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G. Charles-Cadogan's Blog

REVISION: A Confidence Representation Theorem for Ambiguous Sources with Applications to Financial Markets and

August 21, 2012 Comments (0)

This paper extends the solution space for decision theory by introducing a behavioural operator that (1) transforms probability domains, and (2) generates sample paths for confidence from catalytic fuzzy or ambiguous sources. First, we prove that average sample paths for confidence/sentiment, generated from within and across source sets, differ. So conjugate priors should be used to mitigate the difference. Second, we identify loss aversion as the source of Langevin type friction that explains t

REVISION: A Confidence Representation Theorem for Ambiguous Sources with Applications to Financial Markets and

August 21, 2012 Comments (0)

This paper extends the solution space for decision theory by introducing a behavioural operator that (1) transforms probability domains, and (2) generates sample paths for confidence from catalytic fuzzy or ambiguous sources. First, we prove that average sample paths for confidence/sentiment, generated from within and across source sets, differ. So conjugate priors should be used to mitigate the difference. Second, we identify loss aversion as the source of Langevin type friction that explains t

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

August 21, 2012 Comments (0)

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

REVISION: A Regulator's Exercise of Career Option to Quit and Join a Regulated Firm's Management with Applicat

August 21, 2012 Comments (0)

We introduce a model of managerial compensation, in context of labor market mobility, for regulators who design mechanism(s) that affect firm capital structure, and then cash in later by exercising a career option to join firm management or a consultancy. Examples of this "revolving door' mobility include but is not limited to, politicians who become lobbyists; insurance commissioners who become insurance executives; IRS and government procurement contract officials who become consultants; corp

REVISION: A Regulator's Exercise of Career Option to Quit and Join a Regulated Firm's Management with Applicat

August 21, 2012 Comments (0)

We introduce a model of managerial compensation, in context of labor market mobility, for regulators who design mechanism(s) that affect firm capital structure, and then cash in later by exercising a career option to join management or a consultancy. Examples of this "revolving door' mobility include but is not limited to, politicians who become lobbyists; insurance commissioners who become insurance executives; IRS and government procurement contract officials who become consultants; corporate

REVISION: Alpha Representation for Active Portfolio Management and High Frequency Trading in Seemingly Efficie

August 21, 2012 Comments (0)

We introduce a trade strategy representation theorem for performance measurement and portable alpha in high frequency trading, by embedding a robust trading algorithm that describe portfolio manager market timing behavior, in a canonical multifactor asset pricing model. First, we present a spectral test for market timing based on behavioral transformation of the hedge factors design matrix. Second, we find that the typical trade strategy process is a local martingale with a background driving Br

REVISION: A Regulator's Exercise of Career Option to Quit and Join a Regulated Firm's Management with Applicat

August 21, 2012 Comments (0)

We introduce a model of managerial compensation, in context of labor market mobility, for regulators who design mechanism(s) that affect firm capital structure, and then cash in later by exercising a career option to join management or a consultancy. Examples of this "revolving door' mobility include but is not limited to, politicians who become lobbyists; insurance commissioners who become insurance executives; IRS and government procurement contract officials who become consultants; corporate

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

August 21, 2012 Comments (0)

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 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 matrix operator is an

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

August 21, 2012 Comments (0)

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 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 matrix operator is an

REVISION: Commutative Prospect Theory and Confident Behaviour Under Risk and Uncertainty in Psychological Spac

August 21, 2012 Comments (0)

This paper contributes to the literature on decision making under risk and uncertainty by attaching a weighted probability space to outcome space. Thereby inducing a commutative map of behavior on prospect theory's function space. We endow that space with a psychological metric space, and a time dependent probability density function with kurtosis controlled by a subject's strength of preference. Several new results are derived on that behavioral topological apparatus. First, we prove that gambl