Working Paper Series 1999

List of working papers 1999
(click for more information)

1-5	Working Paper Series 1997
6-25	Working Paper Series 1998
26	Is there a Predictable Criterion for Mutual Singularity of two Probability Measures on a Filtered Space?
27	Some Remarks on a Paper of David Kreps
28	A Bipolar Theorem for Subsets of $L^0_+(\Om, \Cal F, \P)$
29	An Examination Of Indexes For Determining The Number Of Clusters In Binary Data Sets
30	Consistent Expectations Equilibria and Learning in a Stock Market
31	A Voting-Merging Clustering Algorithm
32	ANNAM An Artificial Neural Net Attraction Model to Analyze Market Shares
33	a-Consistent Expectations Equilibria
34	Die Bedeutung von Volatilitätsprognosen, Verteilungsschätzungen und Portfoliobewertung im Rahmen von Value at Risk-Modellen
35	Evaluation and Analysis of Total Flexibility in the Production Using Monte Carlo Simulation
36	Stability of Real-Time Lot-Scheduling and Machine Replacement Policies with Quality Levels
37	On the Ergodicity and Stationarity of the ARMA(1,1) Recurrent Neural Network Process
38	How Option Thinking can Improve Software Platform Decisions
39	Adaptive Erwartungsbildung und Finanzmarktdynamik
40	The Tradeoff between Coordination and Interfering Learning Signals
41	Individual Level or Segmentation Based Market Simulation?
42	New Product Development in the Artificial Factory
43	Adaptive Agents in the House of Quality
44	Volatility Forecasts and the Enhancement of Risk/Return Profiles through Automated Trading Strategies
45	The Three Stages in Bond Market Development Embryonic, Emerging and Established Markets: A Comparison for Objective Dispersion Processes and the Implications for Option Pricing
46	The Austrian Stock Market Comparison of Objective Dispersion Processes and the Implications for Options Pricing
47	Established vs. Emerging Stock Index Future Markets: A Comparison of Dispersion Processes and the Implications for Option Pricing
48	Non-Linear Exotic Contigent Claims: The Power Option
49	Implied Volatility Surfaces: Uncovering Regularities for Options on Financial Futures
50	Improving Predictive Validity of Choice-Based Conjoint Models
51	Bagged Clustering
52	Cointegration and Exchange Market Efficiency: An Analysis of High Frequency Data
53	On Specifying  Correlation Matrices for Binary Data
54	Asset Pricing Under Asymmetric Information
55	Using Genetics Based Machine Learning to find Strategies for Product Placement in a dynamic Market
56	Controllability of Dicrete-Time Two Dimensional Single Input Recurrent Neural Networks
57	Sample Autocorrelation Learning in a Capital Market Model
58	The Limitations of No-Arbitrage Arguments for Real Options
59	Modeling Market Scemarios for Simulation Studies on the Joint Segmentation and Positioning Problem
60	The SIMSEG Project: A Simulation Environment for Market Segmentation and Positioning Strategies
61-78	Working Paper Series 2000
79-84	Working Paper Series 2001
85-93	Working Paper Series 2002
94-..	Working Paper Series 2003

Working Paper #26, January 1999 (Ini 2)

Walter Schachermayer, Werner Schachinger

Is there a Predictable Criterion for Mutual Singularity of two Probability Measures on a Filtered Space?

The theme of providing predictable criteria for absolute continuity and for mutual singularity of two density processes on a filtered probability space is extensively studied, e.g., in the monograph by J. Jacod and A. N. Shiryaev [JS]. While the issue of absolute continuity is settled there in  full generality, for the issue of mutual singularity one technical difficulty remained open ([JS], p210): "We do not know whether it is possible to derive a predictable criterion (necessary and sufficient condition) for $P_T'\perp P_T$,...". It turns out that to this question raised in [JS] which we also chose as the title of this note, there are two answers: on the negative side we give an easy example, showing that in general the answer is no, even when we use a rather wide interpretation of the concept of "predictable criterion". The difficulty comes from the fact that the density process of a probability measure P with respect to another measure P' may suddenly jump to zero. On the positive side we can characterize the set, where P' becomes singular with respect to P -- provided this does not happen in a sudden but rather in a continuous way -- as the set where the Hellinger process diverges, which certainly is a "predictable criterion". This theorem extends results in the book of J. Jacod and A. N. Shiryaev [JS].

