PASCAL - Pattern Analysis, Statistical Modelling and Computational Learning

Nash Equilibrium in a Game of Calibration
O. Glonti, Peter Harremoes, Z. Khechinashili and F. Topsoe
Theory of Probability and its Applications Volume 51, Number 3, pp. 415-426, 2007. ISSN 1095-7219

Abstract

A general game between market and investor is studied and properties which are based on the notion of Nash equilibrium are derived. The results have the potential to unify and simplify previous research. As an illustration, a problem of calibration in a simple model of stock price development is treated.

EPrint Type:Article
Project Keyword:Project Keyword UNSPECIFIED
Subjects:Learning/Statistics & Optimisation
ID Code:3457
Deposited By:Peter Harremoes
Deposited On:11 February 2008