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A Heuristic Technique for Model Selection Problems

Gilli, Manfred; Roth, Nicolas - Society for Computational Economics - SCE - 2002

Persistent link: https://www.econbiz.de/10005706621

Studying Real Options with Genetic Algorithms

Balmann, Alfons; Musshoff, Oliver - Society for Computational Economics - SCE - 2001

Mathematically oriented microeconomic research has contributed enormously to the understanding of economic behavior and the functioning of markets and institutions. However, theoretical as well as applied microeconomic studies may be driven too much by mathematical feasibility. An illustrative...

Persistent link: https://www.econbiz.de/10005706742

Adaptive Learning and Emergent Coordination in Minority Games

Giulio Bottazzi, Giovanna Devetag, Giovanni Dosi - Society for Computational Economics - SCE - 2001

The work studies the properties of a coordination game in which agents repeatedly compete to be in the population minority. The game reflects some essential features of those economic situations in which positive rewards are assigned to individuals who behave in opposition to the modal behavior...

Persistent link: https://www.econbiz.de/10005706745

The Compound Option Approach to American Options on Jump-Diffusions

Gukhal, Chandrasekhar Reddy - Society for Computational Economics - SCE - 2001

We derive analytical valuation formulas for compound options when the underlying asset follows a jump-diffusion process. We then apply these results to value extendible options, American call options on stocks that follow jump-diffusion processes and pay discrete dividends, and American options...

Persistent link: https://www.econbiz.de/10005706758

An Interacting-Agents Approach to International Financial Contagion

Kaizoji, Taisei - Society for Computational Economics - SCE - 2001

) the volatility of financial prices is time-varying; (ii) when volatility is high, the price changes in major markets tend … Market Co-Movements.‰h NBER Working Paper 7267. 3 King, Mervyn, and Sushil Wadhwani (1990). ‰gTransmission of Volatility …

Persistent link: https://www.econbiz.de/10005132883

Switching Regime Models: applications to trading rules

Almeida, Nuno; Pereira, Pedro Valls - Society for Computational Economics - SCE - 2002

Persistent link: https://www.econbiz.de/10005537688

Heterogeneous Interacting Agent Models and the Stylized Facts

Kaizoji, Taisei - Society for Computational Economics - SCE - 2001

by fat tailed returns with clustered volatility that are considered to be the most important stylized facts in financial … mathematical mechanisms that give cause to volatility clustering. References 1 Brock, W.A., and Hommes, C.H., (1997), Models of … Hommes, C. H., (2000), A NonlinearStructural Model fro Volatility Clustering, CeNDEF working paper, University of Amsterdam …

Persistent link: https://www.econbiz.de/10005537776

The great influence of less risk averse agents

Niehaus, Frank - Society for Computational Economics - SCE - 2003

Persistent link: https://www.econbiz.de/10005537793

A Fully-Rational Liquidity-Based Theory of IPO Underpricing and Underperformance

Pritsker, Matt - Society for Computational Economics - SCE - 2005

I present a fully-rational symmetric-information model of an IPO, as well as a dynamic imperfectly competitive model of the aftermarket trading that follows. The model helps explain why IPO share allocations favor large institutional investors. It also helps to explain IPO underpricing, and...

Persistent link: https://www.econbiz.de/10005345038

Aggregate Uncertainty, Individual Uncertainty and the Housing Market

Peterson, Brian - Society for Computational Economics - SCE - 2003

Persistent link: https://www.econbiz.de/10005345687