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Asynchronous Choice and Markov Equilibria:Theoretical Foundations and Applications

Bhaskar, V.; Vega-Redondo, Fernando - EconWPA - 1998

This paper provides a theoretical foundation for Markov (perfect) equilibria in repeated games with asynchronous moves that is based on memory costs. We show that if players incur a ``complexity cost'' which depends on the memory length required by their strategies, then any rationalizable...

Persistent link: https://www.econbiz.de/10005407574

The Theory of Theft: An Inspection Game Model of the Stolen Base Play in Baseball

Turocy, Theodore L. - EconWPA - 2004

This paper applies the theory of equilibrium in mixed strategies in an inspection game model to describe the strategic interaction in the stolen base play in baseball. A parsimonious simultaneous-move game model offers predictions about how the observable conduct of the teams on offense and...

Persistent link: https://www.econbiz.de/10005062357

No-Arbitrage Bounds on Contingent Claims Prices with Convex Constraints on the Dollar Investments of the Hedge Portfolio

Munk, Claus - EconWPA - 1997

With constrained portfolios, contingent claims do not generally have a unique price, for which there are no arbitrage opportunities. We generalize earlier results of El Karoui and Quenez (1995) and Cvitanic and Karatzas (1993) by showing that there is an interval of no-arbitrage prices, when...

Persistent link: https://www.econbiz.de/10005134774

Damped Seasonality Factors: Introduction

Armstrong, J. S. - EconWPA - 2005

Previous research has shown that seasonal factors provide one of the most important ways to improve forecast accuracy …

Persistent link: https://www.econbiz.de/10005556557

Selecting the Number of Replications in a Simulation Study.

Dmaz-Emparanza, Ignacio - EconWPA - 1996

In order to approach a distribution by means of simulation it is necessary to determine a number of replications. The … accuracy with which the distribution is calculated will rely on this number of replications. In this work, a relationship … between the number of replications and the accuracy of the estimate is obtained, so that if it is wanted to get a prefixed …

Persistent link: https://www.econbiz.de/10005119134

Is a small Monte Carlo analysis a good analysis? Checking the size, power and consistency of a simulation-based test.

Díaz-Emparanza, Ignacio - EconWPA - 2000

In this paper we study the relationship between the number of replications and the accuracy of the estimated quantiles … of a distribution obtained by simulation. A method for testing hypotheses on the quantiles of a theoretical distribution … using the simulated distribution is proposed, as well as a method to check the hypothesis of consistency of a test. …

Persistent link: https://www.econbiz.de/10005119142

Structured Analogies for Forecasting

Armstrong, J.S. - EconWPA - 2005

made in eight conflict situations. These were difficult forecasting problems; the 32% accuracy of the unaided experts was … accurate. Collaboration did not improve accuracy. …

Persistent link: https://www.econbiz.de/10005119357

A Dual Model of Cooperative Value

Feldman, Barry - EconWPA - 2002

An expanded model of value in cooperative games is presented in which value has either a linear or a proportional mode, and NTU value has either an input or an output basis. In TU games, the modes correspond to the Shapley (1953) and proportional (Feldman (1999) and Ortmann (2000)) values. In...

Persistent link: https://www.econbiz.de/10005407563

Taking Positive Interest Rates Seriously

Pan, Enlin; Wu, Liuren - EconWPA - 2004

We present a dynamic term structure model in which interest rates of all maturities are bounded from below at zero. Positivity and continuity, combined with no arbitrage, result in only one functional form for the term structure with three sources of risk. One dynamic factor controls the level...

Persistent link: https://www.econbiz.de/10005413120

The Core of Economies with Asymmetric Information: An Axiomatic Approach

Volij, Oscar; Lee, Darin - EconWPA - 1997

We propose two generalizations of the Davis Maschler reduced game property to economies with asymmetric information and apply them in the characterization of two solution concepts. One is Wilson's (1978) Coarse Core and the other is a subsolution of it which we call the Coarse+ Core.

Persistent link: https://www.econbiz.de/10005118523