The goal of this paper is to assess, for the rst time, the empirical impact of "Keynes’ beauty contest", or "higher order beliefs", on asset price volatility. The paper shows that heterogeneous expectations induce higher order beliefs and that heterogeneous expectation asset pricing models theoretically generate more volatility than rational expectation models. The paper also explains how, wit...

A model of the Iranian wheat market is specified and fitted to data from 1981-2008. Severaldiagnostic tests were employed in the analysis to determine the specification of the model. Despitethe simplicity of the model and data problems, an examination of the econometric model leads toseveral conclusions with possible important policy implications for the wheat economy in Iran.The general result...

Estimators for the price of a discrete barrier option based on conditional expectation and importance sampling variance reduction techniques are given. There are erroneous formulas for the conditional expectation estimator published in the literature: we derive the correct expression for the estimator. We use a simulated annealing algorithm to estimate the optimal parameters of exponential twis...

Empirical evidence shows word-of-mouth communication has real effects on trading patterns in financial markets. On top of that, the social network through which the information conveys also plays a crucial role. We propose a framework that allows informed traders to directly and truthfully communicate information in four major social interaction structures represented by circle, tree, star and ...

These types of functionals have numerous applications. For example, if λ= 0, g(x) = x, then the expectation gives the price of a zero coupon bond in financial mathematics. If g(Xt) = μh(Xt) and h(Xt) does not depend on μ, then the expectation is the two dimensional Laplace transform of the joint density of (Xt, ∫ t 0 h(Xs)ds). Most cases must be handled numerically, but recently considerable at...

This study explores the mechanism which triggers consumer's immediate gratification behavior. It is proposed that consumer's expectation of meaningful life transformation by acquisition of a product causes her perception of product hedonic and utilitarian value, which can further predict immediate gratification. The positive impact of perception of hedonic value on immediate gratification can b...

mobile technology is getting changed very fast in commensurate with other technological hyper changes. buyers’ expectation from a new cellular phone is also changing over time. producers, thereby, have to keep themselves abreast of changes in customer taste and preferences to attract, capture, grow, and retain both existing and potential customers. this study is set to measure factors affecting...