National Repository of Grey Literature 7 records found  Search took 0.00 seconds. 
Discrete Dynamic Endogenous Growth Model: Derivation, Calibration and Simulation
Kodera, J. ; Van Tran, Q. ; Vošvrda, Miloslav
Endogenous economic growth model were developed to improve traditional growth models with exogenous technological changes. There are several approaches how to incorporate technological progress into a growth model. Romer was the first author who has introduced it by expanding the variety of intermediate goods. Overall, the growth models are often continuous. In our paper we formulate a discrete version of Romer's model with endogenous technological change based on expanding variety of intermediates, both in the final good sector and in the research-development sector, where the target is to maximize present value of the returns from discovering of intermediate goods which should prevail introducing costs. These discrete version then will be calibrated by a numerical example. Our aim is to find the solution and analyse the development of economic variables with respect to external changes.
Approximate Transition Density Estimation of the Stochastic Cusp Model
Voříšek, Jan
Stochastic cusp model is defined by stochastic differential equation with cubic drift. Its stationary density allows for skewness, different tail shapes and bimodality. There are two stable equilibria in bimodality case and movement from one equilibrium to another is interpreted as a crash. Qualitative properties of the cusp model were employed to model crashes on financial markets, however, practical applications of the model employed the stationary distribution, which does not take into account the serial dependence between observations. Because closed-form solution of the transition density is not known, one has to use approximate technique to estimate transition density. This paper extends approximate maximum likelihood method, which relies on the closed-form expansion of the transition density, to incorporate time-varying parameters of the drift function to be driven by market fundamentals. A measure to predict endogenous crashes of the model is proposed using transition density estimates. Empirical example estimates Iceland Krona depreciation with respect to the British Pound in the year 2001 using differential of interbank interest rates as a market fundamental.
Capital market efficiency in the Ising model environment: Local and global effects
Krištoufek, Ladislav ; Vošvrda, Miloslav
Financial Ising model is one of the simplest agent-based models (building on a parallel between capital markets and the Ising model of ferromag- netism) mimicking the most important stylized facts of financial returns such as no serial correlation, fat tails, volatility clustering and volatility persistence on the verge of non-stationarity. We present results of Monte Carlo simulation study investigating the relationship between parameters of the model (related to herding and minority game behaviors) and crucial characteristics of capital market e ciency (with respect to the e cient market hypothesis). We find a strongly non-linear relationship between these which opens possibilities for further research. Specifically, the existence of both herding and minority game behavior of market participants are necessary for attaining the e cient market in the sense of the e cient market hypothesis.
Wavelet Coefficients Energy Redistribution and Heisenberg Principle of Uncertainty
Vošvrda, Miloslav ; Schurrer, J.
First part of the paper summarizes Heisenberg Principle of Uncertainty, Wavelet transformation and signal energy. Second part presents Wavelet analysis of Apple Inc. stock daily closing price, showing energy redistribution depending on the Wavelet decomposition level based on the Wavelet choosen for the decomposition and the level of decomposition.
Markov Equilibrium between High Frequency Traders
Šmíd, Martin
We model an optimal behaviour of a finite number of (perhaps high frequency) traders at a limit order market with a instrument possibly paying dividends. The traders are assumed to trade continuously and to maximize their discounted consumption while keeping the probability of near-bankruptcy states at a prescribed level. The latency times, ie., the delays between the order submissions and the corresponding order books' changes, are taken into account. We show that the process describing the market is Markov given the largest among information sets of the agents.
Value at Risk application to FSD portfolio efficiency testing
Kopa, Miloš
The paper deals with efficiency testing of a given portfolio with respect to all other portfolios that can be created from the considered set of assets. The efficiency is based on the first order stochastic dominance (FSD) relation. A necessary and sufficient condition for the first order stochastic dominance criterion is expressed in terms of Value at Risks (VaRs). Consequently a FSD portfolio efficiency test based on VaRs is formulated. Contrary to the usual case, a general discrete distribution of portfolio returns is assumed what makes the test computationally more demanding comparing to the equiprobable scenarios case. Therefore we present a tractable reformulation of this test that turns constraints on VaRs into classical mixed-integer nonlinear programming problem.

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