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We follow the seminal work of Paelinck (1978) who introduces spatial interdependence of, i.e. income, expenditure, investment, to classic Keynesian economic models, and estimate a spatial factor model. Asset prices may display characteristics of spatial dependence meaning spatial proximity can...
Persistent link: https://www.econbiz.de/10012855114
We analyze a recently proposed spatial autoregressive model for stock returns and compare it to a one-factor model and the sample covariance matrix. The influence of refinements to these covariance estimation methods is studied. We employ power mapping as a noise reduction technique for the...
Persistent link: https://www.econbiz.de/10013035108
replicator equation. This allows quantifying the evolutionary price competition between stocks. The theory suggests that stock …
Persistent link: https://www.econbiz.de/10013022696
This paper develops a general continuous-time evolutionary finance model with time-dependent strategies. It is shown that the continuous model, which is a limit of a general discrete model, is well-defined and if there exists one completely diversified strategy in the market, then there is no...
Persistent link: https://www.econbiz.de/10014220854
This dissertation deals with the impact of speculative behaviour on output patterns of the real economy. The impact may be twofold. Speculative behaviour occurs due to positive developments at the real economy and optimistic outlooks. Also, speculative behaviour may occur at other markets, like...
Persistent link: https://www.econbiz.de/10011475669
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We study front-running by high frequency traders (HFTs) in a limit order model with continuous trading. The model describes an evolutionary equilibrium of low frequency traders (LFTs) who compete in portfolio management services by offering investment styles. The introduction of front-runners...
Persistent link: https://www.econbiz.de/10011627064
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