Download / Up

Working Paper #27, January 1999 (Ini 2)

Walter Schachermayer

Some Remarks on a Paper of David Kreps

This note is based on the seminal paper of D. Kreps: Arbitrage and Equilibrium in Economies with Infinitely many Commodities. We give a   negative) solution to a conjecture raised in this paper as well as some remarks commenting on the results of this paper in view of the more recent literature.

Download / Up

Working Paper #28, January 1999 (Ini 2)

Werner Brannath, Walter Schachermayer

A Bipolar Theorem for Subsets of $L^0_+(\Om, \Cal F, \P)$.

A consequence of the Hahn-Banach theorem is the classical bipolar theorem which states that the bipolar of a subset of a locally convex vector pace equals its closed convex hull. The space $\L$ of real-valued random variables on a probability space $\OF$ equipped with the topology of onvergence in measure fails to be locally convex so that -- a priori -- the classical bipolar theorem does not apply. In this note we show an nalogue of the bipolar theorem for subsets of the positive orthant $\LO$, if we place $\LO$ in duality with itself, the scalar product now taking values in $[0, \infty]$. In this setting the order structure of $\L$ plays an important role and we obtain that the bipolar of a subset of $\LO$ equals its closed, convex and solid hull. In the course of the proof we show a decomposition lemma for convex subsets of $\LO$ into a ``bounded" and ``hereditarily unbounded" part, which seems interesting in its own right.

Download / Up

Working Paper #29, January 1999 (Ini 1 and Ini 3)

Andreas Weingessel, Evgenia Dimitriadou, Sara Dolnicar

An Examination Of Indexes For Determining The Number Of Clusters In Binary Data Sets

An examination of 14 indexes for determining the number of clusters is conducted on artificial binary data sets being generated
according to various design factors. To provide a variety of clustering solutions the data sets are analyzed by different non hierarchical clustering methods. The purpose of the paper is to present the performance and the ability of an index to detect the
proper number of clusters in a binary data set under various conditions and different difficulty levels.

Download / Up

Working Paper #30, March 1999 (Ini 2)

Leopold Sögner, Johann Mitlöhner

Consistent Expectations Equilibria and Learning in a Stock Market

In this article we investigate the question whether the highly demanding informative requirements of rational expectations models are necessary to derive equilibria within capital market models. In the analysis agents are only provided with publicly available information such as prices and dividends. Nevertheless, we require that agents should behave like econometricians. Additionally, we skip the assumption of rational expectations models that agents know the implied law of motion of the system. By these assumptions, the stock market can be considered as a Sorger-Hommes consistent expectations model. In this article, we show the existence of consistent expectations equilibria with myopic agents, where the only CEE is the rational expectations equilibrium. In the simulation part we demonstrate how the steady state CEE can be derived by means of sample autocorrelation learning. Thus, we are able to derive a stock market equilibrium with less demanding requirements, where this equilibrium is equal to the rational expectations equilibrium.

Download / Up

Working Paper #31, April 1999 (Ini 1)

Evgenia Dimitriadou, Andreas Weingessel and Kurt Hornik

A Voting-Merging Clustering Algorithm

In this paper we propose an unsupervised voting-merging scheme that is capable of clustering data sets, and also of finding the number  of clusters existing in them. The voting part of the algorithm allows us to combine several runs of clustering algorithms resulting  in a common partition. This helps us to overcome instabilities of the clustering algorithms and to improve the ability to find   structures in a data set. Moreover, we develop a strategy to understand, analyze and interpret these results. In the second part  of the scheme, a merging procedure starts on the clusters resulting by voting, in order to find the number of clusters in the data set.

