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The Impacts of Fragmented Volatilities by Learning about Predictability in the Real Options Approach

Kijima, Masaaki; Shibata; Takashi - Society for Computational Economics - SCE - 2004

options framework. We extend the real options framework with incomplete information by allowing an unobserved state variable … options approach where complete information is available, we find that in the situation with incomplete information the … both information uncertainty decreases and estimation uncertainty increases …

Persistent link: https://www.econbiz.de/10005706554

Generalised Fading Memory Learning in a Cobweb Model: some evidence

Colucci, Domenico; Valori, Vincenzo - Society for Computational Economics - SCE - 2004

We develop a learning rule that generalises the well known fading memory learning in the sense that the weights attached to the available time series data are not constant and are updated in light of the prediction error(s). The underlying idea is that confidence in the available data will be...

Persistent link: https://www.econbiz.de/10005706555

Complex Adaptive Equilibria in a Standard Overlapping Generations Model with Production

Cellarier, Laurent - Society for Computational Economics - SCE - 2002

Persistent link: https://www.econbiz.de/10005706605

Learning and Non-Linear Misspecification

Georges, Christophre - Society for Computational Economics - SCE - 2002

Persistent link: https://www.econbiz.de/10005706616

Evolutionary Bargaining with Cooperative Investments

Dawid, Herbert; MacLeod, W. Bentley - Society for Computational Economics - SCE - 2002

Persistent link: https://www.econbiz.de/10005706640

Innovation and Diversification in Short-lived Markets

Dawid, Herbert; Reimann, Marc - Society for Computational Economics - SCE - 2002

Persistent link: https://www.econbiz.de/10005706648

Existence of Strongly Rational Expectations Equilibria on Asset Markets with Asymmetric Information

Heinemann, Maik - Society for Computational Economics - SCE - 2002

Persistent link: https://www.econbiz.de/10005706657

Agent-Based Modeling of Price Discovery and Excessive Volatility in Financial Markets

Chen, Shu-Heng; Liao, Chung-Chih - Society for Computational Economics - SCE - 2001

This paper studies the behavior of price discovery within a context of an agent based stock market in which the twin assumptions namely, rational expectations and the representative agents normally made in mainstream economics, are removed. In this model, traders stochastically update their...

Persistent link: https://www.econbiz.de/10005706753

Tick Size and Market Performance

Yeh, Chia-Hsuan - Society for Computational Economics - SCE - 2003

Persistent link: https://www.econbiz.de/10005706774

Intrinsic Heterogeneity in Expectation Formation

Evans, George; Branch, William - Society for Computational Economics - SCE - 2003

Persistent link: https://www.econbiz.de/10005706793