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We provide a tractable characterization of the sharp identification region of the parameters ø in a broad class of incomplete econometric models. Models in this class have set valued predictions that yield a convex set of conditional or unconditional moments for the observable model variables....
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Conventionally, game theory predicts that the joint mixed strategy of players in a noncooperative game will satisfy … strategies not satisfying it are assigned probability zero. As an alternative, we recast the prediction problem of game theory as … theory, on specifying a set of "equilibrium" mixed strategies, with a new focus, on specifying a probability density over all …
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Using virtual stock markets with artificial interacting software investors, 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 optimizing the...
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