EconStor Community:
http://hdl.handle.net/10419/234
2016-08-25T11:38:11ZA Boltzmann-type approach to the formation of wealth distribution curves
http://hdl.handle.net/10419/32150
Title: A Boltzmann-type approach to the formation of wealth distribution curves
Authors: Düring, Bertram; Matthes, Daniel; Toscani, Giuseppe
Abstract: Kinetic market models have been proposed recently to account for the redistribution of wealth in simple market economies. These models allow to develop a qualitative theory, which is based on methods borrowed from the kinetic theory of rarefied gases. The aim of these notes is to present a unifying approach to the study of the evolution of wealth in the large-time regime. The considered models are divided into two classes: the first class is such that the society's mean wealth is conserved, while for models of the second class, the mean wealth grows or decreases exponentially in time. In both cases, it is possible to classify the most important feature of the steady (or self-similar, respectively) wealth distributions, namely the fatness of the Pareto tail. We shall also discuss the tails' dynamical stability in terms of the model parameters. Our results are derived by means of a qualitative analysis of the associated homogeneous Boltzmann equations. The key tools are suitable metrics for probability measures, and a concise description of the evolution of moments. A recent extension to economies, in which different groups of agents interact, is presented in detail. We conclude with numerical experiments that confirm the theoretical predictions.2008-01-01T00:00:00ZA nonparametric regression cross spectrum for multivariate time series
http://hdl.handle.net/10419/32166
Title: A nonparametric regression cross spectrum for multivariate time series
Authors: Beran, Jan
Abstract: We consider dependence structures in multivariate time series that are characterized by deterministic trends. Results from spectral analysis for stationary processes are extended to deterministic trend functions. A regression cross covariance and spectrum are defined. Estimation of these quantities is based on wavelet thresholding. The method is illustrated by a simulated example and a three-dimensional time series consisting of ECG, blood pressure and cardiac stroke volume measurements.2008-01-01T00:00:00ZAsset pricing under information with stochastic volatility
http://hdl.handle.net/10419/32164
Title: Asset pricing under information with stochastic volatility
Authors: Düring, Bertram
Abstract: Based on a general specification of the asset speci?c pricing kernel, we develop a pricing model using an information process with stochastic volatility. We derive analytical asset and option pricing formulas. The asset prices in this rational expectations model exhibit crash-like, strong downward movements. The resulting option pricing formula is consistent with the strong negative skewness and high levels of kurtosis observed in empirical studies. Furthermore, we determine credit spreads in a simple structural model.2008-01-01T00:00:00ZAre options on index futures profitable for risk averse investors? Empirical evidence
http://hdl.handle.net/10419/32154
Title: Are options on index futures profitable for risk averse investors? Empirical evidence
Authors: Jackwerth, Jens Carsten; Constantinides, George M.; Czerwonko, Michal; Perrakis, Stelios
Abstract: American call and put options on the S&P 500 index futures that violate the stochastic dominance bounds of Constantinides and Perrakis (2007) over 1983-2006 are identified as potentially profitable investment opportunities. Call bid prices more frequently violate their upper bound than put bid prices do, while evidence of underpriced calls and puts over this period is scant. In out-of-sample tests, the inclusion of short positions in such overpriced calls, puts, and, particularly, straddles in the market portfolio is shown to increase the expected utility of any risk averse investor and also increase the Sharpe ratio, net of transaction costs and bid-ask spreads. The results are strongly supportive of mispricing.2008-01-01T00:00:00Z