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A robust rational route to randomness in a simple asset pricing model

Article Abstract:

The dynamics of asset pricing in an evolutionary asset pricing model with fundamentalists, trend followers and market makers are discussed. It is concluded that the dynamic behaviour is similar to BH dynamics.

Management dynamics, Spain, Analysis, Management, Financial markets, Company business management, Asset valuation

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Accuracy of stochastic perturbation methods: The case of asset pricing models

Article Abstract:

Accuracy of a series expansions can be increased by exploiting the information in the distribution of the shocks and this modification proves to be efficient both in terms of accuracy and moment matching.

Statistical Data Included, Investigations, Stochastic approximation, Approximation theory, Approximation, Perturbation (Mathematics)

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Predictability and habit persistence

Article Abstract:

A habit stock model is developed using Gaussian autoregression methodologies to examine the price-dividend ratio and to explain the predictability of excess returns of a bounded equilibrium.

Science & research, Research, Usage, Equilibrium (Economics), Autoregression (Statistics)

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