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Monetary Policy and the Distribution of Money and Capital

Molico, Miguel; Zhang, Yahong - Society for Computational Economics - SCE - 2006

assets, in particular, capital. In this paper we present a model where the optimal portfolio allocation decision of agents is …. Capital goods are assumed to be type-specific and traded in a centralized market. Uninsurable idiosyncratic uncertainty in … equilibrium patterns of exchange, the distribution of wealth, capital accumulation and welfare. In particular, we show that a …

Persistent link: https://www.econbiz.de/10005537421

Bayesian Estimation of Total Investment Expenditures For Romanian Economy using DYNARE

Ratto, Marco; Girardi, Riccardo - Society for Computational Economics - SCE - 2004

In this paper we present the first estimation results of total investment expenditure for the Romanian economy, applying the Bayesian estimation approach of DSGE models presented in a number of various papers appeared recently in the open literature. The procedure requires the linear...

Persistent link: https://www.econbiz.de/10005537625

Financial markets with heterogeneous agents as nonlinear news filters

Diks, Cees - Society for Computational Economics - SCE - 2005

This paper aims at increasing our insights into the way financial markets respond to news. We view the market as a (nonlinear) filter of news on fundamentals. A stylized version of this situation is obtained by considering by a time dependent dividend rate which is driving the market. To model...

Persistent link: https://www.econbiz.de/10005537483

Empirical investigation and modeling of a financial market after a crash

Lillo, Fabrizio; Mantegna, Rosario N. - Society for Computational Economics - SCE - 2002

Persistent link: https://www.econbiz.de/10005537695

An analysis of the robustness of Genetic Algorithm (GA) methodology in the design of trading systems for the Stock Exchange

NUÑEZ, Laura - Society for Computational Economics - SCE - 2002

Persistent link: https://www.econbiz.de/10005706619

The continuous time random walk formalism in financial markets

Masoliver, Jaume; Montero, Miquel; Perello, Josep - Society for Computational Economics - SCE

We adapt the continuous time random walk (CTRW) formalism to describe the asset price evolution. We show some of the problems that can be treated using this approach. We basically focus on two aspects: (i) the derivation of the price distribution from high-frequency data; and (ii) the inverse...

Persistent link: https://www.econbiz.de/10005706837

Market Dynamics and Stock Price Volatility

J. Barkley Rosser, Jr.; Li, Honggang - Society for Computational Economics - SCE - 2004

This paper presents a possible explanation for some of the empirical properties of asset returns within a heterogeneous-agents framework. The model turns out, even if we assume the input fundamental value follows a simple Gaussian distribution lacking both fat tails and volatility dependence,...

Persistent link: https://www.econbiz.de/10005132796

Contagion in a heterogeneous inter bank market model.

Padilla, Francisco G.; Giulia Iori. - Society for Computational Economics - SCE - 2002

Persistent link: https://www.econbiz.de/10005132818

The Market Pricing of Mutual Insurance

Tapiero, Charles S. - Society for Computational Economics - SCE - 2006

A mutual insurance firm is a firm whose stockholders are the bearers of the insurance contracts. Insurance is then viewed as a collective (pooled) process of persons paying a fixed (or variable, contingent) amount monthly (the premium) and seeking protection against claims that may occur to any...

Persistent link: https://www.econbiz.de/10005342920

Heterogeneous Agents Past and Forward Time Horizons in Setting Up a Computational Model

Hayward, Serge - Society for Computational Economics - SCE - 2004

Price forecasting and trading strategies modelling are examined with major international stock indexes under different time horizons. Results demonstrate that an accurate prediction is equally important as a stable saving rate for long-term survivability. The best economic performances are...

Persistent link: https://www.econbiz.de/10005345247