Listar ECO_Articles por autoría "d8f4a86c-8fa7-4913-9d6f-285670a93358"
Mostrando ítems 21-38 de 38
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Heuristic Switching Model and Exploration-Exploitation Algorithm to Describe Long-Run Expectations in LtFEs: a Compariso
Colasante, Annarita; Alfarano, Simone; Camacho Cuena, Eva Springer (2019-12-07)We elicit individual expectations in a series of Learning-to-Forecast Experiments (LtFEs) with different feedback mechanisms between expectations and market price: positive and negative feedback markets. We implement the ... -
Interdisciplinary Applications of Physics in Economics and Finance
Alfarano, Simone; Lux, Thomas; Milakovic, Mishael Springer-Verlag (2010) -
Long-run expectations in a learning-to-forecast experiment: A Simulation Approach
Colasante, Annarita; Alfarano, Simone; Camacho Cuena, Eva; Gallegati, Mauro Taylor & Francis (2017)We conduct a Learning to Forecast Experiment using a novel setting in which we elicit subjects’ short- and long-run expectations on the future price of an asset. We find that: (i) the rational expectations equilibrium is ... -
Network Approaches to Interbank Markets: Foreword (Editorial)
Alfarano, Simone; Fricke, Daniel; Lux, Thomas; Raddant, Matthias Springer US (2016-06) -
On the determination of the granular size of the economy
Blanco Arroyo, Omar; Ruiz-Buforn, Alba; Vidal-Tomás, David; Alfarano, Simone Elsevier (2018-12)Introducing the granular hypothesis, Gabaix (2011) shows that the idiosyncratic shocks of a few “granular” firms account for a significant fraction of aggregate fluctuations of the US business cycle. In ... -
On the distributional properties of size, profit and growth of Icelandic firm
Erlingsson, Einar Jón; Alfarano, Simone; Raberto, Marco; Stefánsson, Hlynur Springer Verlag (2012)In this paper, we analyze the distributional properties of the balance sheets of Icelandic firms by performing an empirical analysis of total assets, profit rates and growth rates using a data set of 2,818 Icelandic firms ... -
Overweighting of public information in financial markets: A lesson from the lab
Ruiz-Buforn, Alba; Camacho Cuena, Eva; MORONE, ANDREA; Alfarano, Simone Elsevier (2021-08-18)We study the information aggregation process in a laboratory financial market where traders have access to costly private and free public imperfect information. The public disclosure provokes (i) a crowding-out effect on ... -
El Papel de las agencias de rating en la desestabilización de los mercados financieros en el laboratorio
Alfarano, Simone; Camacho Cuena, Eva; MORONE, ANDREA Generalitat Valenciana. Comité economic i social de la Comunitat Valenciana (2011)Tras la reciente etapa de agitación en los mercados financieros, tanto los académicos como las instituciones reguladoras han iniciado un debate sobre el papel de las agencias de rating en la inestabilidad financiera. Parece ... -
Single vs multiple disclosures in an experimental asset market with information acquisition
Ruiz-Buforn, Alba; Alfarano, Simone; Camacho Cuena, Eva; MORONE, ANDREA Taylor & Francis (2021-04-13)We conduct laboratory experiments to study whether increasing the number of independent public signals in an economy with endogenous private information is an effective measure to promote the acquisition of information and ... -
Survival and the ergodicity of corporate profitability
Mundt, Philipp; Alfarano, Simone; Milakovic, Mishael Informs (Institute for Operations Research and the Management Sciences) (2022-03-25)The cross-sectional variation in corporate profitability has occupied research across fields as diverse as strategic management, industrial organization, finance, and accounting. Prior work suggests that corporate ... -
The effect of time‑varying fundamentals in learning‑to‑forecast experiments
Alfarano, Simone; Camacho Cuena, Eva; Colasante, Annarita; Ruiz-Buforn, Alba Springer (2023)Inspired by macroeconomic scenarios, we aim to experimentally investigate the evolution of short- and long-run expectations under diferent specifcations of the fundamentals. We collect individual predictions for future ... -
The fine structure of spectral properties for random correlation matrices: an application to financial markets
Livan, Giacomo; Alfarano, Simone; Scalas, Enrico American Physical Society (2011-07-29)We study some properties of eigenvalue spectra of financial correlation matrices. In particular, we investigate the nature of the large eigenvalue bulks which are observed empirically, and which have often been regarded ... -
The Real Versus the Financial Economy: A Global Tale of Stability Versus Volatility
Mundt, Philipp; Förster, Niels; Alfarano, Simone; Milakovic, Mishael Dennis J. Snower (2014)The question how the real and the financial side of a capitalist economy relate to each other has been a frequently recurring topic in the history of economic thought. Our paper addresses this question from the viewpoint ... -
The Small Core of the German Corporate Board Network
Alfarano, Simone; Milakovic, Mishael; Lux, Thomas Institut für Weltwirstach (2008)We consider the current bipartite graph of German corporate boards and identify a small core of directors who are highly central in the entire network while being densely connected among themselves. To identify the core, ... -
The small core of the German corporate board network
Milakovic, Mishael; Alfarano, Simone; Lux, Thomas Springer US (2010)We consider the bipartite graph of German corporate boards and identify a small core of directors who are highly central in the entire network while being densely connected among themselves. To identify the core, we compare ... -
The term structure of cross-sectional dispersion of expectations in a Learning-to-Forecast Experiment
Colasante, Annarita; Alfarano, Simone; Camacho Cuena, Eva Springer (2019-03-09)In this paper, we present the results of a Learning-to-Forecast Experiment (LtFE) where we eliciting short- as well as long-run expectations regarding the future price dynamics in markets with positive and negative ... -
Time variation of higher moments in a financial market with heterogeneous agents: An analytical approach
Alfarano, Simone; Lux, Thomas; Wagner, Friedrich Elsevier (2008-01)A growing body of recent literature allows for heterogenous trading strategies and limited rationality of agents in behavioral models of financial markets. More and more, this literature has been concerned with the explanation ... -
What distinguishes individual stocks from the index?
Wagner, Friedrich; Milakovic, Mishael; Alfarano, Simone Springer-Verlag (2010)Stochastic volatility models decompose the time series of financial returns into the product of a volatility factor and an iid noise factor. Assuming a slow dynamic for the volatility factor, we show via nonparametric tests ...