Title:Heterogeneous Trading Strategies with Adaptive Fuzzy Actor-Critic Reinforcement Learning: A behavioral approach Author(s):BEKIROS, Stelios D.Date:2010Citation:
- Journal of Economic Dynamics and Control, 2010, 34, 6, 1153-1170
Type:ArticleAbstract:The present study addresses the learning mechanism of boundedly rational agents in the dynamic and noisy environment of financial markets. The main objective is the development of a system that “decodes” the knowledge-acquisition ...
Title:Fuzzy Adaptive Decision-making for Boundedly Rational Traders in Speculative Stock Markets Author(s):BEKIROS, Stelios D.Date:2010Citation:
- European Journal of Operational Research, 2010, 202, 1, 285-293
Type:ArticleAbstract:The development of new models that would enhance predictability for time series with dynamic time-varying, nonlinear features is a major challenge for speculators. Boundedly rational investors called “chartists” use advanced ...
Title:Endogenous Trading Constraints with Incomplete Asset Markets Author(s):ABRAHAM, Arpad; CARCELES-POVEDA, EvaDate:2010Citation:
- Journal of Economic Theory, 2010, 145, 3, 974–1004
Type:ArticleAbstract:This paper endogenizes the borrowing constraints on capital in a production economy with incomplete markets. We find that these limits get looser with income, a property that is consistent with US data on credit limits. ...
Title:Structural Vector Autoregressions with Nonnormal Residuals Author(s):LANNE, Markku; LUETKEPOHL, HelmutDate:2010Citation:
- Journal of Business & Economic Statistics, 2010, 28, 1, 159-168
Type:ArticleAbstract:In structural vector autoregressive (SVAR) modeling, sometimes the identifying restrictions are insufficient for a unique specification of all shocks. In this paper it is pointed out that specific distributional assumptions ...
Title:Institutional Design and Conflict: An introduction Author(s):MORELLI, MassimoDate:2010Citation:
- Review of Economic Design, 2010, 13, 3, 167-170
Title:Exchange Rate Volatility and Export Performance: A cointegrated VAR approach Author(s):BOUG, Pål; FAGERENG, AndreasDate:2010Citation:
- Applied Economics, 2010, 42, 7, 851-864
Type:ArticleAbstract:During the last decades Norwegian exporters have-despite various forms of exchange rate targeting-faced a rather volatile exchange rate which may have influenced their behaviour. Recently, the shift to inflation targeting ...
Title:Structural Vector Autoregressions with Markov Switching Author(s):LUETKEPOHL, Helmut; LANNE, Markku; MACIEJOWSKA, KatarzynaDate:2010Citation:
- Journal of Economic Dynamics and Control, 2010, 34, 2, 121-131
Type:ArticleAbstract:It is argued that in structural vector autoregressive (SVAR) analysis a Markov regime switching (MS) property can be exploited to identify shocks if the reduced form error covariance matrix varies across states. The model ...
Title:Deposit Insurance and Risk Taking Author(s):ALLEN, Franklin; CARLETTI, Elena; LEONELLO, AgneseDate:2011Citation:
- Oxford Review of Economic Policy, 2011, 27, 3, 464-478
Type:ArticleAbstract:We review the theory of deposit insurance, highlighting the underlying assumptions that were not satisfied during the recent financial crisis and that may have led to serious policy mistakes. In theoretical models, deposit ...
Title:Introduction to Advances in Business Cycle Analysis and Forecasting Author(s):MARCELLINO, Massimiliano; MAZZI, Gian LuigiDate:2010Citation:
- Journal of Forecasting, 2010, 29, 1-2, 1-5
Title:Optimal Information Transmission in Organizations: Search and Congestion Author(s):ARENAS, Alex; CABRALES, Antonio; DANON, Leon; DIAZ-GUILERA, Albert; GUIMERA, Roger; VEGA-REDONDO, FernandoDate:2010Citation:
- Review of Economic Design, 2010, 14, 01-feb, 75-93
Type:ArticleAbstract:We propose a stylized model of a problem-solving organization whose internal communication structure is given by a fixed network. Problems arrive randomly anywhere in this network and must find their way to their respective ...