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Evolution and market behavior with endogenous investment rules

Bottazzi, Giulio; Dindo, Pietro - In: Journal of Economic Dynamics and Control 48 (2014) C, pp. 121-146

In a repeated market for short-lived assets, we investigate wealth-driven selection among investment rules that depend … be a common phenomenon generated by two different mechanisms. Firstly, conditioning investment decisions on endogenous … market variables implies that the relative performance of investment rules, in terms of average growth rates, may be …

Persistent link: https://www.econbiz.de/10011077521

The impact of a financial transaction tax on stylized facts of price returns—Evidence from the lab

Huber, Jürgen; Kleinlercher, Daniel; Kirchler, Michael - In: Journal of Economic Dynamics and Control 36 (2012) 8, pp. 1248-1266

As the introduction of financial transaction taxes is increasingly discussed by political leaders we explore possible consequences such taxes could have on markets. Here we examine how “stylized facts”, namely fat tails and volatility clustering, are affected by different tax regimes in...

Persistent link: https://www.econbiz.de/10011051912

Resource prices and planning horizons

Spiro, Daniel - In: Journal of Economic Dynamics and Control 48 (2014) C, pp. 159-175

This paper shows that a seemingly simple assumption – that agents use a rolling planning horizon – can reconcile the puzzling long run price dynamics of exhaustible resources such as oil, gas and metals. A rolling horizon has the effect of removing the scarcity consideration of resource...

Persistent link: https://www.econbiz.de/10011077526

PQ strategies in monopolistic competition: Some insights from the lab

Assenza, Tiziana; Grazzini, Jakob; Hommes, Cars; … - In: Journal of Economic Dynamics and Control 50 (2015) C, pp. 62-77

perishable good. The experiment is designed to study the price–quantity setting behavior of subjects acting as firms in …

Persistent link: https://www.econbiz.de/10011190676

Sufficiency of an outside bank and a default penalty to support the value of fiat money: Experimental evidence

Huber, Jürgen; Shubik, Martin; Sunder, Shyam - In: Journal of Economic Dynamics and Control 47 (2014) C, pp. 317-337

We present a model in which an outside bank and a default penalty support the value of fiat money, and experimental evidence that the theoretical predictions about the behavior of such economies, based on the Fisher-condition, work reasonably well in a laboratory setting. The import of this...

Persistent link: https://www.econbiz.de/10011051917

Experimental evidence on inflation expectation formation

Pfajfar, Damjan; Žakelj, Blaž - In: Journal of Economic Dynamics and Control 44 (2014) C, pp. 147-168

studied simple heuristics. Using a test for rational expectations that allows heterogeneity of expectations we find that we …

Persistent link: https://www.econbiz.de/10011051944

The New Keynesian Phillips curve with myopic agents

Orland, Andreas; Roos, Michael W.M. - In: Journal of Economic Dynamics and Control 37 (2013) 11, pp. 2270-2286

costly. In a laboratory experiment we implement the Calvo (1983) microfoundations of the Phillips curve. Our hypotheses are …

Persistent link: https://www.econbiz.de/10010703124

Portfolio management with robustness in both prediction and decision: A mixture model based learning approach

Zhu, Shushang; Fan, Minjie; Li, Duan - In: Journal of Economic Dynamics and Control 48 (2014) C, pp. 1-25

compelling challenge in investment, any underlying distribution can be always well approximated by utilizing a mixture …

Persistent link: https://www.econbiz.de/10011077505

Location-scale portfolio selection with factor-recentered skew normal asset returns

Gan, Quan - In: Journal of Economic Dynamics and Control 48 (2014) C, pp. 176-187

parameter and two scale parameters. Risk preference on scale parameter is non-monotonic and risk averse investors prefer larger …. Numerical cases under constant absolute risk aversion are analyzed with its closed-form certainty equivalent. An asset pricing …

Persistent link: https://www.econbiz.de/10011077507

Non-transferable non-hedgeable executive stock option pricing

Colwell, David B.; Feldman, David; Hu, Wei - In: Journal of Economic Dynamics and Control 53 (2015) C, pp. 161-191

To value non-transferable non-hedgeable (NTNH) contingent claims and price executive stock options (ESOs), we use a replication argument to translate portfolios with NTNH derivatives into portfolios of primary assets (only) with stochastic portfolio constraints. By identifying stochastic...

Persistent link: https://www.econbiz.de/10011209189