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Mesoscopic modelling of financial markets
wealth distribution power-law tails stock market self-similarity
2010/10/21
We derive a mesoscopic description of the behavior of a simple financial market where the agents can create their own portfolio between two investment alternatives: a stock and a bond. The model is de...
Modelling Information Flows in Financial Markets
Modelling Information Flows Financial Markets
2010/10/20
This paper presents an overview of information-based asset pricing. In this approach, an asset is defined by its cash-flow structure. The market is assumed to have access to "partial" information abou...
Modelling and predicting labor force productivity
Modelling predicting labor force productivity
2010/10/18
Labor productivity in Turkey, Spain, Belgium, Austria, Switzerland, and New Zealand has been analyzed and modeled. These counties extend the previously analyzed set of the US, UK, Japan, France, Ital...
Introduction into "Local Correlation Modelling"
implied correlation local correlation stochastic correlation correlation skew
2010/11/2
In this paper we provide evidence that nancial option markets for equity indices give rise to non-trivial dependency structures between its constituents. Thus, if the in-dividual constituent distribu...
The Structural Modelling of Operational Risk via Bayesian inference: Combining Loss Data with Expert Opinions
operational risk loss distribution approach Bayesian inference
2010/10/29
To meet the Basel II regulatory requirements for the Advanced Measurement Approaches,
the bank’s internal model must include the use of internal data, relevant external data,
scenario analysis and f...
Factor demand modelling: the theory and the practice
factor demand aexible functional forms error correction model cointegration
2014/6/24
Since the work of Cobb and Douglas [18], two main innovations have been introduced in applied factor demand analysis, i.e. the use of áexible functional forms and the modelling of dynamics, expectatio...