نتایج جستجو برای: dynamic programmingjel classification g14 c21 c22 c53 d84

تعداد نتایج: 886168  

2014
Rainer Baule Hannes Wilke

We measure the information content of monthly analyst consensus forecasts for one-year-forward earnings per share (EPS) based on two well-established price discovery measures drawn from the area of market micro-structure research. Employing a 36-year sample of large American companies listed in the S&P 100 Index, we compute (i) Hasbrouck’s information shares and (ii) Gonzalo and Granger’s commo...

Journal: :J. Economic Theory 2011
Klaus Adam Albert Marcet

We present a decision theoretic framework in which agents are learning about market behavior and that provides microfoundations for models of adaptive learning. Agents are ‘internally rational’, i.e., maximize discounted expected utility under uncertainty given consistent subjective beliefs about the future, but agents may not be ‘externally rational’, i.e., may not know the true stochastic pro...

2008
Klaus Adam Albert Marcet Juan Pablo Nicolini

We show how standard learning rules can be interpreted as small departures from rationality in the context of an asset pricing model. We propose a distinction between ‘internal rationality’, as agents that maximize discounted expected utility under uncertainty given consistent beliefs about the future, and ‘external rationality’as agents that know perfectly the true stochastic process for funda...

Journal: :J. Economic Theory 2003
Aditya Goenka

This paper, in a Shapley-Shubik market game framework, examines the effect of “leakage” of information: private information becoming available to uninformed traders at a later date. We show that (a) If information acquisition by the informed traders is costless, this leads to faster revelation of information; (b) If information acquisition is costly, there may be no acquisition of information; ...

2000
Andrea Gaunersdorfer

In this paper we study the adaptive rational equilibrium dynamics in a simple asset pricing model introduced by Brock and Hommes (System Dynamics in Economic and Financial Models, Wiley, Chichester, 1997, pp. 3}44; Journal of Economic Dynamics and Control, 22, 1998, 1235}1274). Traders have heterogeneous expectations concerning future prices and update their beliefs according to a risk adjusted...

2009
Giulio Bottazzi Giovanna Devetag Francesca Pancotto

We present results of an experiment on expectation formation in an asset market. Participants to our experiment must provide forecasts of the stock future return to computerized utility-maximizing investors, and are rewarded according to how well their forecasts perform in the market. In the Baseline treatment participants must forecast the stock return one period ahead; in the Volatility treat...

2000
Oleg Bondarenko Peter Bossaerts

We study the rationality of learning and the biases in expectations in the Iowa Experimental Markets. Using novel tests developed in (Bossaerts, P., 1996. Martingale restrictions on equilibrium security prices under rational expectations and consistent beliefs. Caltech working paper; Bossaerts, P., 1997. The dynamics of equity prices in fallible markets. Caltech working paper), learning in the ...

2014
Marta BANBURA Domenico GIANNONE Michele LENZA Marta Bańbura Domenico Giannone Michele Lenza

This paper describes an algorithm to compute the distribution of conditional forecasts, i.e. projections of a set of variables of interest on future paths of some other variables, in dynamic systems. The algorithm is based on Kalman filtering methods and is computationally viable for large models that can be cast in a linear state space representation. We build large vector autoregressions (VAR...

2015
Chunpeng Yang Rengui Zhang

Article history: Accepted 20 November 2013 Available online xxxx JEL classification: G12 G14

1999
Yeung Lewis Chan James H. Stock Mark W. Watson John F. Kennedy

A panel of ex-ante forecasts of a single time series is modeled as a dynamic factor model, where the conditional expectation is the single unobserved factor. When applied to out-of-sample forecasting, this leads to combination forecasts that are based on methods other than OLS. These methods perform well in a Monte Carlo experiment. These methods are evaluated empirically in a panel of simulate...

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