1,720,966 research outputs found
Asset prices and exchange rates: a time dependent approach
Get PDFThis paper studies the relationship between exchange rates and asset prices. It takes the novel approach of modeling both the markets in a framework of heterogeneous agents. Investors maximize their profits from the international equity markets by solving a Mean-Variance problem. As a result, agents choose between different combinations of rules in the home and foreign equity market as well as in the foreign exchange market. Given the incomplete information setting, agents check the past profitability of their rules and switch behavior in the effort to maximize their profits. Due to the heuristics embedded within the model, this simple frame-work alone is able to create a complex, time-varying dynamics. This dynamics is analyzed for different parameters and conditions. Finally the model is brought to the data, to check the fitness of the predictions on the real world markets.Behavioral finance, exchange rates, asset prices
Foreign exchange and stock market: tow related markets?
Get PDFThis paper studies the relationship between the stock market and the exchange rate in several countries. The approach taken in the first part of this study is a linear VAR, to be compared in the following part to a MSVAR. The data is also analyzed by Granger causality tests in both contexts and a thorough description of the empirical results obtained is shown. The research uncovers a spread (but not constant over time) causality from the exchange rate and American stock market to the local markets of the different nations studied. The non-linear, time varying approach allows several considerations on the dynamics of the relationship. The markets analyzed are the Japanese, the British and the German (pre-Euro) market against the US Dollar and the US stock market. The frequency of the data used is daily.
Uncertainty, ambiguity aversion and illusory pattern perception
No full textWe test the correlation between Ambiguity Aversion (AA) and illusory pattern perception (IPP). We use different realizations of Illusory pattern perception: recognizing human faces in noisy pictures, conspiracy theories and belief in fake news. Our hypothesis is that in the cross section AA will be higher for the subjects for which any of these realizations is higher. We believe that this correlation will be stronger for people who are facing a salient (relevant) form of uncertainty in their lives. We define our variables according to the attached study. The attached study gives details on how we plan to compute all our variables (except for fake news, which is made of news-like posts invented by us). We also check, according to this file, if people who recently dropped their social contacts the most (due to COVID-19) have a significantly higher AA than the others. We test these correlations on a representative sample of the US, a few days before the presidential elections (from October 29). We are going to post the survey shortly
Going Beyond Counting First Authors in Author Co-citation Analysis
Get PDFThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Asset prices and exchange rates: a time dependent approach
Get PDFThe paper studies the relationship between exchange rates and asset prices. It takes the approach of order ows to exchange rates. Specifically, it focuses on the effect of time-dependent risk aversion. The switch in the parameter causes the equilibrium of the system to alternate between two regimes: an optimistic and a pessimistic one. The paper is complete of a wide empirical section where the two equilibria are identified and specified for three of the main world markets. The regimes appear to be persistent and consistent with the existing literature on risk aversion. This also includes recent events of the financial crisis. The analysis uncovers a new development for exchange rate microstructure models. 3 of the 4 markets studied are consistent with both the order flow and the Markov switching models. The markets analyzed are the UK, Switzerland, Germany and Japan.Exchange rates, Microstructure, Markov chains
Variations on the Author
Get PDF“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Oscillations in Ambiguity Attitudes due to learning stages
No full textWe record ambiguity attitudes in two different stages of the learning process. The first stage is comparable to an exploration stage, when subjects are able to learn more and affect the outcome by understanding the relevant material more thoroughly. The second stage is comparable to the exploitation stage, when all learning is done and subjects are done learning what they could. We only divide the learning process in two stages, so we also test subjects after the last assignment has been completed, but before the performance is revealed.
We have two hypotheses.
H1: For subjects whose AA is relevantly high in the first stage, AA decreases substantially in the second measurement. This shows that some people have a more volatile AA than others (i.e. AA has larger swings in the learning cycle)
H2: AA will decrease on average from sample in time 1 to sample in time 2
We consider two additional moderating factors:
1. The amount of decrease in regular social interaction due to COVID restrictions predicts a higher AA in time 1.
2. The amount of regular sport played might interact with this relationship
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