The paper derives and illustrates a convenient implementation of a perturbation method for computing an approximate perfect foresight solution of a nonlinear rational-expectations model. The solution space is the set of finite Taylor-series approximations. In discussing this setting, Gaspar and...

In this paper we investigate different learning schemes in dynamic game theory and consider their relative importance when constructing strategic decision models for economic and business applications. The different models of learning dynamics we have formulated fall into three main categories:...

In macroeconomic theory, a disproportionate amount of attention has been paid to models with 'global' or random interaction structures in which each agent interacts, or has an equal probability of interacting, with every other agent in the economy. By contrast, recent models have been developed...

This paper proposes a procedure for the estimation of discrete Markov decision models and studies its statistical and computational properties. Our method is similar to Rust's Nested Fixed-Point algorithm (NFXP), but the order of the two nested algorithms is swapped. First, we prove that this...

This paper is devoted to the theoretical aspects of approximating dynamical systems and to some possible applications in economics. The approach presented here is based on the notion of the shadowing property of a dynamical system and on the use of pseudotrajectories to approximate true orbits....

Recent studies of aggregate job flows in the US economy indicate that (i) specific sectoral shocks are important to account for aggregate job flows dynamics and (ii) aggregate creation and destruction dynamics display significant non-linearities. This paper aims to study whether a simple...

This paper uses qualitative and quantitative methods to develop a mathematical framework for the analysis of strategic entry deterrence. Through a case study analysis, qualitative research is integrated with a pre-existing model based on game theory to gain a greater understanding of an entry...

This paper explores the extent to which the lack of rationality of economic agents has affected the economic fluctuations and the social welfare of the U.S. hog market. A group of articles has ascribed the business cycles of the hog market, observed by economists as early as the last century,...

There is a trend in investment banking to unify pricing tools in a framework of partial differential equations. The Black-Scholes equation and its extensions are solved numerically with pde-based techniques (instead of rather heuristic techniques like Monte Carlo or Trees). The predominant...

Technical analysis, also known as "charting", has been a part of financial practice for many decades, yet little academic research has been devoted to a systematic evaluation of this discipline. One of the main obstacles is the highly subjective nature of technical analysis---the presence of...