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Testing for Market Efficiency with Transactions Costs: An Application to Convergence Bidding in Wholesale Electricity Markets
Market Efficiency Transactions Cost
2015/7/31
With risk neutral traders and zero transactions costs, the expected value of the
dierence between the current forward price and the spot price of a commodity at the
delivery date of the forward con...
Point process bridges and weak convergence of insider trading models
point process bridge Glosten-Milgrom model Kyle model insider trading equilibrium weak convergence
2012/6/5
We construct explicitly a bridge process whose distribution, in its own filtration, is the same as the difference of two independent Poisson processes with the same intensity and its time 1 value sati...
Convergence of Income Growth Rates in Evolutionary Agent-Based Economics
Convergence Income Growth Rates Evolutionary Agent-Based Economics
2010/10/21
We consider a heterogeneous agent-based economic model where economic agents have strictly bounded rationality and where income allocation strategies evolve through selective imitation. Income is cal...