6,522 research outputs found
Behavioural Biases and Agent-based Asset Price Modelling
No full textThe price, return and volume series of virtually all traded financial assets share a set of commonly observed statistical characteristics known as the stylized facts of financial data. In the last two decades, a body of literature has developed, attempting to explain these stylized facts as emerging properties from the interaction of a large number of heterogeneous market participants. Thepresent thesis contributes to the literature on heterogeneous agent-based asset pricing models, that is, the computational study of financial markets as evolving systems of interacting agents.Taking a prominent agent-based model (Franke and Westerhoff (2012)) as an example, we observe that its price series violates one of the core properties of real financial time series - its non-stationarity. We overcome this problem by extending the original model and drastically reduce the non-stationarity of the price series generated. Next, we estimate the model's parameters andevaluate the new setting, showing it is able to match a very rich set of stylized facts observed in real financial markets.Now, a well defined agents-based asset pricing model able to match the widely observed properties of financial time series is valuable for testing the implications of various biases associated with investors' behaviour. In this context, we present two new behavioural asset pricing models. First, we define a setting where agents suffer from the disposition effect and test the implications of this behavioural bias on investors' interactions and price settings. We demonstrate that it has a direct impact on the returns series produced by the model, altering important stylized facts such as its heavy tails and volatility clustering. Moreover, we show that the horizon over which investors compute their wealth has no effect on the dynamics produced by the model.Second, we present a new behavioural model of asset pricing where the agents are loss averse, and evaluate its implications. On the one hand, measuring how close the simulated time series are to its empirical counterparts, we show that the model with loss aversion better matches and explains the properties of real-world financial data, compared with the base model without the behavioural bias. On the other hand, we assess the impact of different levels of loss aversion not only on the agents' switching mechanism, but also on the properties of the time series generated by the model. We demonstrate how for different levels of the loss aversion parameter, the biased agents tend to be driven out of the market at different points in time. Since even the simplest strategies have been shown to survive the competition in an agent-based setting, we can link our findings with the behavioural finance literature, which states that investors' systematic biases lead to unexpected market behaviour, instabilities and errors.Finally, we define a further behavioural heterogeneous agent-based asset pricing model with regret and analyse the implications of this behavioural bias on the model's dynamics. We study the coexistence of locally stable attractors of the corresponding nonlinear deterministic system, one of the most common and generic mechanisms for generating important properties observed in real financial markets. By incorporating regret in agents' expectations, we demonstrate that it can destabilise the price series and change a low volatility market regime into a highly volatile one. Consequently, we show that a change in investors' psychology contributes to the emergence of interesting new properties and that regret has the potential to explain key aspects of financialmarkets
An asset pricing model with loss aversion and its stylized facts
No full textA well-defined agent-based model able to match the widely observed properties of financial assets is valuable for testing the implications of various empirically observed heuristics associated with investors behaviour. In this paper, we extend one of the most successful models in capturing the observed behaviour of traders, and present a new behavioural asset pricing model with heterogeneous agents. Specifically, we introduce a new behavioural bias in the model, loss aversion, and show that it causes a major difference in the agents interactions. As we demonstrate, the resulting dynamics achieve one of the major objectives of the field, replicating a rich set of the stylized facts of financial data. In particular, for the first time our model enables us to match the following empirically observed properties: conditional heavy tails of returns, gains/loss asymmetry, volume power-law and long memory and volume-volatility relations
Avoiding regret in an agent-based asset pricing model
No full textWe use an agent-based asset pricing model to test the implications of the disposition effect (avoiding regret) on investors’ interactions and price settings. We show that it has a direct impact on the returns series produced by the model, altering important stylized facts such as its heavy tails and volatility clustering. Moreover, we show that the horizon over which investors compute their wealth has no effect on the dynamics produced by the model
Analytical mechanics : solutions to problems in classical physics / Ioan Merches, Daniel Radu.
