the morning from 9:00AM to 12:00PM. Then in the afternoon, from 2:00PM to 6:00PM, students will be divided into groups to work on assigned projects. Computer lab will remain open between 19:30PM to 22:00PM for students who wish to study in the evening. Several guest lectures will be offered in early afternoons throughout the Winter Camp, in which Economists from various fields will talk about how the tools and methods we go over in the Winter Camp are applied in real-life Economic research.

Below is a summary schedule of the classes and major events of the Winter Camp.

Note: Week 1 lectures follow closely the Python lectures on QuantEcon. Please read the corresponding chapters for a preview before coming to class.

Xianfeng Li
Associate Professor
Peking University School of Electronic and Computer Engineering

Jun Nie
Senior Economist
Federal Reserve Bank of Kansas City

Thomas Sargent
Professor at New York University
Director of Sargent Institute of Quantitative Economics and Finance Peking University HSBC Business School

Jiao Shi
Assistant Professor
Peking University HSBC Business School

John Stachurski
Professor at Research School of Economics
Australia National University

Pengfei Wang Professor at Department of Economics
The Hong Kong University of Science and Technology

Natasha Watkins
QuantEcon Early Career Researcher

Tao Zha
Research Executive Director
Federal Reserve Bank of Atlanta

Jake Zhao
Assistant Professor
Peking University HSBC Business School

Shenghao Zhu
Associate Professor
School of Economics and Management, Beihang University

Starting from Fall 2018, PHBS will establish a state-of-the-art PhD program in quantitative economics focusing on foundations of economics and modern mathematical, statistical, and computer tools for putting those tools to work to analyze economic problems. The program is designed and organized by Professor Thomas Sargent.

Audience: As students, we seek either (a) highly motivated students having undergraduate degrees that provide them with a solid foundation in undergraduate mathematics, probability, and statistics; or (b) recent graduates of good MA programs in economics and finance; or (c) in exceptional cases, smart undergraduates with weaker backgrounds in mathematics and statistics who are willing to do extra remedial work before starting the main courses for the PhD program.

Philosophy: We shall teach mathematical and conceptual foundations of modern economics theory as well econometrics and statistics. Courses will begin by emphasizing tools because that is the most efficient way to create a powerful language for precisely formulating and criticizing economic ideas. After students acquire tools, important applications illustrating the power of economic theories and econometric methods will be presented. A typical first year PhD class will begin with virtually 100% tools, then over the course of the academic year gradually approach 50% tools and 50% applications. For more information, please check out our PhD admission information.

For programming and economics theory, the suggested reference which will be used in accordance to the winter camp is the Python section of Quantecon.org

Books of programming recommended

• Allen B. Downey, Think Python, O'Reilly Media, Inc.(2012)
• Lutz, Mark, Learning Python, 5th edition, O'Reilly Media, Inc. (2013)
• McKinney, Wes, Python for Data Analysis, O'Reilly Media, Inc. (2013)

Books recommended for Economics

• Lars Ljungqvist, Thomas J. Sargent, Recursive Macroeconomic Theory, Third edition, MIT Press(2012)
• David M. Kreps, Microeconomic Foundations I Choice and Competitive Markets, PRINCETON UNIVERSITY PRESS(2013)
• Andreu Mas-Colell, Michael D. Whinston, and Jerry R. Green, Microeconomic Theory, Oxford University Press(1995)

Books for Mathematics and Statistics

• Carl P Simon, Lawrence Blume, MATHEMATICS FOR ECONOMISTS, W. W. Norton & Company, Inc.(1994)
• Larry Wasserman, All of Statistics A Concise Course in Statistical Inference, Springer(2010)
• George Casella, Roger L. Berger, Statistical Inference, Second edition, Duxbury(2002)