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Statistical learning models have profoundly changed the rules of trading on the stock exchange. Quantitative analysts try to utilise them predict potential profits and risks in a better manner. However, the available studies are mostly focused on testing the increasingly complex machine learning...
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Seit einigen Jahren werden von der Dresdner Niederlassung des ifo Instituts im halbjährlichen Rhythmus Prognosen zur gesamtwirtschaftlichen Entwicklung in Sachsen und Ostdeutschland erstellt. Das Bruttoinlandsprodukt (BIP), als wichtigste Konjunktur- und Prognosevariable, wird dabei...
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It has been forty years since the oil crisis of 1973/74. This crisis has been one of the defining economic events of the 1970s and has shaped how many economists think about oil price shocks. In recent years, a large literature on the economic determinants of oil price fluctuations has emerged....
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The approximate agents' wealth and price invariant densities of the prediction market model presented in Kets et al.(2014) is derived using the Fokker-Planck equation of the associated continuous-time jump process. We show that the approximation obtained from the evolution of log-wealth...
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We investigate market selection and bet pricing in a simple Arrow security economy which we show is equivalent to the repeated prediction market models studied in the literature. We derive the condition for long run survival of more than one agent (the crowd) and quantify the information content...
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