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A model of coopetitive game and the Greek crisis
Games and Economics competition cooperation coopetition normal form games
2011/7/5
In the present work we propose an original analytical model of
coopetitive game. We try to apply this analytical model of coopetition
- based on game theory and conceived at a macro level - to the G...
A dynamic hybrid model based on wavelets and fuzzy regression for time series estimation
Financial time series Wavelet decomposition Fuzzy regression SP500 index
2011/3/23
In the present paper, a fuzzy logic based method is combined with wavelet decomposition to develop a step-by-step dynamic hybrid model for the estimation of financial time series. Empirical tests on f...
How to grow a bubble: A model of myopic adapting agents
grow bubble model myopic adapting agents
2010/12/20
We present a simple agent-based model to study the development of a bubble and the consequential crash and investigate how their proximate triggering factor might relate to their fundamental mechanism...
An Affine Term Structure Model with Auxiliary Stochastic Volatility-Covolatility
Term structure Stochastic volatility Wishart Autoregressive process
2011/4/2
This paper proposes an affine term structure model in a stochastic volatility setting. It provides a useful modeling tool to bridge the two strands of macroeconomic and finance research: the DSGE-VAR ...
Probability distribution of returns in the exponential Ornstein-Uhlenbeck model
Probability distribution returns exponential Ornstein-Uhlenbeck model
2010/12/17
We analyze the problem of the analytical characterization of the probability distribution of financial returns in the exponential Ornstein-Uhlenbeck model with stochastic volatility. In this model the...
A model for interevent times with long tails and multifractality in human communications: An application to financial trading
model interevent times long tails multifractality human communications application financial trading
2010/12/17
Social, technological and economic time series are divided by events which are usually assumed to be random albeit with some hierarchical structure. It is well known that the interevent statistics ob...
Risk Premium Impact in the Perturbative Black Scholes Model
Risk Premium Impact Perturbative Black Scholes Model
2010/12/20
We study the risk premium impact in the Perturbative Black Scholes model. The Perturbative Black Scholes model, developed by Scotti, is a subjective volatility model based on the classical Black Schol...
On the probability distribution of stock returns in the Mike-Farmer model
probability distribution stock returns Mike-Farmer model
2010/12/20
Recently, Mike and Farmer have constructed a very powerful and realistic behavioral model to mimick the dynamic process of stock price formation based on the empirical regularities of order placement...
Option pricing under stochastic volatility: the exponential Ornstein-Uhlenbeck model
Option pricing stochastic volatility exponential Ornstein-Uhlenbeck model
2010/12/17
We study the pricing problem for a European call option when the volatility of the underlying asset is random and follows the exponential Ornstein-Uhlenbeck model. The random diffusion model proposed ...
Nonlinear Fokker-Planck Equation in the Model of Asset Returns
Nonlinear Fokker-Planck Equation Model Asset Returns
2010/12/17
The Fokker-Planck equation with diffusion coefficient quadratic in space variable, linear drift coefficient, and nonlocal nonlinearity term is considered in the framework of a model of analysis of as...
On perpetual American put valuation and first-passage in a regime-switching model with jumps
perpetual American valuation first-passage regime-switching model jumps
2010/12/17
In this paper we consider the problem of pricing a perpetual American put option in an exponential regime-switching L\'{e}vy model. For the case of the (dense) class of phase-type jumps and finitely ...
We will compare three types of prices, namely, rational (hedging) prices, geometric (growth rate) prices, and martingale (measure) prices. We will show that rational prices in the complete market theo...
Bank Rate Policy Under the Interwar Gold Standard: A Dynamic Probit Model
Bank Rate Policy the Interwar Gold Standard Dynamic Probit Model
2014/3/18
The classical gold standard occupies an almost mystical position in the literature of international finance. In popular accounts the gold standard is portrayed as a remarkably durable ...