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Some of the material in is restricted to members of the community. By logging in, you may be able to gain additional access to certain collections or items. If you have questions about access or logging in, please use the form on the Contact Page.
The financial economics profession has determined that identical agents in a dynamic, stochastic, general equilibrium (DSGE) model does not provide price and trading dynamics realized in financial markets. There has been quite a bit of...
The standard dynamic general equilibrium model of financial markets does a poor job of explaining the empirical facts observed in real market data. The common assumptions of homogeneous investors and rational expectations equilibrium are...
Randomized quasi-Monte Carlo (RQMC) methods were first developed in mid 1990’s as a hybrid of Monte Carlo and quasi-Monte Carlo (QMC) methods. They were designed to have the superior error reduction properties of low-discrepancy...
The standard Lucas asset pricing model makes two common assumptions of homogeneous agents and rational expectations equilibrium. However, these assumptions are unrealistic for real financial markets. In this work, we relax these...
Some of the material in is restricted to members of the community. By logging in, you may be able to gain additional access to certain collections or items. If you have questions about access or logging in, please use the form on the Contact Page.
