In this paper we present a continuous time dynamical model of heterogeneous agents interacting in a financial market where transactions are cleared by a market maker. The market is composed of fundamentalist, trend following ...
Anufriev, M; Bottazzi, G(Berkeley Electronic Press, 2012-01)
We consider an analytically tractable asset pricing model describing the trading activity in a stylized market with two assets. Traders are boundedly rational expected utility maximizers with different beliefs about future ...
PURPOSE: Spontaneous abortion (SAB), the most common adverse pregnancy outcome, affects similar to 15% of clinically recognized pregnancies. Except for advanced maternal age and smoking, there are not well-established risk ...
BACKGROUND: N-3 and n-6 polyunsaturated fatty acids (PUFAs) have been hypothesized to have opposing influences on neonatal immune responses that might influence the risk of allergy or asthma. However, both n-3 eicosapentaenoic ...
This paper presents the formulation of a novel force-based 1D steel-concrete composite element that captures material nonlinearities and partial shear interaction between the steel profile and the reinforced concrete slab. ...
A firm-value model similar to the one proposed by Black and Cox (1976) is considered. Instead of assuming a constant and known default boundary, the default boundary is an unobserved stochastic process. Interestingly, this ...
We derive the precise asymptotic distributional behavior of Gaussian variational approximate estimators of the parameters in a single-predictor Poisson mixed model. These results are the deepest yet obtained concerning the ...
We study kernel estimation of highest-density regions (HDR). Our main contributions are two-fold. First, we derive a uniform-in-bandwidth asymptotic approximation to a risk that is appropriate for HDR estimation. This ...
We investigate kernel estimators of multivariate density derivative functions using general (or unconstrained) bandwidth matrix selectors. These density derivative estimators have been relatively less well researched than ...
In this paper, we consider an initial-boundary value problem for the following nonlinear telegraph equation Utt - U xx + 2au, + bu = f3(u 2 )xx, where t > 0, a, band (3 are constants. For the case b > a2 , we establish a ...
This study presents a two-phase algorithm approach to deal with the issue of product part change, and the issue of supplier selection derived from the former. In the first step, Analytical Hierarchy Process (AHP) was used ...
Nowadays, the redundancy allocation problem (RAP) is increasingly becoming an important tool in the initial stages of or prior to planning. designing, and control of systems. The multiple multi-level redundancy allocation ...
Interpretation of continuous measurements in microenvironmental studies and exposure assessments can be complicated by autocorrelation, the implications of which are often not fully addressed. We discuss some statistical ...
It is often important, in applications of stochastic calculus to financial modelling, to know whether a given local martingale is a martingale or a strict local martingale. We address this problem in the context of a ...
The aim of this work is to develop a simulation approach to the yield curve evolution in the Heath, Jarrow and Morton [Econometrica 60 (1) (1992) 77] framework. The stochastic quantities considered as affecting the forward ...