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More Hedging Instruments may destablize Markets
Brock, William; Hommes, Cars; Wagener, Florian - Tinbergen Instituut - 2006
This discussion paper resulted in a publication in the <I>Journal of Economic Dynamics & Control</I>. Volume 33(11), pp. 1912-1928.<P> This paper formalizes the idea that more hedging instruments may destabilize markets when traders are heterogeneous and adapt their behavior according to experience based...</p></i>
Persistent link: https://www.econbiz.de/10011255525
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Heterogeneous Agent Models in Economics and Finance
Hommes, Cars H. - Tinbergen Instituut - 2005
This paper surveys work on dynamic heterogeneous agent models (HAMs) in economics and finance. Emphasis is given to simple models that, at least to some extent, are tractable by analytic methods in combination with computational tools. Most of these models are behavioral models with boundedly...
Persistent link: https://www.econbiz.de/10011255802
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Heterogeneous Agent Models: Two Simple Case Studies
Hommes, Cars - Tinbergen Instituut - 2005
These notes review two simple heterogeneous agent models in economics and finance. The first is a cobweb model with rational versus naive agents introduced in Brock and Hommes (1997). The second is an asset pricing model with fundamentalists versus technical traders introduced in Brock and...
Persistent link: https://www.econbiz.de/10011256250
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Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes
Blasques, Francisco; Koopman, Siem Jan; Lucas, Andre - Tinbergen Instituut - 2012
parameterization and scaling, which are key features of GAS models compared to other observation driven models. The Dudley entropy …
Persistent link: https://www.econbiz.de/10011256295
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A Behavioral Model for Participation Games with Negative Feedback
Dindo, Pietro; Tuinstra, Jan - Tinbergen Instituut - 2006
We study participation games with negative feedback, i.e. games where players choose either to participate in a certain project or not and where the payoff for participating decreases in the number of participating players. We use the replicator dynamics to model the competition between...
Persistent link: https://www.econbiz.de/10011257028
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A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500
Allen, David E.; McAleer, Michael; Powell, Robert; … - Tinbergen Instituut - 2013
sets a series of non-parametric based tests utilising entropy based metrics. These suggest that the PDFs and CDFs of these … two return distributions change shape in various subsample periods. The entropy and MI statistics suggest that the degree … most recent period from 2011 to 2012. The entropy based non-parametric tests of the equivalence of the two distributions …
Persistent link: https://www.econbiz.de/10011256625