Download / Up

Working Paper #32, April 1999 (Ini 3)

Harald Hruschka

ANNAM An Artificial Neural Net Attraction Model to Analyze Market Shares

The marketing literature so far only considers attraction models with strict functional forms. Greater flexibility can be achieved by the neural net based approach introduced which assesses brands' attraction values by means of a perceptron with one hidden layer. Using log-ratio transformed market shares as dependent variables stochastic gradient descent followed by a quasi-Newton method estimates parameters. For store-level data the neural net model performs better and implies a price response qualitatively different from the well-known MNL attraction model. Price elasticities of these competing models also lead to specific managerial implications.

Download / Up

Working Paper #33, May 1999 (Ini 6)

Jesus Crespo-Cuaresma, Gerhard Sorger

a-Consistent Expectations Equilibria

We modify the concept of consistent expectations equilibria introduced in Hommes and Sorger (1998) in two ways:
(i) the consistency conditionrequires that the probability that the agents reject their perceived law of motion in any period does not exceed a given level and
(ii) there may exist exogenous stochastic shocks. The concept is illustrated by two examples using a linear economic system. In one of the examples consistency implies expectations, in the other example it does not.

Download / Up

Working Paper #34, May 1999 (Ini 6)

Engelbert Dockner, Peter Harold

Die Bedeutung von Volatilitätsprognosen, Verteilungsschätzungen und Portfoliobewertung im Rahmen von Value at
Risk-Modellen

Das Konzept Value at Risk (VaR) scheint sich als Standard im Rahmen von internen Risikomanagementmodellen in der Praxis durchzusetzen. Als quantitatives Risikomaß setzt es sich aus einem Volatilitätsmaß, der Modellierung von Verteilungen von Wertpapierrenditen und einem Bewertungsmodell zusammen. Die vorliegende Arbeit untersucht nun empirisch welche Bedeutung diese Komponenten für den VaR eines einfachen Aktienportefeuilles haben. Dabei zeigt sich, daß die Wahl des Volatilitätsmaßes keinen signifikanten Einfluß auf die Ermittlung des VaR für ein Aktienportefueille hat. Sowohl die Annahme über die Verteilung der Aktienrenditen als auch der Bewertungsansatz mit dem das Aktienportefeuille abgebildet wird, können gravierende Änderungen im VaR nach sich ziehen. Dieses Ergebnis läßt daher den Schluß zu, daß bei der Ermittlung der Eigenkapitalvorsorge im Rahmen der Kapitaladäquanzrichtlinie die Wahl des geeigneten Bewertungsmodells als auch der Verteilungsfunktion von großer Bedeutung sind.

Download / Up

Working Paper #35, May 1999 (Ini 5)

Alfred Taudes, Martin Natter, Markus Schauerhuber

Evaluation and Analysis of Total Flexibility in the Production Using Monte Carlo Simulation

Nearly unpredictable turbulence on an overall economic level, radical changes in the legal framework and a shift in the moral concepts prevailing in the general public emphasize the importance of increased corporate flexibility. Usually, most flexibility measurements suffer from the defect that they are not pecuniary, that interactions between different flexibility dimensions are not considered and that they lack the required relatedness to the respective context. These problems contribute to a large extent to the fact that, when making investment decisions, the value of flexibility is considered but intuitively or insufficiently. Frequently, the results are irrational myopic pseudo decisions. The present work can be regarded as an attempt to design a pecuniary and context-related flexibility measure of three single flexibility dimensions in an extremely simplified framework and under restrictive assumptions. The primary method used is Monte Carlo Simulation. The present study shows that the value of flexibility can be substantive and that taking into account the interactions of various single flexibilities when strategic investments are made can be of great importance. In this paper, we work out the connection between "environmental volatility" and the "value of flexibility". Our work shows a numerically strong positive relation between these two properties.

