Author: Kenneth L. JuddPublisher:
ISBN:
Category :
Languages : en
Pages : 23
Book Description
Asset Trading Volume with Dynamically Complete Markets and Heterogenous Agents
Asset Trading Volume with Dynamically Complete Markets and Heterogeneous Agents
Author: Kenneth L. JuddPublisher:
ISBN:
Category : Stock exchanges
Languages : en
Pages : 28
Book Description
Trading Volume in General Equilibrium with Complete Markets
Author: Eric M. AldrichPublisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
This paper investigates asset trade in a general-equilibrium complete-markets endowment economy with heterogeneous agents. It shows that standard no-trade results cease to hold when agents have heterogeneous beliefs and that substantial trade volume is generated, even in the presence of a spanning set of assets. Further, trade volume and price movements have a positive relationship in the model, as is well documented in the empirical literature. This paper also develops a computational algorithm for solving finite-period heterogeneous-beliefs economies and demonstrates how the problem is well suited for large-scale parallel computing methods, such as GPU computing.
Heterogenous Preferences and Equilibrium Trading Volume
Author: Tony BerradaPublisher:
ISBN:
Category :
Languages : en
Pages : 38
Book Description
The classic Lucas asset pricing model with complete markets stresses aggregate risk and, hence, fails to investigate the impact of agents heterogeneity on the dynamics of the equilibrium quantities and measures of trading volume. In this paper, we investigate under what conditions non-informational heterogeneity, i.e., differences in preferences and endowments, leads to non trivial trading volume in equilibrium. Our main result comes in form of a non-informational no trade theorem which provides necessary and sufficient conditions for zero trading volume in a dynamically efficient, continuous time Lucas market model with multiple goods and securities.
Assets, Beliefs, and Equilibria in Economic Dynamics
Author: Charalambos D. AliprantisPublisher: Springer Science & Business Media
ISBN: 3662058588
Category : Business & Economics
Languages : en
Pages : 733
Book Description
A collection of papers dealing with a broad range of topics in mathematical economics, game theory and economic dynamics. The contributions present both theoretical and applied research. The volume is dedicated to Mordecai Kurz. The papers were presented in a special symposium co-hosted by the Stanford University Department of Economics and by the Stanford Institute of Economic Policy Research in August 2002.
Asset Pricing and Trading Volume in Heterogenous Agent Models with Incomplete Markets
Author: Jean-Paul ThelerAsset Pricing and Trading Volume in Heterogeneous Agent Models with Incomplete Markets
Author: Jean Paul ThelerWorking Paper
Author: Asset Prices and Trading Volume Under Fixed Transaction Costs
Author: Andrew Wen-Chuan LoPublisher:
ISBN:
Category : Economics
Languages : en
Pages : 75
Book Description
Handbook of Computational Economics
Author: Karl SchmeddersPublisher: Newnes
ISBN: 0080931782
Category : Business & Economics
Languages : en
Pages : 680
Book Description
Handbook of Computational Economics summarizes recent advances in economic thought, revealing some of the potential offered by modern computational methods. With computational power increasing in hardware and algorithms, many economists are closing the gap between economic practice and the frontiers of computational mathematics. In their efforts to accelerate the incorporation of computational power into mainstream research, contributors to this volume update the improvements in algorithms that have sharpened econometric tools, solution methods for dynamic optimization and equilibrium models, and applications to public finance, macroeconomics, and auctions. They also cover the switch to massive parallelism in the creation of more powerful computers, with advances in the development of high-power and high-throughput computing. Much more can be done to expand the value of computational modeling in economics. In conjunction with volume one (1996) and volume two (2006), this volume offers a remarkable picture of the recent development of economics as a science as well as an exciting preview of its future potential. Samples different styles and approaches, reflecting the breadth of computational economics as practiced today Focuses on problems with few well-developed solutions in the literature of other disciplines Emphasizes the potential for increasing the value of computational modeling in economics