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El Farol Revisited : A Note on Emergence, Game Theory and Society
Shubik, Martin - 2009
Persistent link: https://www.econbiz.de/10014202635
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Should Auctions Be Transparent?
Bergemann, Dirk - 2017
We investigate the role of market transparency in repeated first-price auctions. We consider a setting with independent private and persistent values. We analyze three distinct disclosure regimes regarding the bid and award history. In the minimal disclosure regime each bidder only learns...
Persistent link: https://www.econbiz.de/10012948369
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Runs, Panics and Bubbles : Diamond Dybvig and Morris Shin Reconsidered
Smith, Eric - 2012
The basic two-noncooperative-equilibrium-point model of Diamond and Dybvig is considered along with the work of Morris and Shin utilizing the possibility of outside noise to select a unique equilibrium point. Both of these approaches are essentially nondynamic. We add an explicit replicator...
Persistent link: https://www.econbiz.de/10013101529
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Adaptive Rationality in Strategic Interaction : Do Emotions Regulate Thinking about Others?
Ehrig, Timo; Manjaly, Jaison; Singh, Aditya; Sunder, Shyam - 2021
Forming beliefs or expectations about others’ behavior is fundamental to strategy, as it co-determines the outcomes of … other to form expectations about behavior. According to prior scholarship, actual strategists fall short of this ideal, and … attempts to understand the underlying cognitive processes of forming expectations about others are in their infancy. We propose …
Persistent link: https://www.econbiz.de/10013324375
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Semiparametric Efficiency Bound for Models of Sequential Moment Restrictions Containing Unknown Functions
Ai, Chunrong; Chen, Xiaohong - 2009
This paper computes the semiparametric efficiency bound for finite dimensional parameters identified by models of sequential moment restrictions containing unknown functions. Our results extend those of Chamberlain (1992b) and Ai and Chen (2003) for semiparametric conditional moment restriction...
Persistent link: https://www.econbiz.de/10014203169
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Dynamic Misspecification in Nonparametric Cointegrating Regression
Kasparis, Ioannis; Phillips, Peter C. B. - 2009
Linear cointegration is known to have the important property of invariance under temporal translation. The same property is shown not to apply for nonlinear cointegration. The requisite limit theory involves sample covariances of integrable transformations of non-stationary sequences and time...
Persistent link: https://www.econbiz.de/10014207414
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Jackknifing Bond Option Prices
Phillips, Peter C. B. - 2013
In continuous time specifications, the prices of interest rate derivative securities depend crucially on the mean reversion parameter of the associated interest rate diffusion equation. This parameter is well known to be subject to estimation bias when standard methods like maximum likelihood...
Persistent link: https://www.econbiz.de/10012754648
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Large Deviations and the Distribution of Price Changes
Calvet, Laurent E. - 2013
The Multifractal Model of Asset Returns (See lt;a HREF=http://papers.ssrn.com/paper.taf?abstract_id=78588gt;Mandelbrot, Fisher, and Calvet, 1997lt;/Agt; ) proposes a class of multifractal processes for the modelling of financial returns. In that paper, multifractal processes are defined by a...
Persistent link: https://www.econbiz.de/10012754770
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Multifractality of Deutschemark
Fisher, Adlai J. - 2013
This paper presents the first empirical investigation of the Multifractal Model of Asset Returns (quot;MMARquot;). The MMAR, developed in Mandelbrot, Fisher, and Calvet (1997) (See Mandelbrot, Fisher, and Calvet, 1997 at the following URL: http://papers.ssrn.com/paper.taf?abstract_id=78588 ), is...
Persistent link: https://www.econbiz.de/10012754771
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A Multifractal Model of Asset Returns
Mandelbrot, Benoit B. - 2013
This paper presents the quot;multifractal model of asset returnsquot; (quot;MMARquot;), based upon the pioneering research into multifractal measures by Mandelbrot (1972, 1974). The multifractal model incorporates two elements of Mandelbrot's past research that are now well known in finance....
Persistent link: https://www.econbiz.de/10012754772