No full text"CISP."engineering bookfair2016Includes bibliographical references (pages 439-442).442 pages
A Bluetooth Solution for Public Information Systems
No full textThis paper gives insights into the opportunities offered by the Bluetooth technology. Bluetooth advertising proves to be a cheap and strong tool for enriching and improving the experience offered by a public transport system, by delivering dense and essential information about topics of interest. Alongside the Java platform, new applications can be designed and implemented to make use of the already available Bluetooth technology incorporated in devices in the target public’s custody. The paper sets focus on the segment of ready to be made available content regarding general information about the routes and timetables of the vehicles integrated in a public transport system.Public Transport, Bluetooth, Java, Mobile Device
Supervizija u psihosocijalnom radu
No full textRapid development psychological work in Croatia has been left without satisfactory theoretical backup. That is particulary visible in some elements, especially in supervision. The aim of this article is description and critical analyse of the basic characteristics of supervision: review of historical supervision development, terminology, functions and goals in recent understanding. Article reviews definitions of supervision which came out in last ten years. Supervision is here related to psychosocial work which author locates whitin wider frame of social work. With phases of supervision process and different classifications of supervision author wants to induce further discussion on supervision as crucial part of every helping activity.Nagli razvoj psihosocijalnog rada u Hrvatskoj ostao je cljelomično bez zadovoljavajuće teorijske pratnje. Osobito je to vidljivo u nekim elementima od kojih je medu najvažnijim supervizija odnosno njezina teorijska podloga. Cilj je rada opis i kritička analiza temeljnih obilježja supervizijeput.empregleda povijesnog razvoja supervizije, terminološkog određenja kao i funkcija i ciljeva supervizije u suvremenim shvaćanjima. U radu se daje pregled definicija supervizije nastalih tijekom posljednjih deset godina. Supervizija se u radu ponajprije dovodi u vezu sa psihosocijalnim radom koji autor locira unutar šireg okvira socijalnog rada. Prikazomfaza supervizijskog procesa te različitih podjela supenizijskih oblika želi sepotaknuti claljnja rasprava o superviziji kao nezamjenjivom dijelu svake pomažuće aktivnosti
UGOVOR O RADU NA ODREĐENO VREME U NEMAČKOM PRAVU
No full textIn this paper, the author analyzes the fixed-term employment contract in German law highlighting the importance of this contract in a flexible employment environment. However, making a fixed-term employment contract is considered to be an exception, thus the objective reason which justifies its use is established in German law. This indicates that a fixed-term employment contract is a desirable means for creating an employment relationship only if the conditions provided by law are met. Therefore, the conditions under which the fixed-term contract can be used, the number of renewals and the maximum length of the total duration are mentioned. Additionally, the paper presents ‘legislative history’ of the fixed-term employment contract after its conceptual definition. At the end, the author points to the prohibition of discrimination against atypical employees stating that those employees must not have any less rights compared to the rest of the employees working for the same employer, especially those with the standard employment contract.U radu autorka analizira ugovor o radu na određeno vreme u nemačkom pravu ukazujući na značaj koji taj ugovor ima u fleksibilnom radnopravnom okruženju. Ipak, zaključivanje ugovora o radu na određeno vreme se smatra izuzetkom, zbog čega se u nemačkom pravu izgrađuje princip objektivnog razloga koji opravdava njegovu upotrebu. To znači da se ugovor o radu na određeno vreme smatra poželjnim instrumentom za zasnivanje radnog odnosa samo ako su za to ispunjeni zakonom predviđeni uslovi. Otuda se u radu navode dopušteni slučajevi, ograničenja u korišćenju ugovora o radu kroz limitiranje broja sukcesivnih ugovora i maksimalne dužine ukupnog trajanja ugovora. U radu se prikazuje i „legislativna istorija” ugovora o radu na određeno vreme, nakon njegovog pojmovnog određenja. Na samom kraju se ukazuje na zabranu diskriminacije atipičnih zaposlenih koji ne smeju uživati manje prava u poređenju sa drugim zaposlenima kod poslodavca, posebno onim sa standardnim ugovorom o radu
PREVENCIJA ZLOSTAVLjANjA NA RADU
