Valentyn Panchenko

E&F Chaos: A User Friendly Software Package for Nonlinear Economic Dynamics

Publisher: Springer Science and Business Media LLC

Date: 22-04-2008

DOI: 10.1007/S10614-008-9130-X

Learning in two-dimensional beauty contest games: Theory and experimental evidence

Publisher: Elsevier BV

Date: 04-2022

DOI: 10.1016/J.JET.2022.105417

Heterogeneous beliefs under different market architectures

Publisher: Springer Berlin Heidelberg

Date: 2006

DOI: 10.1007/3-540-37249-0_1

How common is the common-ratio effect?

Publisher: Springer Science and Business Media LLC

Date: 20-09-2022

DOI: 10.1007/S10683-022-09761-Y

Abstract: The common-ratio effect and the Allais Paradox (common-consequence effect) are the two best‐known violations of Expected Utility Theory. We reexamine data from 39 articles reporting experiments (143 designs arameterizations, 14,909 observations) and find that the common-ratio effect is systematically affected by experimental design and implementation choices. The common-ratio effect is more likely to be observed in experiments with a low common-ratio factor, a high ratio of middle to highest outcome, when lotteries are presented as simple probability distributions (not in a compound/frequency form), and with high hypothetical incentives.

On the Experimental Robustness of the Allais Paradox

Publisher: American Economic Association

Date: 02-2022

DOI: 10.1257/MIC.20190153

Abstract: The Allais Paradox, or the common consequence effect, is a well-known behavioral regularity in in idual decision-making under risk. Data from 81 experiments reported in 29 studies reveal that the Allais Paradox is a fragile empirical finding. The Allais Paradox is likely to be observed in experiments with high hypothetical payoffs, the medium outcome being close to the highest outcome and when lotteries are presented as a probability distribution (not in a compound form). The Allais Paradox is likely to be reversed in experiments when the probability mass is equally split between the lowest and highest outcomes in risky lotteries. (JEL D44, D81)

Comparing the accuracy of multivariate density forecasts in selected regions of the copula support

Publisher: Elsevier BV

Date: 11-2014

DOI: 10.1016/J.JEDC.2014.08.021

The Role of Information in a Continuous Double Auction: an Experiment and Learning Model

Publisher: Elsevier BV

Date: 08-2022

DOI: 10.1016/J.JEDC.2022.104387

Asset price dynamics with heterogeneous beliefs and local network interactions

Publisher: Elsevier BV

Date: 12-2013

DOI: 10.1016/J.JEDC.2013.06.015

Out-of-sample comparison of copula specifications in multivariate density forecasts

Publisher: Elsevier BV

Date: 09-2010

DOI: 10.1016/J.JEDC.2010.06.021

Is there a symmetric nonlinear causal relationship between large and small firms?

Publisher: Elsevier BV

Date: 2010

DOI: 10.1016/J.JEMPFIN.2009.08.003

Wright meets Markowitz: How standard portfolio theory changes when assets are technologies following experience curves

Publisher: Elsevier BV

Date: 04-2019

DOI: 10.1016/J.JEDC.2018.10.006

A new statistic and practical guidelines for nonparametric Granger causality testing

Publisher: Elsevier BV

Date: 09-2006

DOI: 10.1016/J.JEDC.2005.08.008

Efficiency of continuous double auctions under individual evolutionary learning with full or limited information

Publisher: Springer Science and Business Media LLC

Date: 27-05-2013

DOI: 10.1007/S00191-011-0230-8

Impact of analysts' recommendations on stock performance

Publisher: Informa UK Limited

Date: 02-2007

DOI: 10.1080/13518470500459782

Connecting the dots: Econometric methods for uncovering networks with an application to the Australian financial institutions

Publisher: Elsevier BV

Date: 12-2015

DOI: 10.1016/J.JBANKFIN.2015.08.034

Goodness-of-fit test for copulas

Publisher: Elsevier BV

Date: 09-2005

DOI: 10.1016/J.PHYSA.2005.02.081

Time-varying market integration and stock and bond return concordance in emerging markets

Publisher: Elsevier BV

Date: 06-2009

DOI: 10.1016/J.JBANKFIN.2008.10.016

Likelihood-based scoring rules for comparing density forecasts in tails

Publisher: Elsevier BV

Date: 08-2011

DOI: 10.1016/J.JECONOM.2011.04.001

Asset prices, traders' behavior and market design

Publisher: Elsevier BV

Date: 05-2009

DOI: 10.1016/J.JEDC.2008.09.008

UNSW Sydney

Location: Australia

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Discovery Projects - Grant ID: DP170100429

Start Date: 05-2017

End Date: 07-2022

Amount: $386,000.00

Funder: Australian Research Council

Discovery Projects - Grant ID: DP120104014

Start Date: 07-2012

End Date: 12-2016

Amount: $750,000.00

Funder: Australian Research Council

Discovery Early Career Researcher Award - Grant ID: DE120100748

Start Date: 01-2012

End Date: 06-2018

Amount: $375,000.00

Funder: Australian Research Council

Discovery Projects - Grant ID: DP0986718

Start Date: 2009

End Date: 06-2012

Amount: $105,000.00

Funder: Australian Research Council

Discovery Projects - Grant ID: DP220101043

Start Date: 07-2022

End Date: 06-2025

Amount: $199,649.00

Funder: Australian Research Council