Averaging plus Learning Models and Their Asymptotics
We develop original models to study interacting agents in financial markets and in social networks. Within these models randomness is vital as a form of shock or news that decays with time. Agents learn from their observations and learning ability to interpret news or private information in time-varying networks. Under general assumption on the noise, a limit theorem is developed for the generalised DeGroot framework for certain type of conditions governing the learning. In this context, the agents beliefs (properly scaled) converge in distribution that is not necessarily normal. Fresh insights are gained not only from proposing a new setting for social learning models but also from using different techniques to study discrete time random linear dynamical systems.
Code (0)
등록된 구현이 없습니다.
Similar Papers 제목 키워드 기반
Asymptotics for the Discrete-Time Average of the Geometric Brownian Motion and Asian Options
The time average of geometric Brownian motion plays a crucial role in the pricing of Asian options in mathematical finance. In this paper we consider the asymptotics of the discrete-time average of a geometric Brownian m…
Short Maturity Asian Options in Local Volatility Models
We present a rigorous study of the short maturity asymptotics for Asian options with continuous-time averaging, under the assumption that the underlying asset follows a local volatility model. The asymptotics for out-of-…
Short Maturity Asian Options for the CEV Model
We present a rigorous study of the short maturity asymptotics for Asian options with continuous-time averaging, under the assumption that the underlying asset follows the Constant Elasticity of Variance (CEV) model. We p…
On magnitude, asymptotics and duration of drawdowns for L\'{e}vy models
This paper considers magnitude, asymptotics and duration of drawdowns for some L\'{e}vy processes. First, we revisit some existing results on the magnitude of drawdowns for spectrally negative L\'{e}vy processes using an…
ManagementA delayed dual risk model
In this paper, we study a dual risk model with delays in the spirit of Dassios-Zhao. When a new innovation occurs, there is a delay before the innovation turns into a profit. We obtain large initial surplus asymptotics f…
model