No full textIn this paper, the author discusses the phenomenon of mobbing, or harassment at the workplace, by focusing on the concept, phenomenological characteristics and types of mobbing, the etiological factors leading to its emergence, and the consequences sustained by victims. Considering the need to have mobbing recognized and legally sanctioned as a form of harassment, the author underscores that the social response to mobbing must be conceived as a comprehensive system of preventive measures. This paper aims to provide an insight into this negative social phenomenon as a prerequisite for building an effective system of primary, secondary and tertiary prevention. In particular, the author provides an overview of the Serbian legislation on this matter and points to the role of the non-governmental sector in the prevention of mobbing.Mobing ili zlostavljanje na radu ne spada u red novijih pojava, s obzirom na to da postoji od kada i razlike u pozicijama moći vezane za rad i radno okruženje. Ono što je novo, jeste zahtev društvene zajednice da mobing, kao oblik zlostavljanja, bude prepoznat i pravno normiran. Na tom putu, glasnogovornici borbe protiv mobinga ističu značaj primene preventivnih mera. Tranziciono društvo, u kome vlada siva ekonomija i visoka stopa nezaposlenosti, idealno je tlo za razvoj ovog oblika zlostavljanja, te ono vapi za obuhvatnim i sistemskim preventivnim rešenjima. U cilju efikasnog koncipiranja preventive neophodno je precizno odrediti šta je mobing, koji su njegovi pojavni oblici, uzroci javljanja i posledice. Celovito sagledavanje i razumevanje ovog negativnog društvenog fenomena je uslov izgradnje delotvornog sistema primarne, sekundarne i tercijarne prevencije
Nerone ritrovato
No full textThe author discusses in detail the dating of a marble head of the emperor Nero, recently identified in a collection in London. It will have belonged to a largerthanlife loricata statue and will have been detached from it when the emperor suffered damnatio memoriae. The details indicate the date of its manufacture in the last period of the reign, 64–68 AD; it appears to be the very latest ancient representation of the emperor. All available data supports the authenticity of this portrait.
Keywords: Nero, head of a statue, authentic, marble, last period of the reign
(NE)DOPUŠTENOST IZMENA UGOVORA O RADU U OKOLNOSTIMA PROMENE POSLODAVCA
No full textThe employer and the employee voluntarily enter into an employment contract, mutually agreeing on its content and essential elements, and accordingly undertaking to perform it in its entirety as it reads. However, in case of circumstances that make the obligations of one contracting party difficult to fulfill, or in case the employment contract no longer meets the expectations of the contracting parties, labour legislation recognizes the possibility of amending the employment contract. The institute of amending the employment contract contributes to establishing a balance between the originally concluded employment contract and the circumstances that occurred after its conclusion. The difficulty of establishing a fair balance of the above interests is further complicated if the request to amend the employment contract is made in the circumstances of a change of employer. Then, the question arises whether it is permissible to amend the employment contract at all if the reason for amending the change in the legal identity of the employer, and if so, whether there are certain conditions for its validity and which aspects of the employment relationship could be subject to change. In this paper, the author addresses these and other related questions by analyzing legal solutions, judicial practice and the doctrine.Poslodavac i zaposleni svojom volјom zaklјučuju ugovor o radu, saglasno mu odredivši sadržinu i bitne elemente, te se u skladu s tim obavezuju da ga izvršavaju u celosti onako kako glasi. Međutim, kada nastupe okolnosti zbog kojih ispunjenje obaveza jedne strane ugovora o radu postane otežano ili zbog kojih ugovor o radu više ne odgovara očekivanjima ugovornih strana, radno zakonodavstvo priznaje mogućnost njegove izmene. U tom smislu, institut izmene ugovora o radu doprinosi uspostavlјanju ravnoteže između ugovora o radu kakav postoji na dan zaklјučenja i okolnosti koje su nastupile po njegovom zaklјučenju. Sva teškoća uspostavlјanja pravične ravnoteže navedenih interesa se dodatno komplikuje ukoliko se zahtev za izmenu ugovora o radu postavi u okolnostima promene poslodavca. U tom smislu, postavlјa se pitanje da li je uopšte dopuštena izmena ugovora o radu ako je razlog za izmenu sama promena pravnog identiteta poslodavca, te ako jeste, da li postoje određeni uslovi njene punovažnosti i koji aspekti radnog odnosa bi mogli biti podložni izmenama. U ovom radu, autor će pokušati da odgovori na ova i druga povezana pitanja analizirajući zakonska rešenja, stavove sudske prakse i doktrine
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