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rational inattention
Wiederholt, Mirko - Palgrave Macmillan
Economists have studied for a long time how decision-makers allocate scarce resources. The recent literature on rational inattention studies how decision-makers allocate the scarce resource attention. The idea is that decision-makers have a limited amount of attention and have to decide how to...
Persistent link: https://www.econbiz.de/10009395648
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Estimating a structural model of herd behavior in financial markets
Cipriani, Marco; Guarino, Antonio - Federal Reserve Bank of New York - 2012
, rational herding arises because of information-event uncertainty. We estimate the model using 1995 stock market data for …
Persistent link: https://www.econbiz.de/10010552106
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The relationship between expected inflation, disagreement, and uncertainty: evidence from matched point and density forecasts
Rich, Robert; Tracy, Joseph - Federal Reserve Bank of New York - 2006
analyze the relationship between expected inflation, disagreement, and uncertainty. We extend previous studies through our … data construction and estimation methodology. Specifically, we derive measures of disagreement and uncertainty by using a … decomposition proposed in earlier research by Wallis and by applying the concept of entropy from information theory. We also …
Persistent link: https://www.econbiz.de/10005420680
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Probleme des Insolvenzplanverfahrens
Henselmann, Klaus; Gutbier, Manuel - Wirtschafts- und Sozialwissenschaftliche Fakultät, … - 2010
The paper analyses options in case of insolvency. Although insolvency plans empirically are very successful, they are …
Persistent link: https://www.econbiz.de/10008479035
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Analysis of binary trading patterns in Xetra
Maurer, Kai-Oliver; Schäfer, Carsten - Center for Financial Studies - 2010
This paper proposes the Shannon entropy as an appropriate one-dimensional measure of behavioural trading patterns in financial markets. The concept is applied to the illustrative example of algorithmic vs. non-algorithmic trading and empirical data from Deutsche Börse's electronic cash equity...
Persistent link: https://www.econbiz.de/10010986498
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Information Theoretic Metrics for Combining Qualitative and Quantitative Data from Consumer Surveys
Salaka, Vamsi; Prabhu, Vittal - In: Service Science 3 (2011) 4, pp. 338-348
information entropy to estimate uncertainty, the concepts of information gain, mutual information, and conditional entropy to …
Persistent link: https://www.econbiz.de/10010990645
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Maximum entropy distributions inferred from option portfolios on an asset
Neri, Cassio; Schneider, Lorenz - In: Finance and Stochastics 16 (2012) 2, pp. 293-318
Persistent link: https://www.econbiz.de/10010847052
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Global Convergence of the EM Algorithm for Unconstrained Latent Variable Models with Categorical Indicators
Weissman, Alexander - In: Psychometrika 78 (2013) 1, pp. 134-153
Convergence of the expectation-maximization (EM) algorithm to a global optimum of the marginal log likelihood function for unconstrained latent variable models with categorical indicators is presented. The sufficient conditions under which global convergence of the EM algorithm is attainable are...
Persistent link: https://www.econbiz.de/10010848139
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Particles, maps and irreversible thermodynamics
Cohen, E.G.D.; Rondoni, L. - In: Physica A: Statistical Mechanics and its Applications 306 (2002) C, pp. 117-128
We analyze some models of nonequilibrium systems proposed in the past decade which derive the laws of irreversible thermodynamics from deterministic dynamics. We find that these models do not posses the crucial property of local thermodynamic equilibrium, since they represent noninteracting...
Persistent link: https://www.econbiz.de/10010873161
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Thermodynamics of dilute gases in shear flow
Jou, D.; Criado-Sancho, M. - In: Physica A: Statistical Mechanics and its Applications 292 (2001) 1, pp. 75-86
We consider the effect of shear and normal viscous pressures on the non-equilibrium entropy of ideal gases in Couette flow. These results extend the previous ones (Bidar et al., Physica A 233 (1996) 163), where normal pressure effects were ignored. Furthermore, we analyze the non-equilibrium...
Persistent link: https://www.econbiz.de/10010873180