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Understanding Bonds Pricing and the Risks ‘My Name Is Bond, James Bond’
Burgess, Nicholas - 2022
we can compute a bond invoice i.e., the present value for a given cash investment in the bond. We present the classical … bond pricing formulae and show how to modify this formula to account for accrued interest.To be able to evaluate bond cash … the bond. There is no closed-form analytical solution. Therefore, it must be solved for using an optimization algorithm …
Persistent link: https://www.econbiz.de/10014235519
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Equilibrium of Real Financial Markets: Theory and Experimental Evidence
Bossaerts, Peter - C.E.P.R. Discussion Papers - 2004
The theory and the data in this Paper challenge the view that there is no structure in prices and allocations when markets are off equilibrium. Starting from the observation that price-taking usually applies only to small orders, a theory of equilibration is derived based on the assumption that...
Persistent link: https://www.econbiz.de/10005792218
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Basic Principles Of Asset Pricing Theory: Evidence From Large-Scale Experimental Financial Markets
Bossaerts, Peter; Plott, Charles - C.E.P.R. Discussion Papers - 2000
We report on six large-scale financial markets experiments that were designed to test two of the most basic propositions of modern asset pricing theory, namely, that the interaction between risk averse agents in a competitive market leads to equilibration, and that, in equilibrium, risk premia...
Persistent link: https://www.econbiz.de/10005662411
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Expectations structure in asset pricing experiments
Bottazzi, Giulio; Devetag, Giovanna - 2003
van de Velden (2002a). We consider a simple two asset economy with a riskless bond and a risky stock. Each market is …
Persistent link: https://www.econbiz.de/10010328437
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Does volatility matter? Expectations of price return and variability in an asset pricing experiment
Bottazzi, Giulio; Devetag, Giovanna; Pancotto, Francesca - 2009
We present results of an experiment on expectation formation in an asset market. Participants to our experiment must provide forecasts of the stock future return to computerized utility-maximizing investors, and are rewarded according to how well their forecasts perform in the market. In the...
Persistent link: https://www.econbiz.de/10010328471
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Coordination of Expectations in Asset Pricing Experiments
Hommes, Cars; Sonnemans, Joep; Tuinstra, Jan; van de … - 2003
We investigate expectation formation in a controlled experimental en-vironment. Subjects are asked to predict the price in a standard asset pricingmodel. They do not have knowledge of the underlying market equilibrium equa-tions, but they know all past realized prices and their own predictions....
Persistent link: https://www.econbiz.de/10010324831
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Complex evolutionary systems in behavioral finance
Hommes, Cars H.; Wagener, Florian Oskar Ottokar - 2008
Traditional finance is built on the rationality paradigm. This chapter discusses simple models from an alternative approach in which financial markets are viewed as complex evolutionary systems. Agents are boundedly rational and base their investment decisions upon market forecasting heuristics....
Persistent link: https://www.econbiz.de/10011376458
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Does risk sorting explain bubbles?
Kiss, Hubert J.; Kóczy, László Á.; Pintér, Ágnes; … - 2019
A recent stream of experimental economics literature studies the factors that contribute to the emergence of financial bubbles. We consider a setting where participants sorted according to their degree of risk aversion trade in experimental asset markets. We show that risk sorting is able to...
Persistent link: https://www.econbiz.de/10012016397
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Coordination of expectations in asset pricing experiments
Hommes, Cars H.; Sonnemans, Joep; Tuinstra, Jan; … - 2003
We investigate expectation formation in a controlled experimental en-vironment. Subjects are asked to predict the price in a standard asset pricingmodel. They do not have knowledge of the underlying market equilibrium equa-tions, but they know all past realized prices and their own predictions....
Persistent link: https://www.econbiz.de/10011333274
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Expectations structure in asset pricing experiments
Bottazzi, Giulio (contributor);  … - 2003 - [Elektronische Ressource]
van de Velden (2002a). We consider a simple two asset economy with a riskless bond and a risky stock. Each market is …
Persistent link: https://www.econbiz.de/10002133504