Current understanding holds that financial contagion is driven mainly by system-wide interconnectedness of institutions. A distinction has been made between systematic and idiosyncratic channels of contagion, with shocks transmitted through the latter expected to be substantially more likely to...

We propose a continuous-time heterogeneous agent model consisting of fundamental, momentum, and contrarian traders to explain the significant time series momentum. We show that the market under-reacts in short-run and over-reacts in long-run when momentum traders dominate the market, which...

This paper studies a class of continuous-time stochastic games in which the actions of a long-run player have a persistent effect on payoffs. For example, the quality of a firm's product depends on past as well as current effort, or the level of a policy instrument depends on a government's past...

The method of exponential smoothing is widely used in the forecasting of financial and economic characteristics in different sectors of the economy, departments, etc. In the construction of a forecast model by exponential smoothing time series of characteristics of socio–economic security is...