大資料時代極大地改變了經濟行為和商業模式，這也給經濟研究帶來了新的挑戰，這些新特徵是個人、公司和政策制定者面臨的重要問題之一。大量複雜資料和高性能計算能力的日益普及為資料科學家提供了改進現有資料分析模型（或”機器”）和開發新工具以瞭解資料生成過程機制（從資料中發現因果關係）的機會。這一主題的一個目標是利用新開發的機器學習方法研究重要的經濟和金融問題。

該主題的另一個目的是研究各種假設的社會環境和參數的影響下的社會變化動態。 主要方法是使用基於代理的類比進行實證研究。 不同的假設可以通過計算模型抽象，並通過電腦程式實現。 然後，可以分析基於代理的類比實驗結果的觀察，以便得出結論（例如，社會規範出現的原因、後果和動態）。 我們還致力於建立社會動力學的數學模型。 這有助於進一步的數學處理，從而產生實驗研究中不易獲得的結果。

項目：

大維度因果推斷和工具變量模型：估計、統計推斷和模型選擇
(2022-2024)
項目來源：香港研資局General Research Fund（GRF-14617121）
專案統籌者：范青亮教授

In modern policy evaluations, the increasing availability of rich datasets (such as massive administrative data and large survey data) with many individual features (variables) makes the estimation and inference on the heterogeneous or even personalized treatment effect an urgent task for theoretical econometricians and empirical economists. The accurate estimation of heterogeneous treatment effect is important for efficient policy making and social welfare evaluations. The economic policy, e.g., government bailout of small business or individuals during the hardship of COVID-19, would affect people with different economic variables such as debt levels, education, etc., differently. Estimation and inference on the potentially heterogeneous treatment effect is therefore important for modern program evaluations. 

This project aims to develop econometric methods to deal with the common issues of causal inference in the form of treatment effect, such as heterogeneity, endogeneity, censored response variable, etc., amid large dimension of control variables and potential instruments. On one hand, more data provides the researchers more information on the subject of their study. On the other hand, it makes the conventional econometric methods infeasible to handle the high-dimensionality nature of the model. Specifically, this research project aims to study the average causal effect using double robustness method that relies on new machine learning methods. We consider the conditional average treatment effect and quantile treatment effect among censored response variables in a high-dimensional model. To address the endogeneity problem we consider a large number of instrumental variables and rely on the variable selection to get the optimal instruments. We also empirically investigate the effect of the firm culture on corporate behavior. 

The novelty of our proposed method is that we first investigate the heterogeneous treatment effect with high-dimensional data and complex data structure such as censored response. We innovatively use the dimension reduction technique, taking into account the censored nature of the responses. Then a double robust method is applied to the nonparametric estimation of the heterogeneous treatment effect. Moreover, we consider the both irrelevant and invalid instruments in high-dimensional models. 

The results of our study will be of practical use to policy makers, empirical economics researchers and biomedical researchers, etc., providing solutions to the complex data structure when evaluating the heterogeneous treatment effects. We advance the academic literature at the intersection of high-dimensional models, heterogeneous treatment effect, double robust estimation, instrumental variable method, by providing insights on how to make valid inference on the true parameter/functional of interests.

項目：

多智慧體強化學習動力學的形式化建模：平均場理論方法 （2021-2023）
項目來源：香港研資局General Research Fund（GRF 14206820）
專案統籌者：梁浩鋒教授

Research into learning through repeated agent interactions in multi-agent systems has become an active topic in the field of multiagent systems.  It finds applications in a wide variety of domains.  We note that a thorough understanding of multi-agent reinforcement learning is a current topic of research.  There has been no research work reported on the formal modelling of the dynamics of multi-agent reinforcement learning for the general 

n-agent settings, in particular, when n is very large.  However, this is an important research topic.  It enables researchers to give a detailed explanation of the process and find out the implications of the process.  Generally, there is also a potential that the models can be further developed mathematically.  Last but not least, a mathematical model might highlight the importance of certain parameters that would otherwise be overlooked in experimental studies.  In this project, we propose to research into the dynamics of such systems with a mean field theoretic approach.  We have obtained some very good initial results, which is presented in one of the most prestigious conference in Artificial Intelligence.

There are two specific objectives to be achieved in the project.  First, we shall develop a general model of dynamics of multi-agent reinforcement learning in which there are many, many agents.  Specifically, a general model will be able to handle the situations that the game of interaction is any game that allow agents to have one-to-one interactions.  The model will also be able to allow agents to learn to cooperate with the opponents.  The other objective is to build a formal model that incorporates the effects of additional external factors in the process of dynamics of multi-agent reinforcement learning.  Examples of such factors are social values, influencer agents, inequity-aversity, and gist traces, to name a few.  We hope that the effects of these factors, both on the learning dynamics and on the final outcome, can be analysed theoretically.  They will also be verified experimentally if possible.

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