This paper examines the existence of general equilibrium in a discrete time economy with the infinite horizon incomplete markets.There is a single good at each node in the event tree.The existence of general equilibri...This paper examines the existence of general equilibrium in a discrete time economy with the infinite horizon incomplete markets.There is a single good at each node in the event tree.The existence of general equilibrium for the infinite horizon economy is proved by taking limit of equilibria in truncated economies in which trade stops at a sequence of dates.展开更多
We explore the effects of competitive incentives and of their time horizon on the evolution of both asset prices and trading activity in experimental asset markets.We compare(i)a no-bonus treatment;(ii)a short-term bo...We explore the effects of competitive incentives and of their time horizon on the evolution of both asset prices and trading activity in experimental asset markets.We compare(i)a no-bonus treatment;(ii)a short-term bonus treatment in which bonuses are assigned to the best performers at the end of each trading period;(iii)a long-term bonus treatment in which bonuses are assigned to the best performers at the end of the 15 periods of the market.We find that the existence of bonus contracts does not increase the likelihood of bubbles but it affects their severity,depending on the time horizon of bonuses.Markets with longterm bonus contracts experience lower price deviations and a lower turnover of assets than markets with either no bonuses or long-term bonus contracts.Short-term bonus contracts increase price deviations but only when markets include a higher share of male traders.At the individual level,the introduction of bonus contracts increases the trading activity of males,probably due to their higher competitiveness.展开更多
In order to characterize large fluctuations of the financial markets and optimize financial portfolio, a new dynamic asset control strategy was proposed in this work. Firstly, a random process item with variable jump ...In order to characterize large fluctuations of the financial markets and optimize financial portfolio, a new dynamic asset control strategy was proposed in this work. Firstly, a random process item with variable jump intensity was introduced to the existing discrete microstructure model to denote large price fluctuations. The nonparametric method of LEE was used for detecting jumps. Further, the extended Kalman filter and the maximum likelihood method were applied to discrete microstructure modeling and the estimation of two market potential variables: market excess demand and liquidity. At last, based on the estimated variables, an assets allocation strategy using evolutionary algorithm was designed to control the weight of each asset dynamically. Case studies on IBM Stock show that jumps with variable intensity are detected successfully, and the assets allocation strategy may effectively keep the total assets growth or prevent assets loss at the stochastic financial market.展开更多
基金This research was supported by a project of Financial MathematicsFinancial Engineering and Finan-cial Managementwhich is o
文摘This paper examines the existence of general equilibrium in a discrete time economy with the infinite horizon incomplete markets.There is a single good at each node in the event tree.The existence of general equilibrium for the infinite horizon economy is proved by taking limit of equilibria in truncated economies in which trade stops at a sequence of dates.
基金Financial support from Agence Nationale de la Recherche[Grant No.ANR BLAN07-3_185547,EMIR project]is gratefully acknowledgedThis project has been performed in the framework of the LABEX CORTEX[ANR-11-LABX-0042]of Universite de Lyon,within the program Investissements d’Avenir[ANR-11-IDEX-007]operated by Agence Nationale de la Recherche(ANR).
文摘We explore the effects of competitive incentives and of their time horizon on the evolution of both asset prices and trading activity in experimental asset markets.We compare(i)a no-bonus treatment;(ii)a short-term bonus treatment in which bonuses are assigned to the best performers at the end of each trading period;(iii)a long-term bonus treatment in which bonuses are assigned to the best performers at the end of the 15 periods of the market.We find that the existence of bonus contracts does not increase the likelihood of bubbles but it affects their severity,depending on the time horizon of bonuses.Markets with longterm bonus contracts experience lower price deviations and a lower turnover of assets than markets with either no bonuses or long-term bonus contracts.Short-term bonus contracts increase price deviations but only when markets include a higher share of male traders.At the individual level,the introduction of bonus contracts increases the trading activity of males,probably due to their higher competitiveness.
基金Projects(71271215,71221061) supported by the National Natural Science Foundation of ChinaProject(2011DFA10440) supported by the International Science&Technology Cooperation Program of ChinaProject(CX2012B067) supported by Hunan Provincial Innovation Foundation for Postgraduate,China
文摘In order to characterize large fluctuations of the financial markets and optimize financial portfolio, a new dynamic asset control strategy was proposed in this work. Firstly, a random process item with variable jump intensity was introduced to the existing discrete microstructure model to denote large price fluctuations. The nonparametric method of LEE was used for detecting jumps. Further, the extended Kalman filter and the maximum likelihood method were applied to discrete microstructure modeling and the estimation of two market potential variables: market excess demand and liquidity. At last, based on the estimated variables, an assets allocation strategy using evolutionary algorithm was designed to control the weight of each asset dynamically. Case studies on IBM Stock show that jumps with variable intensity are detected successfully, and the assets allocation strategy may effectively keep the total assets growth or prevent assets loss at the stochastic financial market.