Search results for "Copula function"
showing 3 items of 3 documents
The Dynamics of Quote Prices in an Artificial Financial Market with Learning Effects
2007
In this paper we study the evolution of bid and ask prices in an electronic financial market populated by portfolio traders who optimally choose their allocation strategy on the basis of their views about market conditions. Recently, a growing literature has investigated the consequences of learning about the returns process1. There has been an increasing interest in analyzing what are the implications of relaxing the assumption that agents hold correct expectations. In particular, it has been asked the fundamental question of understanding if typical asset-pricing anomalies (like returns predictability, and excess volatility) can be generated by a learning process about the underlying econ…
Uncertainty evaluation of design rainfall for urban flood risk analysis
2011
A reliable and long dataset describing urban flood locations, volumes and depths would be an ideal prerequisite for assessing flood frequency distributions. However, data are often piecemeal and long-term hydraulic modelling is often adopted to estimate floods from historical rainfall series. Long-term modelling approaches are time- and resource-consuming, and synthetically designed rainfalls are often used to estimate flood frequencies. The present paper aimsto assess the uncertainty of such an approach and for suggesting improvements in thedefinition of synthetic rainfall data for flooding frequency analysis. According to this aim, a multivariate statistical analysis based on a copulameth…