2014
DOI: 10.1016/j.econmod.2013.11.003
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Speculative and hedging interaction model in oil and U.S. dollar markets with financial transaction taxes

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Cited by 26 publications
(11 citation statements)
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“…However, it is challenging to accurately predict crude oil price because it is deeply affected by many complicated factors, such as economic growth, inventories, interests rates, and U.S. dollar exchange rates etc. (Alquist and Kilian, 2010;Benhmad, 2012;Carfí and Musolino, 2014;Ding et al, 2014;Wang and Chueh, 2013;Yu et al, 2008). Recently, investor attention has become a newly emerging concept that can be considered as an important factor in price fluctuations (Vlastakis and Markellos, 2012).…”
Section: Introductionmentioning
confidence: 99%
“…However, it is challenging to accurately predict crude oil price because it is deeply affected by many complicated factors, such as economic growth, inventories, interests rates, and U.S. dollar exchange rates etc. (Alquist and Kilian, 2010;Benhmad, 2012;Carfí and Musolino, 2014;Ding et al, 2014;Wang and Chueh, 2013;Yu et al, 2008). Recently, investor attention has become a newly emerging concept that can be considered as an important factor in price fluctuations (Vlastakis and Markellos, 2012).…”
Section: Introductionmentioning
confidence: 99%
“…Quadratic models originate as far back as 1838 in a Cournot competition with linear price [5]. More recently, variations on a Cournot competition with localized demand were studied in [6], and a quadratic game-theoretic model of financial interactions among a hedging agent and speculators was examined in [7,8,9,10,11]. The work [12] contains various applications of quadratic models: crime, education, industrial organization, cities, conformity and conspicuous effects.…”
Section: History Of the Modelmentioning
confidence: 99%
“…The agents then develop heuristics that they follow to implement reward and punishment of other agents. If agents were playing a boundedly rational quadratic potential game with positive coefficients (aligning case; "ferromagnetic" case in physical systems), and all payoffs have positive coefficients, they would learn that payoffs are positively correlated [21] and could use the mechanism of gratitude configurations in (8) to predictably reward and punish other agents. This will be shown to break down for negative coefficients (opposing case; "antiferromagnetic" case in physical systems) below in Example 6.…”
Section: Humanomics Implementationmentioning
confidence: 99%
“…As concerns the complete analysis of classic duopoly model, see [9,10]. Other applications of game theory to economic duopolies can be found in [11][12][13][14][15][16][17][18]. For a Radon and Schwartz distribution approach to probability, see [19][20][21].…”
Section: Bayesian Games In Industrial Organizationmentioning
confidence: 99%