61 search results - page 4 / 13 » Cognitive-Agent-Based Modeling of a Financial Market |
EOR
2006
13 years 5 months ago
2006
: In this paper, we develop a framework for the modeling, analysis, and computation of solutions to multitiered financial network problems with intermediaries in which both the sou...
APIN
2008
13 years 5 months ago
2008
Abstract Traditional financial analysis systems utilize lowlevel price data as their analytical basis. For example, a decision-making system for stock predictions regards raw price...
ICASSP
2011
IEEE
12 years 9 months ago
2011
IEEE
The purpose of this paper is to model the stochastic behavior of the nodal prices of electricity in deregulated markets in the USA, and in particular, to explain how this behavior...
IJAR
2008
13 years 5 months ago
2008
Using Shafer and Vovk's game-theoretic framework for probability, we derive a capital asset pricing model from an efficient market hypothesis, with no assumptions about the b...
SIAMSC
2008
13 years 5 months ago
2008
In this paper we introduce efficient Monte Carlo estimators for the valuation of high-dimensional derivatives and their sensitivities ("Greeks"). These estimators are ba...