Showing 1 - 10 of 13,876
We build an equilibrium model to explain why stock return predictability concentrates in bad times. The key feature is that investors use different forecasting models, and hence assess uncertainty differently. As economic conditions deteriorate, uncertainty rises and investors' opinions...
Persistent link: https://www.econbiz.de/10011721618
equilibrium dynamics resulting from this learning process helps to explain the main stylized facts of free-floating exchange rates … the number of agents (not more than about 1000). With a larger population, this collective learning dynamics looses its …
Persistent link: https://www.econbiz.de/10011431839
Persistent link: https://www.econbiz.de/10015404965
data when the agent's beliefs about the model are updated through linear learning algorithms. We find that learning in this … recursive least squares learning, long memory arises when the coefficient on expectations is sufficiently large. Under … discounted least squares learning, long memory provides a very good approximation to the low-frequency variability of the data …
Persistent link: https://www.econbiz.de/10013075046
Persistent link: https://www.econbiz.de/10014490768
-Supervised Representation Learning) for robust anomaly detection. TDSRL leverages synthetic anomaly segments which are artificially generated to …
Persistent link: https://www.econbiz.de/10014513955
data when the agent's beliefs about the model are updated through linear learning algorithms. We find that learning in this … recursive least squares learning, long memory arises when the coefficient on expectations is sufficiently large. Under … discounted least squares learning, long memory provides a very good approximation to the low-frequency variability of the data …
Persistent link: https://www.econbiz.de/10013092031
Persistent link: https://www.econbiz.de/10011974089
We examine the private information associated with insider trades using a Chinese data set. Insider buys positively forecast individual stock returns and insider sales negatively forecast individual stock returns. Classifying insiders as corporate managers and institutional investors, we find...
Persistent link: https://www.econbiz.de/10012834521
Persistent link: https://www.econbiz.de/10012591594