An informationally inefficiency market is produced without an exogenous source of noise in the price. Fundamental traders acquire private information directly through research. Regression traders employ a learning process ...

By considering a financial market of fundamentalists and trend followers in which the price trend of trend followers is formed as a weighted average of historical prices, we establish a continuous-time financial market ...

We show that the equilibrium of a matching and bargaining model of a market in which there is a finite number of agents at each date need not be near the equilibrium of a market with a continuum of agents, although matching ...

Explains the theory of identification, estimation and inference in the dynamic confirmatory factor model for the economic time series. Derivation of the frequency domain representation of the model; Illustration of the ...

The Sydney housing market peaked in 2003. The period 2001¿2006 is, therefore, of particular interest since it captures a boom and bust in the housing market. We compute hedonic, repeat-sales and median price indexes for ...

Abstract: This article provides an exact Bayesian framework for analyzing the arbitrage pricing theory (APT). Based on the Gibbs sampler, we show how to obtain the exact posterior distributions for functions of interest ...

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We develop a test of the minimax hypothesis using field data from championship professional tennis matches, and we find that win rates in the serve and return play of top professional tennis players are consistent with the ...

In this paper a simulation approach for defaultable yield curves is developed within the Heath et al. (1992) framework. The default event is modelled using the Cox process where the stochastic intensity represents the ...