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Adding The Time Dimension: Optimal Rebalancing  

Mark Kritzman, Simon Myrgren, and Sebastien Page

Print publication date:
Dec 2011
Online publication date:
Nov 2012
A technique called dynamic programming can be used to identify an optimal rebalancing schedule, which significantly reduces rebalancing and sub-optimality costs. Dynamic programming ... More

Agent-Based Macroeconomic Modeling and Policy Analysis: The Eurace@ Unibi Model  

Herbert Dawid, Simon Gemkow, Philipp Harting, Sander van der Hoog, and Michael Neugart

Print publication date:
Feb 2018
Online publication date:
Feb 2018
This chapter introduces the Eurace@Unibi model, one of the agent-based simulation models that are relatively new additions to the toolbox of macroeconomists, and the research that has been ... More

Agent-based Modeling for Financial Markets  

Giulia Iori and James Porter

Print publication date:
Feb 2018
Online publication date:
Feb 2018
This chapter discusses a step in the evolution of agent-based model (ABM) research in finance. Agent-based modeling has concentrated on the development of stylized market models, which ... More

Agent-Based Models for Economic Policy Design: Two Illustrative Examples  

Frank Westerhoff and Reiner Franke

Print publication date:
Feb 2018
Online publication date:
Feb 2018
With the help of two examples, this chapter illustrates the usefulness of agent-based models as tools for economic policy design. The first example applies a financial market model in ... More

Agent-Based Models of the Labor Market  

Michael Neugart and Matteo Richiardi

Print publication date:
Feb 2018
Online publication date:
Feb 2018
The chapter reviews the literature concerning agent-based labor market models by tracing its roots to the microsimulation literature and surveying a selection of con- tributions made since ... More

Aggressive Elites and Vulnerable Entrepreneurs: Trust and Cooperation in the Shadow of Conflict  

Halvor Mehlum and Karl Moene

Print publication date:
Apr 2012
Online publication date:
Nov 2012
This article explores the tendency for poverty and conflict, as well as for prosperity and peace, to reinforce one another, examining two specific factors. One is the type of rents that ... More

Algorithmic Trading based on Biologically Inspired Algorithms  

Vassilios Vassiliadis and Georgios Dounias

Print publication date:
Feb 2018
Online publication date:
Feb 2018
The chapter discusses algorithmic trading, which refers to any automated process, consisting of a number of interconnected components, whose main aim is to perform financial transactions ... More

Algorithmic Trading in Practice  

Peter Gomber and Kai Zimmermann

Print publication date:
Feb 2018
Online publication date:
Feb 2018
The use of computer algorithms in securities trading, or algorithmic trading, has become a central factor in modern financial markets. The desire for cost and time savings within the ... More

Algorithmic Trading, Optimal Execution, and Dyna Mic Port Folios  

Petter N. Kolm and Lee Maclin

Print publication date:
Dec 2011
Online publication date:
Nov 2012
This article discusses the portfolio optimization with market impact costs, combining execution and portfolio risk, and dynamic portfolio analysis. A multi-period portfolio optimization ... More

The Analysis of Macroeconomic Panel Data  

Joerg Breitung

Print publication date:
Jan 2015
Online publication date:
May 2015
This chapter reviews recent developments in the analysis of macroeconomic panel data which typically involve aggregate variables from various countries. In contrast to the large N, small T ... More

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