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Stop waiting problem : decision rule with [psi] function and application with share prices
Kohn, Wolfgang - 2014 - Preprint
In this paper the stop-waiting strategy of Franz Bruss is set into a simple probabilistic framework and applied to the apple share prices from 1984 to 2013. Within the probabilistic framework a heuristic and a mathematical decision rule using the $\Psi$ function is developed. The results are in...
Persistent link: https://www.econbiz.de/10010381562
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On free lunches in random walk markets with short-sale constraints and small transaction costs, and weak convergence to Gaussian continuous-time processes
Framstad, Nils Chr. - 2011
This paper considers a sequence of discrete-time random walk markets with a single risky asset, and gives conditions for the existence of arbitrage opportunities or free lunches with vanishing risk, of the form of waiting to buy and selling the next period, with no shorting, and furthermore for...
Persistent link: https://www.econbiz.de/10010330249
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Financial markets with volatility uncertainty
Vorbrink, Jörg - 2010
financial market that features volatility uncertainty. To have a mathematical consistent framework we use the notion of G … uncertainty the market is not complete any more. We establish the interval of no-arbitrage prices for general European contingent …
Persistent link: https://www.econbiz.de/10010285421
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Financial markets with volatility uncertainty
Vorbrink, Jörg - 2010
financial market that features volatility uncertainty. To have a mathematical consistent framework we use the notion of G … uncertainty the market is not complete any more. We establish the interval of no-arbitrage prices for general European contingent … uncertainty ; G-Brownian motion stochastic calculus …
Persistent link: https://www.econbiz.de/10008746123
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On free lunches in random walk markets with short-sale constraints and small transaction costs, and weak convergence to Gaussian continuous-time processes
Framstad, Nils Chr. - 2011 - Publisert 28. jun. 2011 09:08
This paper considers a sequence of discrete-time random walk markets with a single risky asset, and gives conditions for the existence of arbitrage opportunities or free lunches with vanishing risk, of the form of waiting to buy and selling the next period, with no shorting, and furthermore for...
Persistent link: https://www.econbiz.de/10009155859
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Uncertain growth, ambiguity aversion and asset prices
Liu, Hening - 2011
I develop a stochastic growth model with production where there is a hidden state governing productivity growth regimes, and the hidden state evolves according to a Markov chain. Economic agents learn about the hidden state and display ambiguity aversion in the spirit of Klibanoff et al. (2005)....
Persistent link: https://www.econbiz.de/10009411461
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Noise, Beliefs, and Momentum
Jordan, Steven J. - 2013
We show in a simple framework that momentum trading can exist in equilibrium and momentum trading is profitable. Properties of the model fit the empirics well. First, the model captures in a parsimonious manner both short-term overreaction and long-term reversals. Second, it predicts that...
Persistent link: https://www.econbiz.de/10013089438
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Trading Cointegrated Assets with Price Impact
Cartea, Álvaro - 2018
Executing a basket of co-integrated assets is an important task facing investors. Here, we show how to do this accounting for the informational advantage gained from assets within and outside the basket, as well as for the permanent price impact of market orders (MOs) from all market...
Persistent link: https://www.econbiz.de/10012936816
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Ambiguity Aversion in Algorithmic and High Frequency Trading
Donnelly, Ryan Francis - 2014
The concept of model uncertainty is one of increasing importance in the field of Mathematical Finance. The main goal of … this work is to explore model uncertainty in the specific area of algorithmic and high frequency trading. From a … behavioural perspective, model uncertainty naturally leads to the notion of ambiguity aversion - a person's tendency to avoid …
Persistent link: https://www.econbiz.de/10013043893
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Does smooth ambiguity matter for asset pricing?
Gallant, A. Ronald; Jahan-Parvar, Mohammad R.; Liu, Hening - 2018
We use the Bayesian method introduced by Gallant and McCulloch (2009) to estimate consumption-based asset pricing models featuring smooth ambiguity preferences. We rely on semi-nonparametric estimation of a flexible auxiliary model in our structural estimation. Based on the market and aggregate...
Persistent link: https://www.econbiz.de/10011780610