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Next Dates: - Introduction to QuantLib Development with Luigi Ballabio, September 2 - 4, 2013 - £1700

 

REVISION: A Note on Confidence Momentum and Term Structure of Confidence with Applications to Financial Market

Tue, 15 May 2012 00:34:48 GMT

This note is based on a recent confidence index introduced in the context of compensating probability factors for deviations of subjective probability measures from equivalent martingale measures. The index is adjusted for loss gain probability spreads, and it explains momentum in confidence. We use the index to introduce a confidence matrix operator which shows how a subject transforms gain domain into fear of loss. So she is loss averse or risk averse. By contrast, the adjoint confidence matri

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