Showing 1 - 10 of 432
Persistent link: https://www.econbiz.de/10010905321
This paper proposes an equilibrium approach to belief manipulation and deception in which agents only have coarse knowledge of their opponent's strategy. Equilibrium requires the coarse knowledge available to agents to be correct, and the inferences and optimizations to be made on the basis of...
Persistent link: https://www.econbiz.de/10010706736
This article focuses on the impact of derivative markets on the American crude oil market. It first analyses the depth and liquidity of the market, and shows that there is a huge increase in activity from 1989 to 2003. Then the study focuses on prices volatility. The latter is separated into two...
Persistent link: https://www.econbiz.de/10010707195
This article focuses on the impact of derivative markets on the American crude oil market. It first analyses the depth and liquidity of the market, and shows that there is a huge increase in activity from 1989 to 2003. Then the study focuses on prices volatility. The latter is separated into two...
Persistent link: https://www.econbiz.de/10010707550
Acteurs incontournables des marchés financiers, les hedge funds demeurent mal connus. Qui sont-ils ? Quelles sont leur techniques de gestion ? Qu'offrent-ils de différent en termes de performance et de risque ?
Persistent link: https://www.econbiz.de/10010905264
This paper analyses the dynamic implications of an asset-pricing model with incomplete participation due to entry costs. It is shown that heterogeneity in entry costs can lead to the existence of multiple stochastic sunspot equilibria, whereby the number of agents in the market and asset prices...
Persistent link: https://www.econbiz.de/10010752110
Hedge fund replication based on factor models is encountering growing interest. In this paper, we investigate the implications of substituting standard rolling windows regressions, which appear ad-hoc, with more effcient methodologies like the Kalman flter. We show that the copycats constructed...
Persistent link: https://www.econbiz.de/10010706596
In this paper, we show that behavioral features can be obtained at a group level when the individuals of the group are heterogeneous enough. More precisely, starting from a standard model of Pareto optimal allocations, with expected utility maximizers and exponential dis- counting, but allowing...
Persistent link: https://www.econbiz.de/10011072719
In this note, we consider an economy with heterogeneous agents, differing by their time preference rate and by their beliefs. We show that at the Pareto optimum, the representative agent exhibits interesting behavioral properties. More precisely, starting from a standard model with expected...
Persistent link: https://www.econbiz.de/10011073446
This paper uses a stylised asset-pricing model to show that sunspots may cause asset returns to be predictable, a widely documented feature of many speculative markets. This result parallels and extends previous works showing that sunspots render asset prices excessively volatile.
Persistent link: https://www.econbiz.de/10010905155