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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...
A Type of HJM Based Affine Model: Theory and Empirical Evidence
Affine Term Structure Model HJM Finite Dimensional Realization Linear Realization Theory State Space Framework Macro-economy
2011/4/2
In this paper a type of Heath, Jarrow and Morton (1992) (HJM) based affine model is derived theoretically. This type of affine model is obtained by applying Linear Realization Theory to construct Fini...
Perturbation theory in a pure exchange non-equilibrium economy
Perturbation theory pure exchange non-equilibrium economy
2010/10/29
We develop a formalism to study linearized perturbations around the equilibria of a pure exchange economy. With the use of mean field theory techniques, we derive equations for the flow of products in...
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...
Financial Applications of Random Matrix Theory: a short review
Financial Applications Random Matrix Theory short review
2010/11/2
The Marˇcenko-Pastur 1967 paper [1] on the spectrum of empirical correlation matrices is both remarkable and precocious. It turned out to be useful in many, very different contexts (neural networks, i...
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...
Mathematical analysis of Soros's theory of reflexivity
Soros’s theory of reflexivity Discrete dynamical systems
2010/10/29
Themathematical model proposed by George Soros for his theory of reflexivity is analyzed under the framework of discrete dynamical systems. We show the importance of the notion of fixed points for exp...
Ping Chen, "Microfoundations of Macroeconomic Fluctuations and the Laws of Probability Theory: the Principle of Large Numbers vs. Rational Expectations Arbitrage," Journal of Economic Behavior & Organ...
A Formal Economic Theory for Happiness Studies: A Solution to the Happiness-Income Puzzle
Economics of Happiness Happiness-Income Puzzle Reference Group Theory Pareto Optimality
2010/7/2
This paper develops a formal economic theory that is mainly proposed to explain and study the Easterlin paradox — a puzzle at the heart of our lives: average happiness levels do not increase as countr...
The Impact of Labour Turnover: Theory and Evidence from UK Micro Data
Labour turnover turnover costs optimal turnover
2010/9/7
We analyse the impact of labour turnover on profits. We extend the efficiency wage model of Salop (1979) by separating incumbent and newly hired workers in the production function. We show that an exo...
2005年第5讲(总第441讲)
A Further Inquiry on the Real Bills Doctrine versus the Quantity Theory Debate
2007/8/10
主讲人
霍德明 教授
台湾国立政治大学
题目
Legal Restrictions and Sunspots：A Further Inquiry on the Real Bills Doctrine versus the Quantity Theory Debate
时间
2005年3月30日（星期三）下午2:00-3:30
地点
北京大学中国经济研究中心万众楼小教室
工作语言
中文
联系电话
6...
Research on the CPA Audit Independence Risk Assessment Based on the Rough Set Theory
rough set theory audit independence risk assessment mode
2007/7/4
The assessment mode of the CPA audit independence risk based on the Rough Set Theory is a risk assessment method and using the Analytical Hierarchy Process, whose aim is to solve the bid management in...
Economic Freedom : Theory First, Empiricism After
Economic Freedom Theory First Empiricism After
2014/6/24
The aim of this paper is to argue in favor of theoretically well - founded empirical examinations on how economic freedom affects economic performance,which is not the case, as we argue, in most of th...
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...