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Using Neural Networks to Model Bounded Rationality in Interactive Decision-Making

Sgroi, D. - Faculty of Economics, University of Cambridge - 2003

This paper considers the use of neural networks to model bounded rational behaviour. The underlying theory and use of neural networks is now a component of various forms of scientific enquiry, be it modelling artificial intelligence, developing better pattern recognition or solving complex...

Persistent link: https://www.econbiz.de/10005783777

Strategy Learning in 3x3 Games by Neural Networks

Sgroi, D.; Zizzo, D. J. - Faculty of Economics, University of Cambridge - 2002

This paper presents a neural network based methodology for examining the learning of game-playing rules in never-before seen games. A network is trained to pick Nash equilibria in a set of games and then released to play a larger set of new games. While faultlessly selecting Nash equilibria in...

Persistent link: https://www.econbiz.de/10005489367

Herding in Financial Behaviour: A Behavioural and Neuroeconomic Analysis of Individual Differences

Baddeley, M.; Burke, C.; Schultz, W.; Tobler, P. - Faculty of Economics, University of Cambridge - 2012

Experimental analyses have identified significant tendencies for individuals to follow herd decisions, a finding which has been explained using Bayesian principles. This paper outlines the results from a herding task designed to extend these analyses using evidence from a functional magnetic...

Persistent link: https://www.econbiz.de/10010699828

Endogenous Correlation

Yang, J-H.S.; Satchell, S.E. - Faculty of Economics, University of Cambridge - 2003

We model endogenous correlation in asset returns via the role of heterogeneous expectations in investor types, and the dynamic impact of imitative learning by investors. Learning is driven by relative performance. In addition, we allow a cautious slow learning pace to reflect institutional...

Persistent link: https://www.econbiz.de/10005647348

Testing CAPM with a Large Number of Assets (Updated 28th March 2012)

Pesaran, M. H.; Yamagata, T. - Faculty of Economics, University of Cambridge - 2012

This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to …>T</em>, of the return series. Two new tests of CAPM are proposed that exploit recent advances on the analysis of large panel data … September 1989-September 2011. Statistically significant evidence against Sharpe-Lintner CAPM is found mainly during the recent …

Persistent link: https://www.econbiz.de/10009651254

The Evolution of Portfolio Rules and the Capital Asset Pricing Model

Sciubba, E. - Faculty of Economics, University of Cambridge - 1999

The aim of this paper is to test the performance of the standard version of CAPM in an evolutionary framework. We … ask what is the fate of those who happen to behave as prescribed by CAPM. In a complete securities market with aggregate … uncertainty, it is shown that traders who either believe' in CAPM and use it as a rule of thumb, or are endowed with genuine mean …

Persistent link: https://www.econbiz.de/10005489334

Strategic Eurasian Natural Gas Model for Energy Security (Revised 6 April 2011)

Chyong, C-K.; Hobbs, B. F. - Faculty of Economics, University of Cambridge - 2011

The mathematical formulation of a large-scale equilibrium natural gas simulation model is presented. Although large-scale natural gas models have been developed and used for energy security and policy analysis quite extensively (e.g., Holz (2007), Egging et al. (2008), Holz et al. (2009) and...

Persistent link: https://www.econbiz.de/10009024893

Political competition and Mirrleesian income taxation: A first pass

Bierbrauer, F.J.; Boyer, F.J. - Faculty of Economics, University of Cambridge - 2011

We study Downsian competition in a Mirrleesian model of income taxation. The competing politicians may dier in competence. If politicians engage in vote-share maximization, the less competent politician's policy proposals are attractive to the minority of rich agents, whereas those of the...

Persistent link: https://www.econbiz.de/10009024904

Congestion management in electricity networks: Nodal, zonal and discriminatory pricing

Holmberg, P.; Lazarczyk, E. - Faculty of Economics, University of Cambridge - 2012

Wholesale electricity markets use different market designs to handle congestion in the transmission network. We compare nodal, zonal and discriminatory pricing in general networks with transmission constraints and loop flows. We conclude that in large games with many producers who are allowed to...

Persistent link: https://www.econbiz.de/10010699809

Supply function equilibria in transportation networks

Holmberg, Pär; Philpott, Andy - Faculty of Economics, University of Cambridge - 2014

Transport constraints limit competition and arbitrageurs' possibilities of exploiting price differences between commodities in neighbouring markets. We analyze a transportation network where oligopoly producers compete with supply functions under uncertain demand, as in wholesale electricity...

Persistent link: https://www.econbiz.de/10010817473