Results 11 to 20 of about 4,043,177 (393)
Asset trees and asset graphs in financial markets [PDF]
Physica Scripta T106, 48 (2003), 2003 This paper introduces a new methodology for constructing a network of companies called a dynamic asset graph. This is similar to the dynamic asset tree studied recently, as both are based on correlations between asset returns. However, the new modified methodology does not, in general, lead to a tree but a graph, or several graphs that need not be ...
Jukka‐Pekka Onnela +4 more
arxiv +5 more sources
Debt-Constrained Asset Markets [PDF]
The Review of Economic Studies, 1993 We develop a theory of general equilibrium with endogenous debt limits in the form of individual rationality constraints similar to those in the dynamic consistency literature. If an agent defaults on a contract, he can be excluded from future contingent claims markets trading and can have his assets seized.
Timothy J. Kehoe, David K. Levine
openalex +5 more sources
Journal of Mathematical Economics, 2005 This paper models asset markets as a game where assets pay according to an arbitrary payoff matrix,investors decide on fractions of wealth to allocate to each asset,and prices result from market clearing.
Ana B. Ania, Carlos Alós-Ferrer
core +4 more sources
Liquid markets and market liquids: collective and single-asset dynamics in financial markets [PDF]
Eur. Phys. J. B 20, 561-564 (2001), 2001 We characterize the collective phenomena of a liquid market. By interpreting the behavior of a no-arbitrage N asset market in terms of a particle system scenario, (thermo)dynamical-like properties can be extracted from the asset kinetics. In this scheme the mechanisms of the particle interaction can be widely investigated. We test the verisimilitude of
Cuniberti, G., Matassini, L.
arxiv +3 more sources
Statistical mechanics of asset markets with private information [PDF]
, 2001 Traders in a market typically have widely different, private information on the return of an asset. The equilibrium price of the asset may reflect this information more accurately if the number of traders is large enough compared to the number of the ...
Johannes Berg +3 more
core +4 more sources
Self-organization and phase transition in financial markets with multiple choices [PDF]
, 2013 Market confidence is essential for successful investing. By incorporating multi-market into the evolutionary minority game, we investigate the effects of investor beliefs on the evolution of collective behaviors and asset prices. When there exists another investment opportunity, market confidence, including overconfidence and under-confidence, is not ...
He, Yun-Xin +5 more
arxiv +3 more sources
Asset Market Linkages in Crisis Periods [PDF]
SSRN Electronic Journal, 2001 We characterize asset return linkages during periods of stress by an extremal dependence measure. Contrary to correlation analysis, this nonparametric measure is not predisposed toward the normal distribution and can allow for nonlinear relationships ...
P. Hartmann, S. Straetmans, C. de Vries
semanticscholar +12 more sources
On the Asset Market View of Exchange Rates [PDF]
The Review of Financial Studies, 2012 If the asset market is complete, then the difference between foreign and domestic agents’ log intertemporal marginal rates of substitution (IMRSs) equals the log change in the real exchange rate.
A. Burnside, Jeremy J. Graveline
semanticscholar +5 more sources
Limited Asset Market Participation and the Elasticity of Intertemporal Substitution [PDF]
Journal of Political Economy, 2002 Annette Vissing‐Jørgensen
openalex +2 more sources
Ambiguity and Asset Markets [PDF]
Annual Review of Financial Economics, 2010 The Ellsberg paradox suggests that people's behavior is different in risky situations—when they are given objective probabilities—from their behavior in ambiguous situations—when they are not told the odds (as is typical in financial markets). Such behavior is inconsistent with subjective expected utility (SEU) theory, the standard model of choice ...
Larry G. Epstein, Martin Schneider
openaire +4 more sources