Download / Up

Working Paper #36, May 1999 (Ini 6)

Suresh P. Sethi, Gerhard Sorger, Xun Yu Zhou

Stability of Real-Time Lot-Scheduling and Machine Replacement Policies with Quality Levels

In this note we show how the main result of Lou et al. can be generalized to an unreliable machine with various quality levels. We consider a single machine which can process parts of different types. The machine can process at most one part at a time and it needs a setup period whenever it switches from one part-type to another. Parts enter the system in type-specific input rates and require type-specific processing times. The quality of the machine deteriorates according to a continuous-time Markov process and the only way to improve the quality is by replacing the machine by a new one. We postulate a simple form of real-time replacement and scheduling policies, and derive conditions ensuring the stability of the system under these policies.

Download / Up

Working Paper #37, May 1999 (Ini 1 and Ini 3)

Adrian Trapletti, Friedrich Leisch, Kurt Hornik

On the Ergodicity and Stationarity of the ARMA(1,1) Recurrent Neural Network Process

In this note we consider the autoregressive moving average recurrent neural network ARMA-NN(1,1) process. We show that
in contrast to the pure autoregressive process simple ARMA-NN processes exist which are not irreducible. We prove that the
controllability of the linear part of the process is sufficient for irreducibility. For the irreducible process essentially the shortcut weight corresponding to the autoregressive part determines whether the overall process is ergodic and stationary.

Download / Up

Working Paper #38, May 1999 (Ini 5)

Alfred Taudes, Markus Feurstein, Andreas Mild

How Option Thinking can Improve Software Platform Decisions

In recent years, the use of option pricing models to support IT investment deci-sions has been proposed in the MIS literature. In this paper, we discuss the practical ad-vantages of such techniques for the selection of a software platform. First, we argue that traditional quantitative approaches to a cost-benefit analysis give only a partial picture of such decision situations: due to the long planning horizon required because of the time-consuming and resource-intensive implementation process, it is not possible to exactly pre-dict which applications will, in fact, run on the system over time. Thus, the investor is faced with the problem of valuing “implementation opportunities”. We then compare different valuation techniques for this task and discuss their respective advantages and drawbacks. The practical advantages of em-ploying such models are demonstrated by describing a real-life case study where option pricing mod-els were used for deciding whether to continue employing SAP R/2 or to switch to SAP R/3.

Download / Up

Working Paper #39, May 1999 (Ini 6)

Thomas Dangl, Engelbert Dockner, Andrea Gaunersdorfer, Alexander Pfister, Leopold Sögner, Günter Strobl

Adaptive Erwartungsbildung und Finanzmarktdynamik

Aufbauend auf einem klassischen Finanzmarktmodell behandeln wir drei Modellvarianten, die jeweils einen anderen Ansatz der (heterogenen) Erwartungsbildung von Investoren über künftige Wertpapierpreise in den Vordergrund der Betrachtungen rücken: das Konzept der konsistenten Erwartungen, das Konzept der 'Adaptive Belief Systeme' und künstliche Finanzmärkte, wo die Modellierung der Erwartungsbildung mittels 'Classifier Systemen' erfolgt. Wir untersuchen, welche Auswirkungen diese unterschiedlichen Mechanismen der Erwartungsbildung auf die Gleichgewichtsdynamik von Wertpapierkursen haben und vergleichen statistische Eigenschaften von Renditen der mittels dieser Modelle generierten Kurszeitreihen mit jenen realer Daten.

Download / Up

Working Paper #40, June 1999 (Ini 5)

Markus Feurstein, Martin Natter, Georg Dorffner, Alfred Taudes

The Tradeoff between Coordination and Interfering Learning Signals

This paper discusses the formation of organizational knowledge of boundedly rational Economic agents and studies the necessity of hierarchical coordination of economic agents. We consider a firm that consists of a management and N subordinated shops. The problem of the firm is to observe a signal from the environment, forecast future demands and distribute the correct amount of a good to each of the shops. There are two uncertainties involved: The aggregate demand follows a Brownian motion and the distribution of the aggregate demand to the shops varies stochastically. At the beginning of the simulation the agents are ignorant about their actions. They learn how to choose their actions by probabilistic update. We study the importance of the organizational structure as a f function of the uncertainties the agents are facing. It turns out that there is no need for a management if the environment is purely deterministic or if only the aggregate demand varies stochastically. However, if the disaggregate environment is stochastic, the management as a coordinator for the shops becomes important.

