Business Analytics Working Paper Series: Recent submissions
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Convergent learning algorithms for potential games with unknown noisy rewards
Published 2011-08-01In this paper, we address the problem of convergence to Nash equilibria in games with rewards that are initially unknown and which must be estimated over time from noisy observations. These games arise in many real-world ...Open AccessWorking Paper -
Ranking games and gambling: When to quit when you're ahead
Published 2011-08-01It is common for rewards to be given on the basis of a rank ordering, so that relative performance amongst a cohort is the criterion. In this paper we formulate an equilibrium model in which an agent makes successive ...Open AccessWorking Paper -
The Multistep Beveridge-Nelson Decomposition
Published 2011-10-01The Beveridge-Nelson decomposition defines the trend component in terms of the eventual forecast function, as the value the series would take if it were on its long-run path. The paper introduces the multistep Beveridge-Nelson ...Open AccessWorking Paper -
Estimating Value At Risk
Published 2010-01-01Significantly driven by JP Morgan's RiskMetrics system with EWMA (exponentially weighted moving average) forecasting technique, value-at-risk (VaR) has turned to be a popular measure of the degree of various risks in ...Open AccessWorking Paper -
Combinatorics of Option Spreads: The Margining Aspect
Published 2010-07-01In December 2005, the U.S. Securities and Exchange Commission approved margin rules for complex option spreads with 5, 6, 7, 8, 9, 10 and 12 legs. Only option spreads with 2, 3 or 4 legs were recognized before. Taking ...Open AccessWorking Paper