Wing Lon Ng

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Many agent-based models of financial markets have been able to reproduce certain stylized facts that are observed in actual empirical time series data by using " zero-intelligence " agents whose behaviour is largely random in order to ascertain whether certain phenomena arise from market micro-structure as opposed to strategic behaviour. Although these(More)
In this paper, we apply the meshfree radial basis function (RBF) interpolation to numerically approximate zero-coupon bond prices and survival probabilities in order to price credit default swap (CDS) contracts. We assume that the interest rate follows a Cox-Ingersoll-Ross process while the default intensity is described by the Exponential-Vasicek model.(More)
We model the financial market using a class of agent-based models in which agents' expectations are driven by heuristic forecasting rules (in contrast to the rational expectations models used in traditional theories of financial markets). We show that within this framework, we can reproduce unifractal scaling with respect to three well-known power-laws(More)