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Johannes, Michael S.; Polson, Nick; Yae, James - 2011

applied to state filtering and sequential parameter learning. This paper introduces robust state space models whose error …

Persistent link: https://www.econbiz.de/10014200732

Testing Multiple Forecasters

Feinberg, Yossi - 2007

We consider a cross-calibration test of predictions by multiple potential experts in a stochastic environment. This test checks whether each expert is calibrated conditional on the predictions made by other experts. We show that this test is good in the sense that a true expert - one informed of...

Persistent link: https://www.econbiz.de/10012730968

Disclosing a Random Walk

Kremer, Ilan; Schreiber, Amnon; Skrzypacz, Andrzej - 2022

We examine a dynamic disclosure model in which the value of a firm follows a random walk. Every period, with some probability, the manager learns the value and decides whether to disclose it. The manager maximizes the market perception of the firm's value, which is based on disclosed...

Persistent link: https://www.econbiz.de/10013306273

Genetic learning as an explanation of stylized facts of foreign exchange markets

Lux, Thomas; Schornstein, Sascha - 2002

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 … Hauptinteresse geht dahin, herauszufinden, ob die Gleichgewichtsdynamik, die aus diesem Lernprozess resultiert, dabei helfen kann …

Persistent link: https://www.econbiz.de/10011431839

Learning and Risk Management Decisions

Lohmaier, Dominik - 2015

Due to the lack of descriptive information about the effectiveness of risk management activities, decision-makers often have to rely on (their own) prior experience with these investments. Thus, we propose a novel, feedback-based approach to examine risk management decisions. We simulate...

Persistent link: https://www.econbiz.de/10013019703