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Multiple-self models in neuroeconomics A methodological critique
Multiple-self rationality as if functional localization robustness
2014/6/23
The idea of multiple-self models in economics is that individual identity is the equilibrium result of the strategic interaction between sub-personal selves. These models fill the gap o...
How do individuals accumulate wealth as they interact economically? We outline the consequences of a simple microscopic model in which repeated pairwise exchanges of assets between individuals build t...
Fractional processes as models in stochastic finance
Fractional Brownian motion arbitrage hedging in fractional models
2010/10/19
We survey some new progress on the pricing models driven by fractional Brownian motion \cb{or} mixed fractional Brownian motion. In particular, we give results on arbitrage opportunities, hedging, and...
NONPARAMETRIC TESTS OF THE MARKOV HYPOTHESIS IN CONTINUOUS-TIME MODELS
Markov hypothesis Chapman–Kolmogorov equation locally linear smoother transition density diffusion
2014/3/13
We propose several statistics to test the Markov hypothesis forβ-mixing stationary processes sampled at discrete time intervals. Our tests are based on the Chapman–Kolmogorov equation. We establish th...
Multivariate stochastic volatility with Bayesian dynamic linear models
Multivariate stochastic volatility Bayesian dynamic linear models
2010/12/13
This paper develops a Bayesian procedure for estimation and forecasting of the volatility of multivariate time series. The foundation of this work is the matrix-variate dynamic linear model, for the v...