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Spatial Evolution of Automata in the Prisoners' Dilemma
Kirchkamp, Oliver - University of Bonn, Germany - 1995
This paper applies the idea of evolution to a spatial model. We assume that prisoners' dilemmas or coordination games are played repeatedly within neighborhoods where players do not optimize but instead copy successful strategies. Discriminatory behavior of players is introduced representing...
Persistent link: https://www.econbiz.de/10004968227
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Advancing Learning and Evolutionary Game Theory with an Application to Social Dilemmas
Izquierdo, Luis R. - Volkswirtschaftliche Fakultät, … - 2008
This thesis advances game theory by formally analysing the implications of replacing some of its most stringent assumptions with alternatives that –at least in certain contexts– have received greater empirical support. Specifically, this thesis makes two distinct contributions in the field...
Persistent link: https://www.econbiz.de/10005790121
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Reverse Engineering Financial Markets with Majority and MinorityGames using Genetic Algorithms
WIESINGER, Judith; SORNETTE, Didier; SATINOVER, Jeffrey
Using virtual stock markets with artificial interacting software in- vestors, aka agent-based models (ABMs), we present a method to reverse engineer real-world financial time series. We model financial markets as made of a large number of interacting boundedly rational agents. By op- timizing...
Persistent link: https://www.econbiz.de/10008922903
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The Equivalence of Causality Detection in VAR and VECM Modeling with Applications to Exchange Rates
Brailsford, T.J.; Penm, J. H.W.; Terrell, R.D. - In: Multinational Finance Journal 10 (2006) 3-4, pp. 153-178
equivalent VAR models. …
Persistent link: https://www.econbiz.de/10010937096
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Financial Crisis Resolution
Schroth, Josef - Bank of Canada - 2012
This paper studies a dynamic version of the Holmstrom-Tirole model of intermediated finance. I show that competitive equilibria are not constrained efficient when the economy experiences a financial crisis. A pecuniary externality entails that banks’ desire to accumulate capital over time...
Persistent link: https://www.econbiz.de/10010599184
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The Age of Turbulence - Credit Derivatives Style
Byström, Hans - Nationalekonomiska Institutionen, Ekonomihögskolan - 2008
This paper focuses on the many extreme credit default swap spread movements observed during the recent credit crisis and on how the tails of the spread (and price) change distribution significantly differ from those of the normal distribution even for diversified credit derivatives portfolios....
Persistent link: https://www.econbiz.de/10005190584
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Influencia de los precios de los metales y el mercado internacional en el riesgo bursátil peruano
Zevallos, Mauricio; Villarreal, Fernanda; Del Carpio, Carlos - Banco Central de Reserva del Perú - 2014
entredicho prácticas de gestión de riesgo basadas en el Valor en Riesgo (VaR). En este sentido, Adrian y Brunnermeier (2008, 2011 …) propusieron el VaR condicional (CoVaR) como medida de riesgo sistémico. El CoVaRi/j mide el VaR de la institución i dado que la … institución j se encuentra en problemas financieros, esto es, cuando la institución j tiene retorno igual a su VaR. Además, para …
Persistent link: https://www.econbiz.de/10011118615
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RISK TAKING, PRINCIPAL AGENT PROBLEMS AND BREAKDOWN OF CORPORATE SOCIAL RESPONSIBILITY (CSR): HOW TO REESTABLISH SAFE-ASSETS AND CAPITAL FUNDING FOR SOCIAL SECURITY?
Petersen, Hans-Georg; Wiegelmann, Alexander Martin - In: Equilibrium 8 (2013) 2, pp. 7-30
The breakdown of the financial markets in fall 2007 and the following debt crisis in the EU has produced an enormous mistrust in financial products and the monetary system. The paper describes the background of the crisis induced by functional failures in risk management and the multifold...
Persistent link: https://www.econbiz.de/10011274689
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Risk Taking, Principal Agent Problems and Breakdown of Corporate Social Responsibility (CSR): How to Reestablish Safe-Assets and Capital Funding for Social Security?
Petersen, Hans-Georg; Wiegelmann, Alexander Martin - In: Equilibrium 8, Issue 2 (2013), pp. 7-30
The breakdown of the financial markets in fall 2007 and the following debt crisis in the EU has produced an enormous mistrust in financial products and the monetary system. The paper describes the background of the crisis induced by functional failures in risk management and the multifold...
Persistent link: https://www.econbiz.de/10010741783
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Uncertainty of Multiple Period Risk Measures
Lönnbark, Carl - Institutionen för Nationalekonomi, Umeå Universitet - 2009
In general, the properties of the conditional distribution of multiple period returns do not follow easily from the one-period data generating process. This renders computation of Value-at-Risk and Expected Shortfall for multiple period returns a non-trivial task. In this paper we consider some...
Persistent link: https://www.econbiz.de/10005198007