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Published / Preprint: Accounting and the Formation of Share Market Prices Over Time: A Mathematical Institutional Economic Analysis Through Simulation and Experiment
Blog Post: TheAlephBlog: Best of the Aleph Blog, Part 21
Blog Post: TheFinancialServicesClub: Things worth reading: 9th May 2013
Published / Preprint: Optimal dividend problem for a generalized compound Poisson risk model. (arXiv:1305.1747v1 [q-fin.PR])
Published / Preprint: A Galerkin approximation scheme for the mean correction in a mean-reversion stochastic differential equation. (arXiv:1305.1868v1 [q-fin.PR])
Blog Post: rob_daly: Category 2'²s Mad Dash to June Finish Line

Published / Preprint: Accounting and the Formation of Share Market Prices Over Time: A Mathematical Institutional Economic Analysis Through Simulation and Experiment

Posted: 09 May 2013 04:24 AM PDT

This paper develops an agent-based model to examine the emergent dynamic properties of share market price formation over time, with a view on financial market stability under alternative accounting regimes. In the model, individual heterogeneous investors interact with each other and with institutional devices which are an accounting system (related to the business firm) and a price system...

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Blog Post: TheAlephBlog: Best of the Aleph Blog, Part 21

Posted: 09 May 2013 03:18 AM PDT

These articles appeared between February 2012 and April 2012:read more...

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Blog Post: TheFinancialServicesClub: Things worth reading: 9th May 2013

Posted: 08 May 2013 09:58 PM PDT

Things we're reading today include ... read more...

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Published / Preprint: Optimal dividend problem for a generalized compound Poisson risk model. (arXiv:1305.1747v1 [q-fin.PR])

Posted: 08 May 2013 05:30 PM PDT

In this note we study the optimal dividend problem for a company whose surplus process, in the absence of dividend payments, evolves as a generalized compound Poisson model in which the counting process is a generalized Poisson process. This model including the classical risk model and the Polya-Aeppli risk model as special cases. The objective is to find a dividend policy so as to maximize the...

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Published / Preprint: A Galerkin approximation scheme for the mean correction in a mean-reversion stochastic differential equation. (arXiv:1305.1868v1 [q-fin.PR])

Posted: 08 May 2013 05:30 PM PDT

This paper is concerned with the following Markovian stochastic differential equation of mean-reversion type \[ dR_t= (\theta +\sigma \alpha(R_t, t))R_t dt +\sigma R_t dB_t \] with an initial value $R_0=r_0\in\mathbb{R}$, where $\theta\in\mathbb{R}$ and $\sigma>0$ are constants, and the mean correction function...

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