The spirit of now in nowcasting suggests expanding the current to include the near future.Decision theory is then developed by incorporating the consequences of actions into the present.With the future falling into th...The spirit of now in nowcasting suggests expanding the current to include the near future.Decision theory is then developed by incorporating the consequences of actions into the present.With the future falling into the present discounting it is no longer permitted.Value functions are then observed to be determinate only up to scale and shift that are then locked down by fixing values arbitrarily in two selected states,much like declaring water to freeze and boil at zero and a hundred degrees celsius.The locked down value functions associated policy functions are seen to exist in decision contexts in where the only time is now.Examples are studied in univariate and multivariate dimensions for the decision state space and the dimension of shocks delivering state transitions.The policy functions are expanded from realisitic training sets to the full state space using Gaussian Process Regression.They are implemented on real data with reported performances.展开更多
Modeling of uncertainty by probability errs by ignoring the uncertainty in probability.When financial valuation recognizes the uncertainty of probability,the best the market may offer is a two price framework of a low...Modeling of uncertainty by probability errs by ignoring the uncertainty in probability.When financial valuation recognizes the uncertainty of probability,the best the market may offer is a two price framework of a lower and upper valuation.The martingale theory of asset prices is then replaced by the theory of nonlinear martingales.When dealing with pure jump compensators describing probability,the uncertainty in probability is captured by introducing parametric measure distortions.The two price framework then alters asset pricing theory by requiring two required return equations,one each for the lower upper valuation.Proxying lower and upper valuations by daily lows and highs,the paper delivers the first empirical study of nonlinear martingales via the modeling and simultaneous estimation of the two required return equations.展开更多
文摘The spirit of now in nowcasting suggests expanding the current to include the near future.Decision theory is then developed by incorporating the consequences of actions into the present.With the future falling into the present discounting it is no longer permitted.Value functions are then observed to be determinate only up to scale and shift that are then locked down by fixing values arbitrarily in two selected states,much like declaring water to freeze and boil at zero and a hundred degrees celsius.The locked down value functions associated policy functions are seen to exist in decision contexts in where the only time is now.Examples are studied in univariate and multivariate dimensions for the decision state space and the dimension of shocks delivering state transitions.The policy functions are expanded from realisitic training sets to the full state space using Gaussian Process Regression.They are implemented on real data with reported performances.
基金Received 15 October 2021Accepted 16 March 2022Early access 25 March 2022。
文摘Modeling of uncertainty by probability errs by ignoring the uncertainty in probability.When financial valuation recognizes the uncertainty of probability,the best the market may offer is a two price framework of a lower and upper valuation.The martingale theory of asset prices is then replaced by the theory of nonlinear martingales.When dealing with pure jump compensators describing probability,the uncertainty in probability is captured by introducing parametric measure distortions.The two price framework then alters asset pricing theory by requiring two required return equations,one each for the lower upper valuation.Proxying lower and upper valuations by daily lows and highs,the paper delivers the first empirical study of nonlinear martingales via the modeling and simultaneous estimation of the two required return equations.
