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In this paper, we perform an in - depth investigation of relative merits of two adaptive learning algorithms with constant gain, Recursive Least Squares (RLS) and Stochastic Gradient (SG), using the Phelps model of monetary policy as a testing ground. The behavior of the two learning algorithms...
Persistent link: https://www.econbiz.de/10012724434
This paper provides a new technique for representing discrete time nonlinear dynamic stochastic time invariant maps. Using this new series representation, the paper augments the usual solution strategy with an additional set of constraints thereby enhancing algorithm reliability. The paper also...
Persistent link: https://www.econbiz.de/10012016372
In this paper we study a class of infinite horizon fully coupled forward-backward stochastic differential equations (FBSDEs), that are stimulated by various continuous time future expectations models with random coefficients. Under standard Lipschitz and monotonicity conditions, and by means of...
Persistent link: https://www.econbiz.de/10012982366
The proliferation of algorithmic high-frequency trading in financial markets has also led to an increase in new types of fraudulent activity. Since the flash-crash of 2010 first brought it to popular prominence, layering or spoofing fraud has become a major concern for financial regulators...
Persistent link: https://www.econbiz.de/10012891797
This paper provides the proofs to the analysis of a continuous time matching model with saving in Bayer and Wälde (2010a). The paper proves the results on consumption growth, provides an existence proof for optimal consumption and a detailed derivation of the Fokker-Planck equations
Persistent link: https://www.econbiz.de/10013144211
This paper provides the proofs to the analysis of a continuous time matching model with saving in Bayer and Wälde (2010a). The paper proves the results on consumption growth, provides an existence proof for optimal consumption and a detailed derivation of the Fokker-Planck equations. --...
Persistent link: https://www.econbiz.de/10003965877
We introduce the E-correspondence principle for stochastic dynamic expectations models as a tool for comparative dynamics analysis. The principle is applicable to equilibria that are stable under least squares and closely related learning rules. With this technique it is possible to study,...
Persistent link: https://www.econbiz.de/10013319530
Persistent link: https://www.econbiz.de/10014388473
Persistent link: https://www.econbiz.de/10001783671
Profit optimization imperative for any business. The businesses that are dealing with lots of stochastic variables he challenges become severe. Almost all of the business situations can be presented through a mathematical model. In this paper, the functioning of a financial institution such as...
Persistent link: https://www.econbiz.de/10014105802