1,721,192 research outputs found
A Quantum Extension of the Semigroup of Bessel Processes
No full textEnglish translation of Mat. Zametk
Diffusion processes in a financial market under heterogeneous trading and learning
No full textWe consider a market populated by heterogeneous agents, and we derive, in an equilibrium
perspective, a continuous time model for the evolution of the price of a risky asset which pays no dividends. We introduce three classes of traders: bounded rationality traders, feedback traders and
noise traders. Bounded rationality is modelled by assuming that traders forecast the future price by a first order autoregressive learning mechanism. We find that the asset price follows a mean
reverting process, around the level given by the forecasted price. Positive feedback strategies tend to increase the volatility of the price and generate positive serial correlation in returns. Conversely, bounded rationality trading makes the price less volatile and gives a negative contribute to serial correlation in returns. In addition, the price variance is a decreasing [resp. increasing] function of
the memory according to whether there are enough [resp. not enough] bounded rationality traders
An equilibrium model of insider trading in continuous time
No full textWe study a Bayesian-Nash equilibrium model of insider trading in continuous time. The supply of the risky asset is assumed to be stochastic. This supply can be interpreted as noise from nonrational traders (noise traders). A rational informed investor (the insider) has private information on the growth rate of the dividend flow rewarded by the risky asset. She is risk averse and maximizes her inter-temporal utility rate over an infinite time-horizon. The market is cleared by a risk neutral market maker who sets the price of the risky asset competitively as the conditional present value of future dividends, given the information supplied by the dividend history and the cumulative order flow. Due to the presence of noise traders, the market demand does not fully reveal the insider's private information, which slowly becomes incorporated in prices. An interesting result of the paper is that a nonstandard linear filtering procedure gives an a priori form for the equilibrium strategy to be postulated. We show the existence of a stationary linear equilibrium where the insider acts strategically by taking advantage of the camouflage provided by the noise which affects the market maker's estimates on private information. In this equilibrium, we find that the insider's returns on the stock are uncorrelated over long periods of time. Finally, we show that the instantaneous variance of the price under asymmetric information lies between the instantaneous variance of the price under complete and incomplete information. The converse inequalities hold true for the unconditional variance of the price. © Springer-Verlag 2009
Sales forecast and electronic word of mouth: the power of feelings
No full textResearch has shown that word of mouth (WOM) among consumers is more effective in traditional decision-making than any marketing tool, such as personal sales or advertising media. With the development of the Internet, electronic WOM has replaced traditional word of mouth, becoming an informal and effective exchange of person-to-person communication between a perceived non-commercial communicator and a contribution regarding a brand, product, organization, or service company.
The paper aims to improve the predicted sales using the sentiment component from social media posts and reviews. To this end, we have introduced a suitable e-WOM state-space model, inspired by the autoregressive sentiment aware (ARSA) models. Hence, we have tested our SSM on two different products: the sales of Gentilini's Osvego biscuits and the sales of electric cars in the US market. The sentiment has been measured using two corpora of Tweets, one in Italian for Gentilini biscuits and one in English for the electric car market
The early knowledge of Petrarch's works in medieval Poland: the case of Jan Długosz
No full textJan Długosz (1415-1480) was the eminent Polish historian of the late Middle Ages, whose opus magnum - Chronicles - is one of the biggest works of Eastern European medieval historiography. Abundant studies on it are accompanied by the unfading discussion on the question, if its author and style was truly medieval, or should be rather called as,,humanistic". My study aims to reveal the new evidence of Długosz humanism in the form of hidden quotations from the works of Francesco Petrarca (1304-1374), one of the earliest Italian humanists. The enormous number of them was found through accurate computer-assisted analysis and comparison of n-grams in Długosz' Chronicles and the corpus of Petrarch's works. Collected data served as material for the detailed analysis of whole passages, utterance frames and phrases taken from the Italian writer's texts (e.g. from De remediis utriusque fortunae or Epistolae familiares) and masterfully interspersed in the narrration of Polish chronicle. Furthermore, usage of stylometric methods on appointed material gave the opportunity to observe the similarities and differences between two writers. In this speech I would like to present selected examples from the collected material in order to: (1) show the method and manner of using quotations from Petrarch's works by the Długosz and (2) add the new voice to the discussion on the Chronicles and the intellectual range of Polish medieval literature. It could be also used as the starting point for the discussion on the position of Eastern European medieval historiography in the historiography of the Europe in the late Middle Ages.Ministry of Science and Higher Education, “Narodowy Program Rozwoju Humanistyki”, project: "Długosz 2.0. Elektroniczny korpus i narzędzia analizy języka Jana Długosza" in years 2018-2022, project no 0444/NPRH5/H30/84/2017
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