Ανάρτηση Ερευνητικού Δοκιμίου no 06/24

Ερευνητικό Δοκίμιο no 06/24 με τίτλο "Time will Tell!  Towards the Construction of Instantaneous Indicators of  Different Agent-types"

των Ιορδάνη Καλαϊτζόγλου και Στέλιου Αρβανίτη 

Περίληψη

This paper introduces a new instantaneous, intensity-based metric for estimating  the proportion of different agent-types at any time interval, coined the (i)ntensity based (R)elative (P)roportion (iRP). iRP is based on the notion that differences  in trading motives are expressed in agent specific arrival rates, which are modelled  using conditional hazard functions. This novel framework is applied on identifying  the presence of private information and it exhibits empirical and theoretical properties  that are superior to existing metrics, even at very short intervals. A variety of other  agent-types can be modeled, accordingly, as long as their actions can be mapped into  differentials in conditional intensities.

O Ιορδάνης Καλαϊτζόγλου είναι Aναπληρητής Καθηγητής στο Audencia Business School και ο Στέλιος Αρβανίτης Καθηγητής του τμήματος Οικονομικής Επιστήμης του Οικονομικού Πανεπιστημίου Αθηνών.