Showing 1 - 10 of 32,312
We develop a formalism to study linearized perturbations around the equilibria of a pure exchange economy. With the use of mean field theory techniques, we derive equations for the flow of products in an economy driven by heterogeneous preferences and probabilistic interaction between agents. We...
Persistent link: https://www.econbiz.de/10005083751
We normalize the combinatorial Laplacian of a graph by the degree sum, look at its eigenvalues as a probability distribution and then study its Shannon entropy. Equivalently, we represent a graph with a quantum mechanical state and study its von Neumann entropy. At the graph-theoretic level,...
Persistent link: https://www.econbiz.de/10005837103
We study the problem of optimal trading using general alpha predictors with linear costs and temporary impact. We do this within the framework of stochastic optimization with finite horizon using both limit and market orders. Consistently with other studies, we find that the presence of linear...
Persistent link: https://www.econbiz.de/10011123795
We revisit the problem of pricing options with historical volatility estimators. We do this in the context of a generalized GARCH model with multiple time scales and asymmetry. It is argued that the reason for the observed volatility risk premium is tail risk aversion. We parametrize such risk...
Persistent link: https://www.econbiz.de/10010738326
In this work, we identify the most general measure of arbitrage for any market model governed by It\^o processes. We show that our arbitrage measure is invariant under changes of num\'{e}raire and equivalent probability. Moreover, such measure has a geometrical interpretation as a gauge...
Persistent link: https://www.econbiz.de/10005099218
We study a class of heterogeneous agent-based models which are based on a basic set of principles, and the most fundamental operations of an economic system: trade and product transformations. A basic guiding principle is scale invariance, which means that the dynamics of the economy should not...
Persistent link: https://www.econbiz.de/10005083663
Replaced with revised version of paper 02/22/08.
Persistent link: https://www.econbiz.de/10005476498
This paper evaluates the possible consequences of decreasing in the amount of water provided by the irrigation board to the farms, and increasing in the unitary water charges that the irrigation board applies to the farms. The study has been conducted in a Mediterranean region of southern Italy...
Persistent link: https://www.econbiz.de/10005483622
The way entitlements are originally allocated among farmers and some conditions required to get the payments could affect farmer's willingness to trade land and entitlements. This paper - using a qualitative approach and some results of a farm based simulation analysis - explores how...
Persistent link: https://www.econbiz.de/10004979596
This paper investigates how different off-farm income sources and CAP direct payments affect income inequality among farm households. It uses the Gini coefficient and its decomposition on the whole sample of FADN individual farms of Italy in 2011. CAP direct payments and the overall off-farm...
Persistent link: https://www.econbiz.de/10011125190