نتایج جستجو برای: noise trader risk
تعداد نتایج: 1134306 فیلتر نتایج به سال:
In various agent-based models the stylized facts of financial markets (unit-roots, fat tails and volatility clustering) have been shown to emerge from the interactions of agents. However, the complexity of these models often limits their analytical accessibility. In this paper we show that even a very simple model of a financial market with heterogeneous interacting agents is capable of reprodu...
We present a model of predatory traders interacting with each other in the presence of a central reserve (which dissipates their wealth through say, taxation), as well as inflation. This model is examined on a network for the purposes of correlating complexity of interactions with systemic risk. We suggest the use of selective networking to enhance the survival rates of arbitrarily chosen trade...
We consider the problem of stock repurchase over a finite time horizon. We assume that a firm has a reservation price for the stock, which is the highest price that the firm is willing to pay to repurchase its own stock. We characterize the optimal policy for the trader to maximize the total number of shares he can buy over a fixed time horizon. In particular, we study a greedy policy, which in...
This brief technical note introduces PRZI (Parameterised-Response Zero Intelligence), a new form of zero-intelligence trader intended for use in simulation studies auction markets. Like Gode & Sunder's classic Zero-Intelligence Constrained (ZIC) trader, generates quote-prices from random distribution over some specified domain discretely-valued allowable quote-prices. Unlike ZIC, which uses uni...
Background and aims Overexposure to industrial noise pollution induce hearing loss workers. Occupational hearing loss may cause interference whit oral communication, so it may increase the risk of occupational accidents in workplace as well as affects whit social activities. This study was conducted on Lavan Island, are of oil extracting regions in the south of Iran. The object of this s...
We theoretically study how commodity financialization affects trading behavior, prices and welfare through affecting risk sharing and price discovery in futures markets. In our model, the general equilibrium feature makes financial traders either provide or demand liquidity in the futures market, depending on the information environment. Consistent with recent evidence, commodity financializati...
In small organizations, the decision to adopt a technology is often base on the acquisition cost or purchase price of a technology. The decision maker fails to access the needs of the organization and other costs associate with hardware and software acquisition. This case explores issues related to technology adoption by Gallery International, a privately own company in Singapore. Gallery Inter...
Abstract Previous literature shows that prevalent risk measures such as value at or expected shortfall are ineffective to curb excessive risk-taking by a tail-risk-seeking trader with S-shaped utility function in the context of portfolio optimisation. However, these conclusions hold only when constraints static sense measure is just applied terminal value. In this paper, we consider optimisatio...
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