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Comments on ‘Microeconomic Rigidities and Aggregate Price Dynamics’ by Ricardo Caballero and Eduardo Engle
Microeconomic Rigidities Aggregate Price Dynamics
2015/8/4
Comments on ‘Microeconomic Rigidities and Aggregate Price Dynamics’ by Ricardo Caballero and Eduardo Engle.
Asset Price Dynamics with Limited Attention
Transitory Volatility Limited Attention Individuals Market Makers Asset Pricing Financial Markets
2015/4/27
This paper studies the role that limited attention and inefficient risk sharing play in stock price deviations from the efficient prices at horizons from one day to one month. We expand the Due (2010)...
Universality class of balanced flows with bottlenecks: granular flows, pedestrian fluxes and financial price dynamics
Universality class of balanced flows bottlenecks granular flows pedestrian fluxes financial price dynamics
2012/6/4
We propose and document the evidence for an analogy between the dynamics of granular counter-flows in the presence of bottlenecks or restrictions and financial price formation processes. Using extensi...
Abstract: We propose and study a simple stochastic model for the dynamics of a limit order book, in which arrivals of market order, limit orders and order cancellations are described in terms of a Mar...
Price dynamics in financial markets: a kinetic approach
Price dynamics financial markets kinetic approach
2010/10/21
The use of kinetic modelling based on partial differential equations for the dynamics of stock price formation in financial markets is briefly reviewed. The importance of behavioral aspects in market...
Superstatistical fluctuations in time series: Applications to share-price dynamics and turbulence
Superstatistical fluctuations dynamics turbulence
2010/10/29
We report a general technique to study a given experimental time series with superstatistics.
Crucial for the applicability of the superstatistics concept is the existence of a parameter β that fluct...
Tremor price dynamics in the world's network of stock exchanges
Tremor price dynamics stock exchanges
2010/11/3
We use insight from a model of earth techtonic plate movement to obtain a new understanding of
the build up and release of stress in the price dynamics of the world’s stock exchanges. Nonlinearity en...
Expectations theory and wheat price dynamics
theory of expectations prognosis prices on wheat
2014/3/20
The analysis of prices on wheat in Germany from the point of view of the theory of expectations is given. For this purpose, the authors propose their own method of data processing which is called the ...