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tales of sentiment driven tails

主讲人: Wolfgang Karl Härdle
主讲人简介:

Upload/File/2018/10/20181022045628520.pdf

简介:

This paper develops a model of rational behavior under uncertainty, in which the agent maximizes the stream of the future -quantile utilities.  That is, the agent has a quantile utility preference instead of the standard expected utility.  Quantile preferences have useful advantages, such as robustness and ability to capture heterogeneity.  Agents tend to distort their beliefs though and therefore we look at Rank Dependent (RD) i.e. quantile preferences derived from distorted distributions.
The question that arises now is where does the distortion come from?  We calculate and investigate NASDAQ based sentiments.  In a nonlinear quantile regression based on the corresponding Euler equation they are shown to drive in fact the distortion.

时间: 2018-10-23(Tuesday)16:40-18:00
地点: N302, Econ Building
主办单位: WISE& SOE
类型: 独立讲座
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