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We proposed an expectation model to explain the observed price movements with active trader's conditional expected return and trading strategies. Existing volatility models can be considered as a kind of price expectation with corresponding expectation model and disturbances distribution. These results questioned those intentions to reproduce stylized facts with artificial series, and call for a closer...
By applying the Evolutionary Game Theory, this paper analyzes the credit behavior of banks and the lender under the condition of dynamic model of incomplete information. And it also discusses the process of the dynamic evolution and the stable equilibrium strategy under two different economic environments. Finally, this paper expounds the cause of the subprime crisis based on the evolutionary game...
We modeled an artificial European option market with unknown volatility using an agent-based modeling and simulation approach. Contrary to the standard Black and Scholes model with "known" volatility, there is significant pricing bias (market price/theoretical price) in the presence of unknown volatility. Moreover, the unknown drift has a significant nonlinear effect in the pricing bias...
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