FCT

R&D Institutions

Resultado da avaliação 2007 na área de Economia e Gestão

Unidade de I&D

Centro de Matemática Aplicada à Previsão e Decisão Económica - CEMAPRE [ECO-LVT-Lisboa-491] visitada em 21/11/2008

Classificação: Excellent

Comentários do painel de avaliação
Sobre a unidade
This unit is divided into three research groups: Statistics and Actuarial Science; Mathematical Analysis, Optimization, and Financial Modeling; and Econometrics and Time Series. Alone among the units that the panel visited, we found the division into research groups in this unit to be significant and effective. The presentation of the unit was long and detailed, but very effective. The group coordinators presented some examples of what they considered as significant contributions of their groups, so that we were told of scientific, not of organizational, issues.

The questions and answers after the presentation reinforced the impression of an excellent leadership by competent coordinators, with a very good knowledge of the contents of all research activities. The coordinator of the group Econometrics and Time Series is presently on leave in the University of Essex, but his involvement in the unit remains credible in that he relinquished up the unit coordination when leaving to Essex, and is thinking of doing the same with the group, although this does not seem necessary. All the three groups have publications in good to very good journals, with publications dispersed across both groups and across individual researchers. Indeed, of the 23 researchers in the unit, 20 have one or more publications in an international journal since 2003.

The panel identified a number of strengths of the units, besides its effective division into research groups and its strong publication record:

• The criteria for entry into the unit are selective, as demonstrated by the distribution of publications.

• The unit seems to have an effective visitors program, as well as significant seminars and summer schools.

Since the unit comprises both quantitative economists and applied mathematicians, the major questions that the panel had going into the visit related to the unit’s coherence. Indeed, the unit has a large number of publications in physics and applied mathematics journals, and the unit coordinator asks for a complementary evaluation by the Mathematics Panel. Our panel was satisfied by the answers to our questions that this is, in fact, a very coherent research unit. In particular, we were encouraged to learn that the Mathematical Analysis, Optimization, and Financial Modelling Group — which seemed at the outset of our visit to have the least coherent set of research areas — means to focus its research more, concentrating on mathematical finance and on operations research.

We were not able to obtain as good answers to our questions of why there is no work in the unit on game theory — a seemingly natural topic — and why there is not more cooperation with researchers in the economics department.


General Comments by Mathematics Panel:

This unit in applied mathematics has a unique profile within Portugal, in terms not only of the mixture of research topics, but also of the economic issues that nourish their research. It is currently divided into three groups: Statistics and Actuarial Science; Econometrics and Time Series; and Mathematical Analysis, Optimization, and Financial Modeling.

In 2002 the unit was rater Good+ by the Mathematics panel and as Excellent by the Economics panel. Since then the unit has vigorously addressed the concerns raised and has established itself at a high level. It has stringent membership criteria and strong links with internationally-known collaborators, it is determined to publish in top-quality international journals, it attracts foreign experts to well-publicized conferences, workshops, and high level courses (incidentally, the web page is excellent), and it aims to train young researchers able to make significant contributions to their domains. In addition to sustained collaborations with other research institutes (in fisheries, computing costs, and human kinetics) the unit also has links with major Portuguese companies and public bodies through training and high-level consultancy leading to fruitful research.

The unit has played a strong role in raising public awareness of mathematics. In particular Nuno Crato has received international recognition for his communication of science to the general public.

The presentation by the unit was very good, giving a clear view of its present situation and an ambitious yet realistic vision of where they seek to be. The leadership is dynamic with enough depth to allow healthy rotation.

The panel encourages the center to exploit possibilities for international mobility of both junior and senior researchers offered by the CMU|Portugal program.

Sobre os grupos de investigação
Actuarial Science [RG-X-ECO-LVT-Lisboa-491-1473]
Econometrics and Time Series [RG-ECO-LVT-Lisboa-491-1359]
Specific comments by Mathematics Panel:

The group in Econometrics and Time Series has 12 full members whose interests cover theoretical and applied topics, ranging from estimation of stochastic differential equations through financial econometrics, forecasting and quantile regression to gender wage discrimination and international trade. Its members have published high-impact papers in leading journals in their domains and on related applied topics. The group cooperates with two international PhD programs (CMU and MIT), provides core teaching for the MSc in Applied Econometrics and Forecasting, and has supervised PhD and MSc students.
Macro - Time Series and Macroeconometric Research [RG-X-ECO-LVT-Lisboa-491-580]
Mathematical Analysis, Optimization and Financial Modelling [RG-ECO-LVT-Lisboa-491-584]
Specific comments by Mathematics Panel:

The group on Mathematical Analysis, Optimization, and Financial Modeling has 8 full members and covers diverse topics ranging from differential equations to stochastic analysis and operations research through to cryptography. The glue that ties this group together is its interest in mathematical finance, which is starting to bear fruit in publications in this area. The group offers training to around 10 highly-motivated students through a master in Mathematical Finance, which has a welcome empirical component; consideration should be given to the development and structuring of PhD training in this domain.
Micro - Theoretical and Applied Microeconometric Research [RG-X-ECO-LVT-Lisboa-491-494]
Statistics and Actuarial Science [RG-ECO-LVT-Lisboa-491-1474]
Specific comments by Mathematics Panel:

The group in Statistics and Actuarial Science has 6 full members and is prominent in the Portuguese actuarial landscape. Their research interests span a wide range of topics in actuarial science including claim reserving, dependent risks, and, more recently, optimal reinsurance strategies. Some of this research, like that in Bayesian statistics, has appeared in high-quality journals. It will be interesting to see if the proposed synergy between the actuarial and statistical sciences is productive. This group offers training through a well-established master degree in Actuarial Science and has been engaged in the supervision of PhD students.