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On the winning virtuous strategies for ultra high frequency electronic trading in foreign currencies exchange markets
Ledenyov, Dimitri O.; Ledenyov, Viktor O. - Volkswirtschaftliche Fakultät, … - 2014
In the Schumpeterian creative disruption age, the authors firmly believe that an increasing application of electronic technologies in the finances opens a big number of new unlimited opportunities toward a new era of the ultra high frequency electronic trading in the foreign currencies exchange...
Persistent link: https://www.econbiz.de/10011156962
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On the winning virtuous strategies for ultra high frequency electronic trading in foreign currencies exchange markets
Ledenyov, Dimitri O.; Ledenyov, Viktor O. - Volkswirtschaftliche Fakultät, … - 2014
In the Schumpeterian creative disruption age, the authors firmly believe that an increasing application of electronic technologies in the finances opens a big number of new unlimited opportunities toward a new era of the ultra high frequency electronic trading in the foreign currencies exchange...
Persistent link: https://www.econbiz.de/10011110289
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A Non-Bayesian Approach to (Un)Bounded Rationality
Güth, Werner - 2007
Can one deamp;#64257;ne and test the hypothesis of (un)bounded rationality in stochastic choice tasks without endorsing … Bayesianism? Similar to the state speciamp;#64257;city of assets, we rely on state-speciamp;#64257;c goal formation. In a given … rationality where we interpret goal levels as aspirations. If for the latter there exist choices satisfying all state …
Persistent link: https://www.econbiz.de/10012775826
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Boundedly Rational Decision Emergence - a General Perspective and Some Selective Illustrations
Güth, Werner - 2021
A general framework is described specifying how boundedly rational decision makers generate their choices. Starting from a "Master Module"; which keeps an inventory of previously successful and unsuccessful routines several submodules can be called forth which either allow one to adjust behavior...
Persistent link: https://www.econbiz.de/10013321119
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Calculating effective degrees of freedom for forecast combinations and ensemble models
Younker, James - 2022
Forecast combinations, also known as ensemble models, routinely require practitioners to select a model from a massive number of potential candidates. Ten explanatory variables can be grouped into 21078 forecast combinations, and the number of possibilities increases further to 21078+21078 if we...
Persistent link: https://www.econbiz.de/10014541795
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Calculating effective degrees of freedom for forecast combinations and ensemble models
Younker, James - 2022
Forecast combinations, also known as ensemble models, routinely require practitioners to select a model from a massive number of potential candidates. Ten explanatory variables can be grouped into 21078 forecast combinations, and the number of possibilities increases further to 21078+21078 if we...
Persistent link: https://www.econbiz.de/10013402082
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Calculating Factor Fundamentals Using A Business Factor Model
Tidd, Nathan; Willem, Brian - 2022
This paper presents the motivations, methodology, and initial empirical work for calculating quantitative “factor fundamentals” using a business factor model. Unlike factor models that explain only equity returns, the business factoring approach seeks to identify a consistent set of factors...
Persistent link: https://www.econbiz.de/10013406189
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Modeling the Macro-Economy of Bangladesh
Lord, Montague J. - Volkswirtschaftliche Fakultät, … - 2002
The study develops a parsimonious representation of the macro economy of Bangladesh. It aims to serve a dual purpose. First, it provides a framework for making rational and consistent predictions about Bangladesh's overall economic activity, the standard components of the balance of payments,...
Persistent link: https://www.econbiz.de/10011113692
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Reverse engineering financial markets with majority and minority games using genetic algorithms
Wiesinger, Judith; Sornette, Didier; Satinover, Jeffrey - 2010
Using virtual stock markets with artificial interacting software investors, aka agent-based models (ABMs), we present a method to reverse engineer real-world financial time series. We model financial markets as made of a large number of interacting boundedly rational agents. By optimizing the...
Persistent link: https://www.econbiz.de/10003973139
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Properties of Optimal Forecasts
Timmermann, Allan; Patton, Andrew J. - Econometric Society - 2004
Evaluation of forecast optimality in economics and finance has almost exclusively been conducted under the assumption of mean squared error loss. Under this loss function optimal forecasts should be unbiased and forecast errors should be serially uncorrelated at the single period horizon with...
Persistent link: https://www.econbiz.de/10005328966