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A Demonstration of the PMF-Extraction Approach: Modeling The Effects of Sound on Crowd Behavior
Cornwell, Jason B; Silverman, Barry G; O'Brien, Kevin; … - 2002
The vast majority of psychology, sociology, and other social-science literature describing human behavior and performance does not reach the eyes of those of us working in the modeling and simulation community. Our recent work has been concerned with the extraction and implementation of Human...
Persistent link: https://www.econbiz.de/10009438993
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Arbitrage and Valuation in the Market for Standard and Poor's Depositary Receipts
Ackert, Lucy; Tian, Yisong S. - 2000
This paper examines pricing in the market for depositary receipts, securities designed to track the performance of a stock index that trade like shares of stock. Arbitrage costs are low because these assets have low fundamental risk, low transactions costs, and high dividend yields. We find that...
Persistent link: https://www.econbiz.de/10009459103
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An Autoregressive Conditional Filtering Process to remove Intraday Seasonal Volatility and its Application to Testing the Noisy Rational Expectations Model
Cho, Jang Hyung - 2008
pattern to change over time without the filtering process injecting a spurious pattern of noise into the filtered series. We … embedded in the return series. The variance is decomposed into the information arrival component and the noise factor component …. This decomposition methodology differs from previous studies in that both the informational variance and the noise variance …
Persistent link: https://www.econbiz.de/10009460480