Incorporating financial market volatility to improve forecasts of directional...
Abstract This study examines whether incorporating volatility improves the forecast of directional changes in the returns of Australiaâs banking, industrial and resource sectors. This study first...
View ArticleFrequency volatility connectedness across different industries in China
Publication date: Available online 24 November 2019Source: Finance Research LettersAuthor(s): Junhua Jiang, Vanja Piljak, Aviral Kumar Tiwari, Janne ÃijöAbstractUtilizing the advantageous method of...
View ArticleArbitrage-Free Relative Nelson−Siegel Model
Publication date: Available online 25 November 2019Source: Finance Research LettersAuthor(s): Hokuto IshiiAbstractThis paper introduces a model of the difference between home and foreign country...
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The Cognitive Microfoundations Project: a behavioural economics world tour
There has been much talk about microfoundations on the economics blogs in the last few months [Noahpinion, Mark Thoma, Simon Wren-Lewis twice, Andrew Gelman twice, Karl Smith, Paul Krugman twice,...
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Catching up on 2013
I didn't intend to stop posting on here when I started my tour. But things overtook me. Here's a summary of what some of them were:My book, The Psychology of Price, came out. You should buy it!I...
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On the identity and methods of behavioural economics
The FT has a very good article from Tim Harford today, surveying behavioural economics and asking some important questions about it. People within a field can be so immersed in their unconscious...
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My writing elsewhere
I haven't been very active here recently, but here are some links to my writing on other sites:An article for RW Connect about the UK election polls and how behavioural methods could make polling more...
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Discussion 1 of 3: Where do goals come from?
Discussion number 1 in a series of 3: on goal-setting. Part 2 and part 3 have now been published.Much of decision-making psychology (and by extension behavioural economics) explores the processes by...
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Discussion 2 of 3: No spooky action at a distance - a theory of reward
Part 2 in a short series of posts. Part 1 and part 3 are also available.One of the most powerful ideas in physics is the principle of locality. This principle insists that objects can only be...
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How does it feel to be part of Europe?
I had this piece drafted before the murder of Jo Cox last week. But I donât think it changes anything I was going to say. It simply makes it more urgent to say it.May I introduce you to my two lovely...
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Discussion 3 of 3: Lassie died one night
The much-delayed final episode in a short series of posts - part 1 and part 2 here.Lassie died one night.As Thomas Schelling* pointed out in a thought-provoking 1982 essay, millions of people watched...
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The gender pay gap on Euristica: an imaginary island
I recently gave a talk at TEDxCoventGardenWomen about an economic agent-based modelling system I have built (readers of Thomas Schelling may see some influence). In the talk I use this system to...
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The amoeba and the squirrel
[An essay written for the Internet Review, a one-off maybe-to-become-annual publication documenting (and celebrating?) Internet trends]Every human has two minds: one like an amoeba and one like a...
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A program for cognitive economics
Iâm visiting the American Economics Association conference in Philadelphia this weekend and looking forward to catching up with the latest in theoretical and empirical research. Behavioural economics...
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Book review: The Choice Factory by Richard Shotton
There are few truly universal books on behavioural science: like most of the others, this one has a particular reader in mind. Richard's reader works in advertising, and it must be a rare advertising...
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Introducing System 3: How we use our imagination to make choices
In recent years weâve become used to thinking about decisions as âsystem 1â or âsystem 2â. System 1 choices are automatic decisions, made without thinking, based on an immediate emotional or...
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Neuroscience, psychology and economics: the evidence for System 3 (long)
In my last post I outlined the concept of System 3, what it is and why it matters. In short, System 3 is the mental ability to imagine the future and evaluate how happy you will be in it â based on...
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