Decentralized Interaction and Co-adaptation in the Repeated Prisoner's Dilemma
AbstractThe purpose of this paper is to propose a nonparametric interest rate term structure model and investigate its implications on term structure dynamics and prices of interest rate derivative securities. The nonparametric spot interest rate process is estimated from the observed short-term interest rates following a robust estimation procedure and the market price of interest rate risk is estimated as implied from the historical term structure data. That is, instead of imposing a priori restrictions on the model, data are allowed to speak for themselves, and at the same time the model retains a parsimonious structure and the computational tractability. The model is implemented using historical Canadian interest rate term structure data. The parametric models with closed form solutions for bond and bond option prices, namely the Vasicek (1977) and CIR (1985) models, are also estimated for comparison purpose. The empirical results not only provide strong evidence that the traditional spot interest rate models and market prices of interest rate risk are severely misspecified but also suggest that different model specifications have significant impact on term structure dynamics and prices of interest rate derivative securities.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Society for Computational Economics in its series Computing in Economics and Finance 1997 with number 88.
Date of creation:
Date of revision:
Other versions of this item:
- Klos, Tomas B., 1997. "Decentralized interaction and co-adaptation in the repeated prisoner's dilemma," Research Report 97B33, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Holland, John H & Miller, John H, 1991. "Artificial Adaptive Agents in Economic Theory," American Economic Review, American Economic Association, vol. 81(2), pages 365-71, May.
- Marks, R E, 1992. "Breeding Hybrid Strategies: Optimal Behaviour for Oligopolists," Journal of Evolutionary Economics, Springer, vol. 2(1), pages 17-38, March.
- Bryan Routledge, . "Co-Evolution and Spatial Interactoin," GSIA Working Papers 1997-46, Carnegie Mellon University, Tepper School of Business.
- McFadzean, David & Tesfatsion, Leigh, 1999.
"A C++ Platform for the Evolution of Trade Networks,"
Society for Computational Economics, vol. 14(1-2), pages 109-34, October.
- McFadzean, David & Tesfatsion, Leigh S., 1999. "A C++ Platform for the Evolution of Trade Networks," Staff General Research Papers 1639, Iowa State University, Department of Economics.
- David MCFADZEAN & Leigh TESFATSION, 1996. "A C++ Platform For The Evolution Of Trade Networks," Economic Report 39, Iowa State University Department of Economics.
- Binmore, Kenneth G. & Samuelson, Larry, 1992. "Evolutionary stability in repeated games played by finite automata," Journal of Economic Theory, Elsevier, vol. 57(2), pages 278-305, August.
- Kirchkamp, Oliver, 1995.
"Spatial Evolution of Automata in the Prisoners' Dilemma,"
Discussion Paper Serie B
330, University of Bonn, Germany.
- Kirchkamp, Oliver, 2000. "Spatial evolution of automata in the prisoners' dilemma," Journal of Economic Behavior & Organization, Elsevier, vol. 43(2), pages 239-262, October.
- Oliver Kirchkamp, 1994. "Spatial Evolution of Automata in the Prisoners' Dilemma," Game Theory and Information 9403003, EconWPA, revised 18 May 1994.
- Robert Hoffmann & Nigel Waring, 1996. "The Localisation of Interaction and Learning in the Repeated Prisoner's Dilemma," Working Papers 96-08-064, Santa Fe Institute.
- Joshua M. Epstein & Robert L. Axtell, 1996. "Growing Artificial Societies: Social Science from the Bottom Up," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262550253, January.
- Schelling, Thomas C, 1969. "Models of Segregation," American Economic Review, American Economic Association, vol. 59(2), pages 488-93, May.
- Klos, Tomas B., 1999.
"Governance and matching,"
99B41, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
- Klos, Tomas B. & Nooteboom, Bart, 1997.
"Adaptive governance: the role of loyalty,"
97B53, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
- Floortje Alkemade & Han Poutré & Hans Amman, 2006. "Robust Evolutionary Algorithm Design for Socio-economic Simulation," Computational Economics, Society for Computational Economics, vol. 28(4), pages 355-370, November.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum).
If references are entirely missing, you can add them using this form.