This book arose from our conviction that the NNS-DSGE approach to the analysis of aggregate market outcomes is fundamentally flawed. The practice of overcoming the SMD result by recurring to a ...fictitious RA leads to insurmountable methodological problems and lies at the root of DSGE models failure to satisfactorily explain real world features, like exchange rate and banking crises, bubbles and herding in financial markets, swings in the sentiment of consumers and entrepreneurs, asymmetries and persistence in aggregate variables, and so on. At odds with this view, our critique rests on the premise that any modern macroeconomy should be modeled instead as a complex system of heterogeneous interacting individuals, acting adaptively and autonomously according to simple and empirically validated rules of thumb. We call our proposed approach Bottom-up Adaptive Macroeconomics (BAM). The reason why we claim that the contents of this book can be inscribed in the realm of macroeconomics is threefold: i) We are looking for a framework that helps us to think coherently about the interrelationships among two or more markets. In what follows, in particular, three markets will be considered: the markets for goods, labor and loanable funds. In this respect, real time matters: what happens in one market depends on what has happened, on what is happening, or on what will happen in other markets. This implies that intertemporal coordination issues cannot be ignored. ii) Eventually, its all about prices and quantities. However, we are mostly interested in aggregate prices and quantities, that is indexes built from the dispersed outcomes of the decentralized transactions of a large population of heterogeneous individuals. Each individual acts purposefully, but she knows anything about the levels of prices and quantities which clear markets in the aggregate. iii) In the hope of being allowed to purport scientific claims, BAM relies on the assumption that individual purposefulbehaviours aggregates into regularities. Macro behaviour, however, can depart radically from what the individual units are trying to accomplish. It is in this sense that aggregate outcomes emerge from individual actions and interactions.
This is the new and totally revised edition of Lütkepohl's classic 1991 work. It provides a detailed introduction to the main steps of analyzing multiple time series, model specification, estimation, ...model checking, and for using the models for economic analysis and forecasting.
The application of auto-repeat facilities in telephone systems, as well as the use of random access protocols in computer networks, have led to growing interest in retrial queueing models. Since much ...of the theory of retrial queues is complex from an analytical viewpoint, with this book the authors give a comprehensive and updated text focusing on approximate techniques and algorithmic methods for solving the analytically intractable models. Retrial Queueing Systems: A Computational Approach alsoPresents motivating examples in telephone and computer networks.Establishes a comparative analysis of the retrial queues versus standard queues with waiting lines and queues with losses.Integrates a wide range of techniques applied to the main M/G/1 and M/M/c retrial queues, and variants with general retrial times, finite population and the discrete-time case.Surveys basic results of the matrix-analytic formalism and emphasizes the related tools employed in retrial queues.Discusses a few selected retrial queues with QBD, GI/M/1 and M/G/1 structures.Features an abundance of numerical examples, and updates the existing literature.The book is intended for an audience ranging from advanced undergraduates to researchers interested not only in queueing theory, but also in applied probability, stochastic models of the operations research, and engineering. The prerequisite is a graduate course in stochastic processes, and a positive attitude to the algorithmic probability.
Does Algorithmic Trading Improve Liquidity? HENDERSHOTT, TERRENCE; JONES, CHARLES M.; MENKVELD, ALBERT J.
The Journal of finance (New York),
February 2011, Letnik:
66, Številka:
1
Journal Article
Recenzirano
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Algorithmic trading (AT) has increased sharply over the past decade. Does it improve market quality, and should it be encouraged? We provide the first analysis of this question. The New York Stock ...Exchange automated quote dissemination in 2003, and we use this change in market structure that increases AT as an exogenous instrument to measure the causal effect of AT on liquidity. For large stocks in particular, AT narrows spreads, reduces adverse selection, and reduces trade-related price discovery. The findings indicate that AT improves liquidity and enhances the informativeness of quotes.
Discount-rate variation is the central organizing question of current asset-pricing research. I survey facts, theories, and applications. Previously, we thought returns were unpredictable, with ...variation in price-dividend ratios due to variation in expected cashflows. Now it seems all price-dividend variation corresponds to discount-rate variation. We also thought that the cross-section of expected returns came from the CAPM. Now we have a zoo of new factors. I categorize discount-rate theories based on central ingredients and data sources. Incorporating discount-rate variation affects finance applications, including portfolio theory, accounting, cost of capital, capital structure, compensation, and macroeconomics.
This accessible, practice-oriented and compact text provides a hands-on introduction to the principles of market research. It presents the most important techniques and shows how to translate ...theoretical choices into SPSS and how to analyze the output.
I describe asset price dynamics caused by the slow movement of investment capital to trading opportunities. The pattern of price responses to supply or demand shocks typically involves a sharp ...reaction to the shock and a subsequent and more extended reversal. The amplitude of the immediate price impact and the pattern of the subsequent recovery can reflect institutional impediments to immediate trade, such as search costs for trading counterparties or time to raise capital by intermediaries. I discuss special impediments to capital formation during the recent financial crisis that caused asset price distortions, which subsided afterward. After presenting examples of price reactions to supply shocks in normal market settings, I offer a simple illustrative model of price dynamics associated with slow-moving capital due to the presence of inattentive investors.
The book provides graduate students and researchers with an up-to-date survey of statistical and econometric techniques for the analysis of count data, with a focus on conditional distribution ...models. Proper count data probability models allow for rich inferences, both with respect to the stochastic count process that generated the data, and with respect to predicting the distribution of outcomes. The book starts with a presentation of the benchmark Poisson regression model. Alternative models address unobserved heterogeneity, state dependence, selectivity, endogeneity, underreporting, and clustered sampling. Testing and estimation is discussed from frequentist and Bayesian perspectives. Finally, applications are reviewed in fields such as economics, marketing, sociology, demography, and health sciences. The fifth edition contains several new topics, including copula functions, Poisson regression for non-counts, additional semi-parametric methods, and discrete factor models. Other sections have been reorganized, rewritten, and extended.
Tails, Fears, and Risk Premia BOLLERSLEV, TIM; TODOROV, VIKTOR
The Journal of finance (New York),
December 2011, Letnik:
66, Številka:
6
Journal Article
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We show that the compensation for rare events accounts for a large fraction of the average equity and variance risk premia. Exploiting the special structure of the jump tails and the pricing thereof, ...we identify and estimate a new Investor Fears index. The index reveals large time-varying compensation for fears of disasters. Our empirical investigations involve new extreme value theory approximations and high-frequency intraday data for estimating the expected jump tails under the statistical probability measure, and short maturity out-of-the-money options and new model-free implied variation measures for estimating the corresponding risk-neutral expectations.
Ageing and dependence are two important characteristics in reliability and survival analysis, and they affect significantly the decision people make with regard to maintenance, repair/replacement, ...price setting, warranties, medical studies, and other areas. There are many papers published at different technical levels. This book aims at providing a state of-the-art review of the subject so the interested readers may have a panoramic view of the theory and applications of the two areas. This book serves as reference book for professors and researchers involved in reliability and survival analysis. Students with basic probability and statistics knowledge interested in applications will also find the book useful.
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