Download / Up

Working Paper #41, June 1999 (Ini 5)

Martin Natter, Markus Feurstein

Individual Level or Segmentation Based Market Simulation?

In many studies, choice based conjoint analysis is used to build a market simulator to develop marketing strategies; i.e., shares-of-preference   are taken as market share forecasts. However, conjoint data are collected in interview situations, which may differ considerably from real shopping behavior. In this paper, we test the internal and external validity of four commercial choice based conjoint pricing studies including a  total of 43 brands. We use conjoint and sales data to assess the relative performance of two modern approaches to estimate conjoint parameters: the segmentation based Latent Class model and the individual level Hierarchical Bayes approach.Our paper confirms previous results of the internal superiority of the Hierarchical Bayes approach. The main result of our investigation is that internal validity does not  predict external validity and that Latent Class shows the same real world performance as Hierarchical Bayes. Both models show an average error of 4.2% in market share level prediction and a correlation of 69% between conjoint forecasts and real market shares.

Download / Up

Working Paper #42, June 1999 (Ini 1 and Ini 5)

Andreas Mild, Martin Natter, Michael Trcka, Markus Feurstein, Christian Merz, Alfred Taudes, Georg Dorffner

New Product Development in the Artificial Factory

We study the product development process in an artificial firm using two different incentive schemes (market share/production costs vs. life cycle return). In the product development process, we compare a trial and error search to the House of Quality approach. In our study, we focus on tactical decision making within a stable environment, given resources (production function) and knowledge base. The knowledge base is represented by neural networks which are trained on the basis of prototype data. This knowledge is then used in the product development process. We demonstrate, how production and marketing agents coordinate their actions in order to produce optimal products with respect to their incentive schemes. Our simulation shows that coordinating incentive schemes increase the performance of the firm. For a given incentive scheme, the House of Quality approach always outperformed the trial and error search. An interesting feature of the HoQ approach lies in the fact that product improvement is considerably faster compared to the alternative search strategy.

Download / Up

Working Paper #43, July1999 (Ini 5)

Thomas Fent

Adaptive Agents in the House of Quality

Managing the information flow within a big organization is a challenging task. Moreover, in a distributed decision-making process conflicting objectives occur. In this paper, artificial adaptive agents are used to analyze this problem. The decision makers are implemented as Classifier Systems, and their learning process is simulated by Genetic Algorithms. To validate the outcomes we compared the results with the optimal solutions obtained by full enumeration. It turned out that the genetic algorithm indeed was able to generate useful rules that describe how the decision makers involved in new product development should react to the requests they are required to fulfill.

Download / Up

Working Paper #44, September 1999 (Ini 6)

Dockner E.J, Strobl G.

Volatility Forecasts and the Enhancement of Risk/Return Profiles through Automated Trading Strategies

Traditional approaches to forecast option prices and implement trading strategies make use of implied volatilities. In a recent paper Noh et al. [1994] propose a different approach. Based on conditional variance models of the GARCH type asset returns are used to forecast volatility. These forecasts are then used to predict future option prices. Using simple trading rules Noh et al. evaluate the profitability of these forecasts on the basis of the S&P 500 index. In this paper we take up their approach and apply it to BUND future options traded at LIFFE. We show that volatility forecasts based on historical returns together with
simple option trading strategies can be implemented in such a way that they result in above normal profits, even when transaction costs are taken into account.

Download / Up

Working Paper #45, March 1999 (Ini 2)

Robert G. Tompkins

The Three Stages in Bond Market Development Embryonic, Emerging and Established Markets: A Comparison for Objective Dispersion Processes and the Implications for Option Pricing

Sorry, no abstract available.

Up

Working Paper #46, April 1999 (Ini 2)

Robert G. Tompkins

The Austrian Stock Market Comparison of Objective Dispersion Processes and the Implications for Options Pricing

Sorry, no abstract available.

Up

Working Paper #47, May 1999 (Ini 2)

Robert G. Tompkins

Established vs. Emerging Stock Index Futures Markets: A Comparison of Dispersion Processes and the Implications for Option Pricing

Sorry, no abstract available.

