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Why do we observe overbidding in first
price private value auctions? This paper aims
to answer this question, which has been extensively
studied in the literature, from a nonstandard
point of view...
We propose a unified methodology to input non-linear views from any number of users in fully general non-normal markets, and perform, among others, stress-testing, scenario analysis, and ranking alloc...
The gauge theory of arbitrage was introduced by Ilinski in [arXiv:hep-th/9710148] and applied to fast money flows in [arXiv:cond-mat/9902044]. The theory of fast money flow dynamics attempts to model...
Recent progress in random metric theory and its applications to conditional risk measures
random normed module random inner product module random locally convex module
2010/10/20
The purpose of this paper is to give a selective survey on recent progress in random metric theory and its applications to conditional risk measures.
Vanna-Volga methods applied to FX derivatives : from theory to market practice
Vanna-Volga methods FX derivatives
2010/10/29
We study Vanna-Volga methods which are used to price rst generation exotic options in the
Foreign Exchange market. They are based on a rescaling of the correction to the Black-Scholes
price through...
Doves and hawks in economics revisited. An evolutionary quantum game theory-based analysis of financial crises
Doves hawks evolutionary quantum game theory-based
2010/11/1
The last financial and economic crisis demonstrated the dysfunctional long-term effects of aggressive behaviour in financial markets. Yet, evolutionary game theory predicts that under the condition of...
A Theory of Liquidity and Regulation of Financial Intermediation
Liquidity Regulation Financial Intermediation
2014/3/18
This paper studies a Diamond–Dybvig model of providing insurance against unobservable liquidity shocks in the presence of unobservable trades. We show that competitive equilibria are inefficient...
Gravity Dual for Reggeon Field Theory and Non-linear Quantum Finance
Gravity Dual Reggeon Field Theory Non-linear Quantum Finance
2010/11/1
We study scale invariant but not necessarily conformal invariant deformations of non-relativistic conformal field theories from the dual gravity viewpoint. We present the corresponding metric that sol...
A queueing theory description of fat-tailed price returns in imperfect financial markets
queueing theory description imperfect financial markets
2010/11/2
In a nancial market, for agents with long investment horizons or at times of severe market stress, it is often changes in the asset price that act as the trigger for transactions or shifts in investm...
Factor demand modelling: the theory and the practice
factor demand aexible functional forms error correction model cointegration
2014/6/24
Since the work of Cobb and Douglas [18], two main innovations have been introduced in applied factor demand analysis, i.e. the use of áexible functional forms and the modelling of dynamics, expectatio...
A "Toy" Model for Operational Risk Quantification using Credibility Theory
quantitative risk management operational risk loss distribution approach credibility theory lcombining different data sources Basel II Advanced Measurement
2010/10/29
To meet the Basel II regulatory requirements for the Advanced Measurement Approaches
in operational risk, the bank’s internal model should make use of the internal data, relevant
external data, scen...