When Can Decision Makers Learn from Financial Market Prices?

Will Case-Based Decision Makers Survive in a Financial Market?

I analyze whether case-based decision makers (CBDM) can survive in an asset market in the presence of expected utility maximizers. Conditions are identified, in which the CBDM retain a positive mass with probability one. CBDM can cause predictability of asset returns, high volatility and bubbles. It is found that the expected utility maximizers can disappear from the market for a finite period ...

What Businesses Can Learn from Financial Innovation

Market Makers’ S Upply and Pricing of Financial Market Liquidity

The bid /ask spread (inverse of liquidity) in turbulent financial markets—modeled theoretically—adjusts to market-makers’ average costs. Market liquidity declines (spread increases) with increasing absolute value of market-makers’ security inventories and volatility of security price and order flow.  2002 Elsevier Science B.V. All rights reserved.

Inferring Forward Looking Financial Market Risk Premia from Derivatives Prices

This paper focuses on a topical and important area of theory and practice ie. The risk premium in financial markets. While there exists a vast amount of research into its behaviour, particularly in US markets, this is largely based on regression based techniques which do not capture well the dynamic and forward looking nature of the risk premium. In this paper the time variation of the unobserv...

COVID-19 Control: Can Germany Learn From China?

The coronavirus disease 2019 (COVID-19) outbreak started in China in December 2019 and has developed into a pandemic. Using mandatory large-scale public health interventions including a lockdown with locally varying intensity and duration, China has been successful in controlling the epidemic at an early stage. The epicentre of the pandemic has since shifted to Europe a...