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Searching for Information
Han, Jungsuk - 2018
This paper provides a search-based information acquisition framework using an urn model with an asymptotic approach. The underlying intuition of the model is simple: when the scope of information search is more limited, marginal search efforts produce less useful information due to redundancy,...
Persistent link: https://www.econbiz.de/10012937517
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Detecting informed trading activities in the options markets
Chesney, Marc; Crameri, Remo; Mancini, Loriano - 2011
We develop statistical methods to detect informed trading in options markets. We apply these methods to 31 companies from various sectors over 14 years analyzing approximately 9.6 million option prices. We find that option informed trading tends to cluster prior to certain events, takes place...
Persistent link: https://www.econbiz.de/10009314008
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Detecting informed trading activities in the options markets : appendix on subprime financial crisis
Chesney, Marc; Crameri, Remo; Mancini, Loriano - 2011
This appendix extends the empirical results in Chesney, Crameri, and Mancini (2011). Informed trading activities on put and call options are analyzed for 19 companies in the banking and insurance sectors from January 1996 to September 2009. Our empirical findings suggest that certain events such...
Persistent link: https://www.econbiz.de/10009314012
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A tale of two debt crises : a stochastic optimal control analysis
Stein, Jerome L. - 2009
Banks should evaluate whether a borrower is likely to default. The author applies several techniques in the extensive mathematical literature of stochastic optimal control/dynamic programming to derive an optimal debt in an environment where there are risks on both the asset and liabilities...
Persistent link: https://www.econbiz.de/10003884842
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A tale of two debt crises : a stochastic optimal control analysis
Stein, Jerome L. - 2010
Creditors, banks and bank regulators should evaluate whether a borrower is likely to default. I apply several techniques in the extensive mathematical literature of stochastic optimal control/dynamic programming to derive an optimal debt in an environment where there are risks on both the asset...
Persistent link: https://www.econbiz.de/10003919000
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A critique of the literature on the US financial debt crisis
Stein, Jerome L. - 2010
A healthy financial system encourages the efficient allocation of capital and risk. The collapse of the house price bubble led to the financial crisis that started in 2007. There is a large empirical literature concerning the relation between asset price bubbles and financial crises. I evaluate...
Persistent link: https://www.econbiz.de/10003936616
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Land conversion pace under uncertainty and irreversibility : too fast or too slow?
Di Corato, Luca; Moretto, Michele; Vergalli, Sergio - 2011
landholders under uncertainty about the value of environmental services and irreversible development. We study land conversion … Government to induce adequate participation in a conservation plan. We study the impact of uncertainty on the optimal conversion … of deforestation. Interestingly, we show that uncertainty, even if it induces conversion postponement in the short …
Persistent link: https://www.econbiz.de/10009379745
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Dynamic optimization and learning : how should a manager set prices when the demand function is unknown?
Carvalho, Alexandre Ywata de; Puterman, Martin L. - 2015
This paper considers the problem of changing prices over time to maximize expected revenues in the presence of unknown demand distribution parameters. It provides and compares several methods that use the sequence of past prices and observed demands to set price in the current period. A Taylor...
Persistent link: https://www.econbiz.de/10012025378
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Optimal search with costly recall
Janssen, Maarten C. W.; Parakhonyak, Alexei - 2008
This paper builds a consumer search model where the cost of going back to stores already searched is explicitly taken into account. We show that the optimal search rule under costly recall is very different from the optimal search rule under perfect recall. Under costly recall, the optimal...
Persistent link: https://www.econbiz.de/10011373816
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Consumer Search with Costly Recall
Janssen, Maarten - 2012
This paper builds a consumer search model where the cost of going back to stores already searched is explicitly taken into account. We show that the optimal search rule under costly recall is very different from the optimal search rule under perfect recall. Under costly recall, the optimal...
Persistent link: https://www.econbiz.de/10012755259