105,071 research outputs found
Distributions of Functionals of the two Parameter Poisson-Dirichlet Process
No full textThe present paper provides exact expressions for the probability distribution of linear functionals of the two–parameter Poisson–Dirichlet process. Distributional results that follow from the application of an inversion formula for a (generalized) Cauchy–Stieltjes transform are achieved. Moreover, several interesting integral identities are obtained by exploiting a correspondence between the mean functional of a Poisson–Dirichlet process and the mean functional of a suitable Dirichlet process. Finally, some distributional characterizations in terms of mixture representations are illustrated. Our formulae are relevant to occupation time phenomena connected with Brownian motion and more general Bessel processes, as well as to models arising in Bayesian nonparametric statistics.Cauchy–Stieltjes transform; Cifarelli–Regazzini identity; Functionals of random probability measures; Occupation times; Two parameter Poisson-Dirichlet process.
Navigating the oil bubble: a non-linear heterogeneous-agent dynamic model of futures oil pricing
No full textWe investigate short-term futures oil pricing over the 2003–2019 time-period in order to analyze the bubble-like dynamics, which characterizes the 2007–2009 years according to a large body of recent literature. Our research, based on the LPPL methodology and a flexible three-agent model (hedgers, fundamentalist speculators and chartists), confirms the presence of a bubble price pattern, which we attribute to the strong destabilizing behavior of speculators. In our view, this can be related to incorrect interpretation of market signals (or to the inability of trading against the market), especially by fundamentalists, combined with imitation across different categories of agents. This sets off positive feedback reactions along with self-reinforced herding of the kind best detected by the LPPL methodology
Aqua Traiana: le indagini fra Vicarello e Trevignano. Nuove acquisizioni e prospettive di studio
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Le terrecotte architettoniche del tempio di Giunone Moneta a Segni: la fase tardo-repubblicana
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Speculative pricing in the Liverpool cotton futures market: a nonlinear tale of noise traders and fundamentalists from the 1920s
No full textIn the 1920s and 1930s, empirical studies of cotton futures pricing tend to attribute market fluctuations to shifts in fundamentals. In this paper, we qualify this view focusing on the role of speculation. Our research is based on a nonlinear heterogeneous agents model which posits the existence of two categories of speculators, feedback traders and fundamentalists, who react (differently) to deviations of market prices from their fundamental value. The analysis is based on original data drawn from the online archives of The Times and on an historical description of the working of a staple commodity market. The empirical findings allow us to conclude that whereas feedback traders tend to herd, fundamentalists are more affected by risk aversion and react but slowly to the underpricing/overpricing of the cotton contracts. As expected, the presence of fundamentalists stabilizes the market even if, at least in the time period under investigation, the behavior of feedback traders is the major driver of short-run price dynamics
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