Search Results - subject:"Conditional probability"

Risk-Factor Portfolios and Financial Stability

Garita, Gus - Volkswirtschaftliche Fakultät, … - 2009

conditional probability of joint failure (CPJF) among risk factors in a portfolio. In combination, both the RSI and CPJF provide a …

Persistent link: https://www.econbiz.de/10008562630

Options market makers׳ hedging and informed trading: Theory and evidence

Huh, Sahn-Wook; Lin, Hao; Mello, Antonio S. - In: Journal of Financial Markets 23 (2015) C, pp. 26-58

We develop a model to analyze the effects of hedging activities by options market makers (OMMs) facing informed trading. The model suggests that OMMs׳ hedging activities motivated by adverse-selection risk lead to wider spreads in both stock and options markets. The hedging effect on spreads is...

Persistent link: https://www.econbiz.de/10011263885

Chapter 12. Epistemic Game Theory

Dekel, Eddie; Siniscalchi, Marciano - In: Handbook of game theory with economic applications : …, (pp. 619-702). 2015

Epistemic game theory formalizes assumptions about rationality and mutual beliefs in a formal language, then studies their behavioral implications in games. Specifically, it asks: what do different notions of rationality and different assumptions about what players believe about…what others...

Persistent link: https://www.econbiz.de/10014025447

Epistemic game theory

Dekel-Tabak, Eddie; Siniscalchi, Marciano - 2015

Persistent link: https://www.econbiz.de/10011498315

Options market makers' hedging and informed trading : theory and evidence

Huh, Sahn-Wook; Lin, Hao; Mello, António S. - In: Journal of financial markets 23 (2015), pp. 26-58

Persistent link: https://www.econbiz.de/10011377487

The main determinants of subprime securitization in the Spanish RMBS securities

Otero-González, Luis; Ezcurra-Pérez, Miguel; … - In: Applied economics 47 (2015) 58/60, pp. 6301-6316

Persistent link: https://www.econbiz.de/10011411938

Conditional statistical properties of the complex systems having long-duration memory

Huang, Zhifu; Ou, Congjie; Lin, Bihong; Su, Guozhen; … - In: Physica A: Statistical Mechanics and its Applications 409 (2014) C, pp. 138-145

calculate the conditional probability distribution function (CPDF) within the systems. It is found that the asymmetric CPDF of …

Persistent link: https://www.econbiz.de/10010785362

Conditional belief types

Di Tillio, Alfredo; Halpern, Joseph Y.; Samet, Dov - In: Games and Economic Behavior 87 (2014) C, pp. 253-268

We study type spaces where a player's type at a state is a conditional probability on the space. We axiomatize these … as conditioning on the event being certain, which formalizes the standard informal interpretation of conditional … probability. The game-theoretic application of our model, discussed within an example, sheds light on a number of issues in the …

Persistent link: https://www.econbiz.de/10010931186

Bayesian inference: the role of coherence to deal with a prior belief function

Coletti, G.; Petturiti, D.; Vantaggi, B. - In: Statistical Methods and Applications 23 (2014) 4, pp. 519-545

<Para ID="Par1">Starting from a likelihood function and a prior information represented by a belief function, a closed form expression is provided for the lower envelope of the set of all the possible “posterior probabilities” in finite spaces. The same problem, removing the hypothesis of finiteness for the...</para>

Persistent link: https://www.econbiz.de/10011151901

Three-parameter generalized exponential distribution in earthquake recurrence interval estimation

Pasari, Sumanta; Dikshit, Onkar - In: Natural Hazards 73 (2014) 2, pp. 639-656

conditional probability curves (hazard curves) are presented to demonstrate the significance of the GE distribution in …

Persistent link: https://www.econbiz.de/10010995585