Three Essays In Computational Methods And Macro Financial Modeling
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Computational Methods in Financial Engineering
Author | : Erricos Kontoghiorghes |
Publisher | : Springer Science & Business Media |
Total Pages | : 425 |
Release | : 2008-02-26 |
Genre | : Business & Economics |
ISBN | : 3540779582 |
Computational models and methods are central to the analysis of economic and financial decisions. Simulation and optimisation are widely used as tools of analysis, modelling and testing. The focus of this book is the development of computational methods and analytical models in financial engineering that rely on computation. The book contains eighteen chapters written by leading researchers in the area on portfolio optimization and option pricing; estimation and classification; banking; risk and macroeconomic modelling. It explores and brings together current research tools and will be of interest to researchers, analysts and practitioners in policy and investment decisions in economics and finance.
Optimal Control Models in Finance
Author | : Ping Chen |
Publisher | : Springer Science & Business Media |
Total Pages | : 208 |
Release | : 2006-06-18 |
Genre | : Mathematics |
ISBN | : 0387235701 |
This book reports initial efforts in providing some useful extensions in - nancial modeling; further work is necessary to complete the research agenda. The demonstrated extensions in this book in the computation and modeling of optimal control in finance have shown the need and potential for further areas of study in financial modeling. Potentials are in both the mathematical structure and computational aspects of dynamic optimization. There are needs for more organized and coordinated computational approaches. These ext- sions will make dynamic financial optimization models relatively more stable for applications to academic and practical exercises in the areas of financial optimization, forecasting, planning and optimal social choice. This book will be useful to graduate students and academics in finance, mathematical economics, operations research and computer science. Prof- sional practitioners in the above areas will find the book interesting and inf- mative. The authors thank Professor B.D. Craven for providing extensive guidance and assistance in undertaking this research. This work owes significantly to him, which will be evident throughout the whole book. The differential eq- tion solver “nqq” used in this book was first developed by Professor Craven. Editorial assistance provided by Matthew Clarke, Margarita Kumnick and Tom Lun is also highly appreciated. Ping Chen also wants to thank her parents for their constant support and love during the past four years.
Computational Economics and Finance
Author | : Hal R. Varian |
Publisher | : Springer Science & Business Media |
Total Pages | : 486 |
Release | : 1996-08-09 |
Genre | : Business & Economics |
ISBN | : 9780387945187 |
This collection of articles is edited by Hal Varian, Dean of the School of Information Management and Systems, University of California, Berkeley. It provides a high quality and practical selection of contributed articles that impart the expertise of an international contingent of Mathematica users from the economic, financial, investments, quantitative business and operations research communities.
Essays on Computational and Empirical Methods in Financial Economics
Author | : Anil Donmez |
Publisher | : |
Total Pages | : 0 |
Release | : 2022 |
Genre | : |
ISBN | : |
This thesis is composed of three essays on the applications of computational and empirical methods in financial economics. Chapter 1, Transaction Fee Economics in the Ethereum Blockchain, is co-authored with Alexander Karaivanov. It examines the economic determinants of transaction fees in the Ethereum blockchain. We estimate an empirical model based on queueing theory and analyze the factors determining the "gas price" (transaction cost per unit of service, "gas"). Using block- and transaction-level data from the Ethereum blockchain, we show that changes in service demand significantly affect the gas price-when there is high block utilization, per-unit fees increase on average, with a strong nonlinear effect above 90\% utilization. The transaction type is another important factor-a larger fraction of regular transactions (direct transfers between users) is associated with higher gas price. Chapter 2, Individual Evolutionary Learning and Zero-Intelligence in the Continuous Double Auction, jointly with Jasmina Arifovic and John Ledyard, studies behavior in a Continuous Double Auction, the most preferred exchange mechanism of financial markets around the world. Particularly, we report on two models, Zero-Intelligence and Individual Evolutionary Learning, which we tested against each other with a key emphasis on price formation and trade efficiency using two very different data sets: a large, uncontrolled set from classroom experiments using the MobLab interface and a small, controlled set from experiments at Simon Fraser University. Chapter 3, Racial Differences in Senior Executives' Access to Information, is co-authored with Deniz Anginer, Nejat Seyhun, and Ray Zhang. Based on a hand-collected sample of race data for executives of S\&P 1500 firms, this paper provides evidence of differences due to race in insider-trading behavior and in the profitability of senior corporate executives. We document that, although non-African-American executives make positive abnormal profits from insider trading, African-American executives, on average, earn zero abnormal profits. In contrast, the abnormal profits of Asian-American executives are similar to or even exceed those of Caucasian executives. However, these race differences are less profound in firms that emphasize diversity and employee equity. These results suggest that African-American executives are disadvantaged relative to other executives in access to insider information.