Up

Working Paper #48, June 1999 (Ini 2)

Robert G. Tompkins

Non-Linear Exotic Contigent Claims: The Power Option

Sorry, no abstract available.

Up

Working Paper #49, July 1999 (Ini 2)

Robert G. Tompkins

Implied Volatility Surfaces: Uncovering Regularities for Options on Financial Futures

Sorry, no abstract available.

Up

Working Paper #50,  (Ini 5)

Natter Martin, Feurstein Markus

Improving Predictive Validity of Choice-Based Conjoint Models

Up to date, it is unclear how Choice-Based Conjoint (CBC) models perform in terms of forecasting (external) real world aggregate shop data. In this contribution, we measure the performance of a Latent Class CBC model - not with an experimental holdout sample - but with aggregate real world scanning data. We find that the CBC model does not accurately predict real world market shares. In order to improve the forecasting performance, we propose a correction scheme based on external scanner data. Our analysis based on 8 brands shows that the use of the proposed correction vector improves the performance measure considerably.

Download / Up

Working Paper #51, August 1999 (Ini 1)

Friedrich Leisch

Bagged Clustering

A new ensemble method for cluster analysis is introduced, which can be interpreted in two different ways: As complexity-reducing preprocessing stage for hierarchical clustering and as combination procedure for several partitioning results. The basic idea is to locate and combine structurally stable cluster centers and/or prototypes. Random effects of the training set are reduced by repeatedly training on resampled sets (bootstrap samples).  We discuss the algorithm both from a more theoretical and an applied point of view and demonstrate it on several data sets.

Download / Up

Working Paper #52, August 1999 (Ini 1)

Adrian Trapletti, Alois Geyer, Friedrich Leisch

Cointegration and Exchange Market Efficiency: An Analysis of High Frequency Data

A cointegration analysis on a triangle of high frequency exchange rates is presented. Market efficiency requires the triangle to be cointegrated and the cointegration term to be a martingale difference sequence. We find empirical evidence against market efficiency for very short time horizons:
The cointegration term does not behave like a martingale difference sequence. In an out-of-sample forecasting study the cointegrated vector autoregressive (VAR) model is found to be superior to the naive martingale. Finally, a simple trading strategy shows that the VAR also has a significant forecast value in economic terms even after accounting for transaction costs.

Download / Up

Working Paper #53, August 1999 (Ini 1)

Markus Orasch, Friedrich Leisch  and Andreas Weingessel

On specifying Correlation Matrices for Binary Data.

We are interested in generating binary data via specifying the marginals and the correlation matrix only. However, from a practical point of view it is not obvious how to construct such a matrix, since it has to be positive (semi-) definite and satisfy some special conditions as well. Hence, using R, a free implementation of the S statistical language, we give a graphical interface to input specific marginals and correlations and to change the given `not working' correlation matrix to a possibly `working' one.

Download / Up

Working Paper #54, August 1999 (Ini 1)

Häfke Christian, Leopold Sögner

Asset Pricing under Asymmetric Information

This article investigates the impacts of asymmetric information within a Lucas (1978) asset pricing economy. Asymmetry enters via the assumption that one group of agents is equipped with superior information about the dividend process. The agents maximize their lifetime utility of the underlying consumption process obtained from the agents' budget constraints, where the agents have the opportunity to invest in a risk asset to transfer income from the current to future periods. Since a closed form solution for the market price cannot be derived analytically, projection methods are applied, as described in Judd (1998), to approximate the expectation integrals in the agents' Euler equation. We derive the result that the informed trader only clearly improves his situation as compared to the non-trade situation if the uninformed trader only observes his own endowment but not the endowment of the informed trader. In the case where agents observe each others' endowment trade never results in a Pareto improvement.

