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Every symmetric 3 x 3 global game of strategic complementarities is noise independent

Basteck, Christian; Daniëls, Tijmen R. - 2010

We prove that the global game selection in all 3 x 3 payoff-symmetric supermodular games is independent of the noise structure. As far as we know, all other proofs of noise independence of such games rely on the existence of a so-called monotone potential (MP) maximiser. Our result is more...

Persistent link: https://www.econbiz.de/10010281597

An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory

Bibinger, Markus - 2011

The article is devoted to the nonparametric estimation of the quadratic covariation of non-synchronously observed Itô … distribution theory for a generalized multiscale estimator including a feasible central limit theorem with optimal convergence rate …, several generalizations of the model and an algorithm for the implementation warrant the utility of the estimation method in …

Persistent link: https://www.econbiz.de/10010281599

CRRA utility maximization under risk constraints

Moreno-Bromberg, Santiago; Pirvu, Traian A.; … - 2011

This paper studies the problem of optimal investment with CRRA (constant, relative risk aversion) preferences, subject to dynamic risk constraints on trading strategies. The market model considered is continuous in time and incomplete; furthermore, financial assets are modeled by Itô processes....

Persistent link: https://www.econbiz.de/10010281601

Spatially adaptive density estimation by localised Haar projections

Gach, Florian; Nickl, Richard; Spokoiny, Vladimir - 2011

idealised assumption that the true density is locally constant in a neighborhood of the point x of estimation, and an …

Persistent link: https://www.econbiz.de/10010281606

Negative and positive effects of competition in a preemption game

Suzuki, Toru - 2010

Agents compete to acquire a limited economic opportunity of uncertain profitability. Each agent decides how much he acquires public signals before making investment under fear of preemption. I show that equilibria have various levels of efficiency under mild competition. The effect of...

Persistent link: https://www.econbiz.de/10010281611

An epistemic rationale for order-independence

Trost, Michael - 2012

The issue of the order-dependence of iterative deletion processes is well-known in the game theory community, and …

Persistent link: https://www.econbiz.de/10010281613

Should i remember more than you? On the best response to factor-based strategies

Levínský, René; Neyman, Abraham; Zelený, Miroslav - 2010

In this paper we offer a new approach to modeling strategies of bounded complexity, the so-called factor-based strategies. In our model, the strategy of a player in the multi-stage game does not directly map the set of histories H to the set of her actions. Instead, the player's perception of H...

Persistent link: https://www.econbiz.de/10010281616

New Insights into optimal control of nonlinear dynamic econometric models: Application of a heuristic approach

Blueschke, Dmitri; Blueschke-Nikolaeva, Viktoria; … - 2012

Optimal control of dynamic econometric models has a wide variety of applications including economic policy relevant issues. There are several algorithms extending the basic case of a linear-quadratic optimization and taking nonlinearity and stochastics into account, but being still limited in a...

Persistent link: https://www.econbiz.de/10010281617

The minority of three-game: An experimental and theoretical analysis

Chmura, Thorsten; Güth, Werner; Pitz, Thomas; … - 2010

straightforward behavior is predicted by Harsanyi and Selten's (1988) equilibrium selection theory as well as alternative solution …

Persistent link: https://www.econbiz.de/10010281623

The winner's curse under behavioral institutions

Chlaß, Nadine - 2011

Empirically, social dilemma under information asymmetry are often much less pronounced than theory predicts. Traders … experience a winner's curse and maintain efficiency enhancing exchange of commodities when theory predicts none. Especially under …

Persistent link: https://www.econbiz.de/10010281633