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Behavioural breaks in the heterogeneous agent model: the impact of herding, overconfidence, and market sentiment
heterogeneous agent model behavioural nance herding overcon dence market sentiment stock market crash
2012/6/5
The main aim of this work is to incorporate selected findings from behavioural finance into a Heterogeneous Agent Model using the Brock and Hommes (1998) framework. In particular, we analyse the dynam...
Global Green Economy and Environmental Sustainability: a Coopetitive Model
Complete analysis of C1 games coopetitive games global green economy environmental sustainability
2012/6/4
This paper provides a coopetitive model for a global green economy, taking into account the environmental sustainability. In particular, we propose a differentiable coopetitive game G (in the sense re...
The fractional volatility model: No-arbitrage, leverage and completeness
Fractional noise Arbitrage Incomplete market
2012/6/4
Based on a criterion of mathematical simplicity and consistency with empirical market data, a stochastic volatility model has been obtained with the volatility process driven by fractional noise. Depe...
Equilibrium Distribution of Labor Productivity: A Theoretical Model
Equilibrium Distribution of Labor Productivity Theoretical Model Statistical Finance
2012/6/4
We construct a theoretical model for equilibrium distribution of workers across sectors with different labor productivity, assuming that a sector can accommodate a limited number of workers which depe...
Libor model with expiry-wise stochastic volatility and displacement
displaced Libor models stochastic volatility calibration to capstrike maturity matrix swaption pricing
2012/4/28
We develop a multi-factor stochastic volatility Libor model with displacement, where each individual forward Libor is driven by its own square-root stochastic volatility process. The main advantage of...
Large deviations for a mean field model of systemic risk
mean field large deviations systemic risk dynamic phase transitions
2012/4/28
We consider a system of diffusion processes that interact through their empirical mean and have a stabilizing force acting on each of them, corresponding to a bistable potential. There are three param...
Realized Wavelet Jump-GARCH model: Can wavelet decomposition of volatility improve its forecasting?
wavelet decomposition jumps volatility forecasting Realized GARCH
2012/4/28
In this paper, we propose a forecasting model for volatility based on its decomposition to several investment horizons and jumps. As a forecasting tool, we utilize Realized GARCH framework of Hansen e...
Spin model with negative absolute temperatures for stock market forecasting
Spin model temperatures stock market
2012/9/14
A spin model relating physical to financial variables is presented. Based on this model, an algo-rithm evaluating negative temperatures was applied to New York Stock Exchange quotations from May 2005 ...
Model for energy and deformation determination of selected oilseeds under compression loading ?Short communication
force-deformation curve pressing seed volume jatropha sunflower rape seeds
2014/2/25
Compression loading test was performed to determine the dependency between force and deformation of jatropha, sunflower and rape seeds with respect to different pressing seed volume. Parameters such a...
A Goal Programming Model for Optimal Portfolio Diversification
Set-valued risk measure portfolio optimization multi-criteria optimization goal programming
2012/3/2
We present a goal programming model for risk minimization of a financial portfolio managed by an agent subject to different possible criteria. We extend the classical risk minimization model with scal...
We address the issue of the distribution of firm size. To this end we propose a model of firms in a closed, conserved economy populated with zero-intelligence agents who continuously move from one fir...
Test of a service profit chain model in the retail banking sector
organizational subunits employee perceptions enjoy superior business performance relationships
2011/9/30
Research has shown that organizational subunits where employee perceptions are favourable enjoy superior business performance. The service profit chain model of business performance (Heskett, Sasser, ...
Assessment of Carbon Dioxide Reduction Efficiency Using the Regional Carbon Neutral Model—A Case Study in University Campus, Taiwan
Greenhouse Gas Plant Carbon Dioxide Carbon Neutral
2013/2/25
A regional carbon neutral model was built to assess the balance of carbon dioxide (CO2) absorption by plants and emission by power usage in Tajen University, in the south of Taiwan, in order to test a...
Predicting the amount individuals withdraw at cash machines using a random effects multinomial model
ATM cash withdrawal customer personal banking
2011/9/24
Retail finance organizations use data on past behaviour to make predictions for customer value management strategies. Random-effects models, where each individual has a behavioural pattern drawn from ...
The structure of Walras's mature model of capital goods markets
capital goods markets market institutions loan market
2011/9/17
This essay examines the capital goods markets in the comprehensive model that Léon Walras constructed during the mature period of his theoretical work. The essay answers fundamental questions about th...