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Economic and financial modeling techniques in the frequency domain

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  • Bart Taub

    (University of Glasgow)

Abstract

I provide some results on continuous-time frequency domain methods that can be used in dynamic models of noisy information and strategic behavior, including Fourier transform methods, spectral factorization, and some notes on numerical implementation.

Suggested Citation

  • Bart Taub, 2019. "Economic and financial modeling techniques in the frequency domain," Economic Theory Bulletin, Springer;Society for the Advancement of Economic Theory (SAET), vol. 7(1), pages 1-17, May.
    • Handle: RePEc:spr:etbull:v:7:y:2019:i:1:d:10.1007_s40505-018-0151-x
    DOI: 10.1007/s40505-018-0151-x
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    References listed on IDEAS

    as
    1. Ball, J. A. & Taub, B., 1991. "Factoring spectral matrices in linear-quadratic models," Economics Letters, Elsevier, vol. 35(1), pages 39-44, January.
    2. Taub, B., 1997. "Optimal policy in a model of endogenous fluctuations and assets," Journal of Economic Dynamics and Control, Elsevier, vol. 21(10), pages 1669-1697, August.
    3. B. Taub, "undated". "Dynamic Agency with Feedback," Computing in Economics and Finance 1997 40, Society for Computational Economics.
    4. Bart Taub, 2018. "Inconspicuousness and obfuscation: how large shareholders dynamically manipulate output and information for trading purposes," Annals of Finance, Springer, vol. 14(4), pages 429-464, November.
    5. Bart Taub, 1997. "Dynamic Agency with Feedback," RAND Journal of Economics, The RAND Corporation, vol. 28(3), pages 515-543, Autumn.
    6. P. Seiler & B. Taub, 2008. "The dynamics of strategic information flows in stock markets," Finance and Stochastics, Springer, vol. 12(1), pages 43-82, January.
    7. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-1335, November.
    8. Back, Kerry, 1992. "Insider Trading in Continuous Time," The Review of Financial Studies, Society for Financial Studies, vol. 5(3), pages 387-409.
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    Citations

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    Cited by:

    1. Michele Vodret & Iacopo Mastromatteo & Bence Tóth & Michael Benzaquen, 2020. "A Stationary Kyle Setup: Microfounding propagator models," Working Papers hal-03016486, HAL.
    2. Michele Vodret & Iacopo Mastromatteo & Bence Tóth & Michael Benzaquen, 2021. "A Stationary Kyle Setup: Microfounding propagator models," Post-Print hal-03016486, HAL.
    3. Michele Vodret & Iacopo Mastromatteo & Bence T'oth & Michael Benzaquen, 2020. "A Stationary Kyle Setup: Microfounding propagator models," Papers 2011.10242, arXiv.org, revised Feb 2021.

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    More about this item

    Keywords

    Continuous time stochastic control; Frequency domain; Fourier transform methods; Spectral factorization;
    All these keywords.

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • C73 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Stochastic and Dynamic Games; Evolutionary Games

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