Download / Up

Working Paper #55, October 1999 (Ini 5)

Fent

Using Genetics Based Machine Learning to find Strategies for Product Placement in a dynamic Market

In this paper we discuss the necessity of models including complex adaptive systems in order to eliminate the shortcomings of      neoclassical models based on equilibrium theory.A simulation model containing artificial adaptive agents is used to explore the dynamics of a market of highly replaceable products. A population consisting of two classes of agents is implemented to observe if methods provided by modern computational intelligence can help finding a meaningful strategy for product placement. During several simulation runs it turned out that the agents using CI-methods outperformed their competitors.

Download / Up

Working Paper #56, October 1999 (Ini 2)

Steinberger, Zinner

Controllability of Dicrete-Time Two Dimensional Single Input Recurrent Neural Networks

This paper presents a complete characterisation of controllability and reachability  for the class of discrete-time recurrent neural networks with state space dimension two and single input.

Download / Up

Working Paper #57, October 1999 (Ini 2, Ini 6)

Pötzelberger, Sögner

Sample Autocorrelation Learning in a Capital Market Model

In this article we show that the claim that adaptive agent models and REE model result in the same limit behavior cannot by accepted in general, even in a simple capital market model, where the agents apply sample autocorrelation learning to perform their forecasts. We analytically derive a sufficient condition for convergence, and check this result by means of simulations. The price sequence as well as the sequence of parameters - estimated by means of sample autocorrelation learning - converge, if the initial value of the price sequence is sufficiently close to the steady-state equilibrium, and a random variable derived from the dividend process is not too volatile to skip the price trajectory out of the attracting region. Therefore, the market price can even diverge, and the region of convergence could become very small depending on the underlying parameters. Therefore, the often claimed coincidence of adaptive agents models and ration agent models cannot be observed even in a simple capital market model.

Download / Up

Working Paper #58, October 1999 (Ini 2)

Hubalek, Schachermayer

The Limitations of No-Arbitrage Arguments for Real Options

We consider an option c which is contingent on an underlying {tilde S} that is not a traded asset. This situation typically arises in the context of real options. We investigate the situation when there is a ``surrogate`` traded asset S whose price process is highly correlated with that of {tilde S}. An illustration would be the cases where S and {tilde S} model two different brands of crude oil. The main result of the paper shows that in this case one cannot draw any non-trivial conclusions on the price of the option by only using no arbitrage arguments.

In a second step we try to isolate hedging strategies on the traded asset S which minimize the variance of the hedging error. We show in particular, that the naive strategy of simply replacing {tilde S} by S fails to be optimal and we are able to quantify how far it is from being optimal.

Download / Up

Working Paper #59, December 1999 (Ini 3)

Buchta

Modeling Market Scemarios for Simulation Studies on the Joint Segmentation and Positioning Problem

Mazanec, in Baier and Mazanec (1999), suggests a simulation environment for studying joint segmentation/positioning strategies for brands competing in a product class. The simulation operates on three-way data: consumers rate the set of brands on a set of dimensions, compare their perceptual brand profiles to their preferential profile, and make a choice. In the present paper a
modeling framework for generation of such market data is suggested. First models of consumers perceptual/preferential positions are discussed. Second a model linking brand perceptions to consumers is suggested where the degree of perceptual competition between brands is explicitly modeled. Third a model linking consumers perceptions and preferences completes the data model from
which a simulation can depart.

Download / Up

Working Paper #60, October 1999 (Ini 1, Ini 3)

Baier, Mazanec

The SIMSEG Project: A Simulation Environment for Market Segmentation and Positioning Strategies

A simulation environment for exploring analytical tools and joint segmentation and brand positioning strategies is tailored to comply with the perceptions-based approach to market segmentation. The initial version contains a number of ad hoc segmentation strategies. It also indicates how the strategy agents in a more fully elaborated version may autonomously decide on their selection of target segments and brand profiles. With a reasonably sized parameter set the SIMSEG brands are subject to perceptual dynamics that respect the basic principles of attribute learning through advertising and promotion. SIMSEG is conceived for interfacing with an Artificial Factory simulation background where the consumers' fuzzy perceptions of rivaling brands are translated into physical or functional characteristics. 

Download / Up

Latest Update: 19. Mär 02 by NM