The Historical and Current Concepts of “Plain” Interest Rates, Forward Rates and Discount Rates Are or Can Be Misleading

Nwogugu, Michael C. I.

doi:10.1057/978-1-137-44698-5_6

Cited by 19 publications

(3 citation statements)

References 181 publications

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“…[9, 110] (theorems about variance/covariance), [35–38] and the critique of Hipster Effect introduced in this study (and the other behavioural patterns mentioned in the Literature Review herein and above) have implications, and contravene theories and models in [111–113] and similar academic and practitioner theories/models.…”

Section: Generating Alternative Risk Premia: Some Implications Of The...mentioning

confidence: 91%

“…However, many AI and 'Learning' models suffer from the problems/weaknesses that were explained in [9] (invalidity of the mean variance framework), [35][36][37][38] (finance/Operations-Research/economics issuessuch as biases in returns; Framing Effects; asset pricing errors; invalidity of risk aversion and loss aversion; etc.) and [39,40] (critiques of corporate bankruptcy prediction models, LOGIT/PROBIT/regressions, Neural Networks, and ARCH/GARCH/ARMA/SV models).…”

Section: Artificial Intelligence Approaches To Contagion and Influenc...mentioning

confidence: 99%

“…If the Hipster Effect is false, then alternative risk premia can be generated as follows: Analysed and introduced portfolio selection models [101,[114][115][116][117][118][119][120][121][122][123][124][125][126][127][128][129], but most of these models do not consider and are not consistent with either the Hipster Effect or similar behavioural patterns among investors or corporate executives (such as those mentioned in the literature review herein and above 2 ). These portfolio selection models are subject to the critiques and are invalidated by [9] (invalidity of the meanvariance framework in portfolio analysis) and [35][36][37][38] (biases in returns; asset pricing errors; WTAL; framing effects; intertemporal substitution; invalidity of risk aversion and loss aversion; etc.). Most of these models also do not consider corporate bankruptcy and or financial distress as optimisation and or allocation and or re-balancing constraints.…”

Section: Generating Alternative Risk Premia If the Hipster Effect Is ...mentioning

confidence: 99%

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Complex systems and ‘‘ Spatio ‐Temporal Anti‐Compliance Coordination ’’ In cyber‐physical networks: A critique of the Hipster Effect , bankruptcy prediction and alternative risk premia

Nwogugu

2021

Cognitive Comp and Systems

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The Hipster Effect is a group of evolutionary ''Diffusive Learning'' processes of networks of individuals and groups (and their communication devices) that form Cyber-Physical Systems; and the Hipster Effect theory has potential applications in many fields of research. This study addresses decision-making parameters in machine-learning algorithms, and more specifically, critiques the explanations for the Hipster Effect, and discusses the implications for portfolio management and corporate bankruptcy prediction (two areas where AI has been used extensively). The methodological approach in this study is entirely theoretical analysis. The main findings are as follows: (i) the Hipster Effect theory and associated mathematical models are flawed; (ii) some decision-making and learning models in machine-learning algorithms are flawed; (iii) but regardless of whether or not the Hipster Effect theory is correct, it can be used to develop portfolio management models, some of which are summarised herein; (iv) the [1] corporate bankruptcy prediction model can also be used for portfolio-selection (stocks and bonds).

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Section: Generating Alternative Risk Premia: Some Implications Of The...mentioning

confidence: 91%

Section: Artificial Intelligence Approaches To Contagion and Influenc...mentioning

confidence: 99%

Section: Generating Alternative Risk Premia If the Hipster Effect Is ...mentioning

confidence: 99%

See 1 more Smart Citation

Complex systems and ‘‘ Spatio ‐Temporal Anti‐Compliance Coordination ’’ In cyber‐physical networks: A critique of the Hipster Effect , bankruptcy prediction and alternative risk premia

Nwogugu

2021

Cognitive Comp and Systems

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Introduction

Nwogugu¹

2018

Indices, Index Funds and ETFs

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Financial Indices, Joint Ventures and Strategic Alliances Invalidate Cumulative Prospect Theory, Third-Generation Prospect Theory, Related Approaches and Intertemporal Asset Pricing Theory: HCI and Three New Decision Models

Nwogugu¹

2018

Indices, Index Funds and ETFs

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The Historical and Current Concepts of “Plain” Interest Rates, Forward Rates and Discount Rates Are or Can Be Misleading

Cited by 19 publications

References 181 publications

Complex systems and ‘‘ Spatio ‐Temporal Anti‐Compliance Coordination ’’ In cyber‐physical networks: A critique of the Hipster Effect , bankruptcy prediction and alternative risk premia

Complex systems and ‘‘ Spatio ‐Temporal Anti‐Compliance Coordination ’’ In cyber‐physical networks: A critique of the Hipster Effect , bankruptcy prediction and alternative risk premia

Introduction

Financial Indices, Joint Ventures and Strategic Alliances Invalidate Cumulative Prospect Theory, Third-Generation Prospect Theory, Related Approaches and Intertemporal Asset Pricing Theory: HCI and Three New Decision Models

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