Essays on Computational Methods in Financial Engineering
Author | : Yingda Song |
Publisher | : |
Total Pages | : 102 |
Release | : 2013 |
Genre | : Financial engineering |
ISBN | : |
Overlapping Generations
Author | : Stephen E. Spear |
Publisher | : Emerald Group Publishing |
Total Pages | : 261 |
Release | : 2023-09-04 |
Genre | : Business & Economics |
ISBN | : 1837530521 |
The 800 pound gorilla in the room of macroeconomics is the question of why the overlapping generations model didn’t become the central workhorse model for macroeconomics, as opposed to the neoclassical growth model. The authors here explore the co-evolution of the two models.
Essays on Macro-finance Relationships
Author | : Azamat Abdymomunov |
Publisher | : |
Total Pages | : 109 |
Release | : 2010 |
Genre | : Electronic dissertations |
ISBN | : |
In my dissertation, I study relationships between macroeconomics and financial markets. In particular, I empirically investigate the links between key macroeconomic indicators, such as output, inflation, and the business cycle, and the pricing of financial assets. The dissertation comprises three essays. The first essay investigates how the entire term structure of interest rates is influenced by regime-shifts in monetary policy. To do so, we develop and estimate an arbitrage-free dynamic term-structure model which accounts for regime shifts in monetary policy, volatility, and the price of risk. Our results for U.S. data from 1985-2008 indicate that (i) the Fed's reaction to inflation has changed over time, switching between "more active" and "less active" monetary policy regimes, (ii) the yield curve in the "more active" regime was considerably more volatile than in the "less active" regime, and (iii) on average, the slope of the yield curve in the "more active" regime was steeper than in the "less active" regime. The steeper yield curve in the "more active" regime reflects higher term premia that result from the risk associated with a more volatile future short-term rate given a more sensitive response to inflation. The second essay examines the predictive power of the entire yield curve for aggregate output. Many studies find that yields for government bonds predict real economic activity. Most of these studies use the yield spread, defined as the difference between two yields of specific maturities, to predict output. In this paper, I propose a different approach that makes use of information contained in the entire term structure of U.S. Treasury yields to predict U.S. real GDP growth. My proposed dynamic yield curve model produces better out-of-sample forecasts of real GDP than those produced by the traditional yield spread model. The main source of this improvement is in the dynamic approach to constructing forecasts versus the direct forecasting approach used in the traditional yield spread model. Although the predictive power of yield curve for output is concentrated in the yield spread, there is also a gain from using information in the curvature factor for the real GDP growth prediction. The third essay investigates time variation in CAPM betas for book-to-market and momentum portfolios across stock market volatility regimes. For our analysis, we jointly model market and portfolio returns using a two-state Markov-switching process, with beta and the market risk premium allowed to vary between "low" and "high" volatility regimes. Our empirical findings suggest strong time variation in betas across volatility regimes in most of the cases for which the unconditional CAPM can be rejected. Although the regime-switching conditional CAPM can still be rejected in many cases, the time-varying betas help explain portfolio returns much better than the unconditional CAPM, especially when market volatility is high.