Axiomatic framework for continuous asset price
An Axiomatic Characterization of Continuous-Outcome Market Makers
... forecasting continuous-outcome events resulted in mechanisms with undesirable ...an axiomatic approach to study whether it is possible for continuous-outcome market makers to satisfy certain ...
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Heterogeneous beliefs and adaptive behaviour in a continuous-time asset price model
... a continuous-time model of asset ...lagged price used by chartists to form their ...in continuous-time but also a double edged effect of an in- crease in lagged price used by the ...
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Heterogeneous Beliefs and Adaptive Behaviour in a Continuous-Time Asset Price Model
... lagged price information used by the chartists on market stability, meaning that an increase in time delay can not only destabilize the market but also stabilize the market, a very different feature of the ...
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An Axiomatic Characterization of the Price-Money Message Mechanism
... The axiomatic characterization of price or market equilibrium is one of the most important problems in the general equilibrium ...the axiomatic characterization problem of monetary ...efficiency ...
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Price Formation in Multiple, Simultaneous Continuous Double Auctions, with Implications for Asset Pricing
... As a result, CAPM equilibrium price predictions changed across all periods. Participants were divided into two groups depending on their coefficient of risk aversion (high; low). Table I lists the parameters for ...
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Asset Price Fluctuation and Price Indices
... of asset prices and large fluctuations of real economic activity, while the general price level has remained rela- tively ...target asset prices rather than conventional price ...with ...
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A framework for identifying accounting characteristics for asset pricing models, with an evaluation of book-to-price
... intangible asset intensity, B/P is more important in explaining expected ...our framework as the conservative nature of the accounting system defers the recognition of earnings associated with this risky ...
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Asset Management Framework
... For example, during the rehabilitation of a building it might be necessary to erect a temporary fence around the building to prevent theft and misuse. The cost of erecting this fence should also capitalised even though ...
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A note on asset bubbles in continuous-time
... state price process which is the product of the discount factor with a positive local ...state price is a martingale density, then a mispricing arises as the price of the option remains strictly ...
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Options on an Asset that Yields Continuous Dividends
... an asset that pays a continuous dividend that is proportional to the asset’s ...an asset that pays a continuous dividend yield equal to ...
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Essays in asset price bubbles
... Several explanations for the observed limited stock market participation have been offered in the literature. Haliassos and Bertaut ( 1995 ) find theoretical evi- dence in an expected utility maximisation ...
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The Continuous Logit Dynamic and Price Dispersion
... Finally, we note that this paper is most closely related to Perkins and Leslie (2014). The authors, in work done simultaneously but independently from our paper, consider a model of stochastic fictitious play in a finite ...
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Conceptual Framework Asset Definition
... An asset can result from contractual ...fixed price, the buyer’s economic resource is not the corn to be grown and harvested in the ...the price of corn rises above the agreed-upon price (for ...
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Continuous-time asset pricing with ambiguity aversion
... The axiomatic framework of Knox (2004), Leippold, Trojani and Vanini (2004), Epstein and Schnei- der (2002) and Hansen, Sargent and Wang (2002) tackle the issue of learning under ambiguity aversion, and, in ...
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Asset price booms and monetary policy
... of asset prices and debt and thereby to prevent or alleviate the subsequent collapse, is beyond the scope of this ...of asset price booms and busts is partially endogenous to the monetary policy ...
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The Classification and Identification of Asset Price Bubbles
... equilibrium asset price movements. Firstly, continuous monitoring of asset prices is necessary for early identification of unbalanced booms, which can later grow into asset price ...
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Asset-price Bubbles and Monetary Policy
... Now suppose that the central bank, can increase the likelihood of a bubble bursting by raising interest rates. In this case it may make sense for the central bank to do so early on in the life of the bubble, even though ...
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Axiomatic and Economic Approaches to Elementary Price Indexes
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QFT on curved spacetimes : axiomatic framework and examples
... Such an assignment A of algebras to spacetimes and algebra-morphisms to embeddings can be interpreted in the language of category theory as a covariant functor between two categories: th[r] ...
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Asset price, asset securitization and financial stability
... 1 Asset Price, Asset Securitization and Financial Stability Luke Liu 1 Abstract: Prior to the Global Financial Crisis in 2008, securitization has been widely perceived as a way to disperse credit ...
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