Does asymmetric information play a role in explaining the Asian crisis? Application to Indonesian and Malaysian cases using a two-state Markov Switching model

This paper aims at establishing a relationship between disparity of information and the probability of speculative attack in explaining the Asian crisis. We apply the general framework of Markov-Switching models to the differential of interest rates (DIR), subsequently in Indonesia and Malaysia. We allow dependency of the transition probabilities over the asymmetric information indicators. The Maximum Likelihood estimators results (MLE) are twofold: (1) an increase of information dispersion among speculators leads to a higher probability of a currency crisis (2) there is a significant asymmetric impact of information disparity as measured by the difference between fund price and Net Asset Value (NAV) on the transition probability in the case of Indonesia, while the hypothesis is rejected for Malaysia's case.Speculative attack, Global Games, Asymmetric information, Markov-Switching Models

Does asymmetric information play a role in explaining the Asian currency crisis? Application to Indonesian and Malaysian cases using a two-state Markov Switching model

This paper aims at establishing a relationship between disparity of information and the probability of speculative attack in explaining the Asian crisis. We apply the general framework of Markov-Switching models to the differential of interest rates (DIR), subsequently in Indonesia and Malaysia. We allow dependency of the transition probabilities over the asymmetric information indicators. The Maximum Likelihood estimators results (MLE) are twofold: (1) an increase of information dispersion among speculators leads to a higher probability of a currency crisis (2) there is a significant asymmetric impact of information disparity as measured by difference between fund price and Net Asset Value (NAV) on the transition probability in the case of Indonesia, while the hypothesis is rejected for Malaysia’s case.Speculative attack ; Global Games ; Asymmetric information ; Markov-Switching Models

Does asymmetric information play a role in explaining the Asian crisis? Application to Indonesian and Malaysian cases using a two-state Markov Switching model

This paper aims at establishing a relationship between disparity of information and the probability of speculative attack in explaining the Asian crisis. We apply the general framework of Markov-Switching models to the differential of interest rates (DIR), subsequently in Indonesia and Malaysia. We allow dependency of the transition probabilities over the asymmetric information indicators. The Maximum Likelihood estimators results (MLE) are twofold: (1) an increase of information dispersion among speculators leads to a higher probability of a currency crisis (2) there is a significant asymmetric impact of information disparity as measured by difference between fund price and Net Asset Value (NAV) on the transition probability in the case of Indonesia, while the hypothesis is rejected for Malaysia's case.Speculative attack, Global Games, Asymmetric information, Markov-Switching Models

L2L^2 Analysis of the Multi-Configuration Time-Dependent Hartree-Fock Equations

The multiconfiguration methods are widely used by quantum physicists and chemists for numerical approximation of the many electron Schr\"odinger equation. Recently, first mathematically rigorous results were obtained on the time-dependent models, e.g. short-in-time well-posedness in the Sobolev space $H^2$ for bounded interactions (C. Lubichand O. Koch} with initial data in $H^2$, in the energy space for Coulomb interactions with initial data in the same space (Trabelsi, Bardos et al.}, as well as global well-posedness under a sufficient condition on the energy of the initial data (Bardos et al.). The present contribution extends the analysis by setting an $L^2$ theory for the MCTDHF for general interactions including the Coulomb case. This kind of results is also the theoretical foundation of ad-hoc methods used in numerical calculation when modification ("regularization") of the density matrix destroys the conservation of energy property, but keeps invariant the mass.Comment: This work was supported by the Viennese Science Foundation (WWTF) via the project "TDDFT" (MA-45), the Austrian Science Foundation (FWF) via the Wissenschaftkolleg "Differential equations" (W17) and the START Project (Y-137-TEC) and the EU funded Marie Curie Early Stage Training Site DEASE (MEST-CT-2005-021122

Existence and uniqueness of global solutions for the modified anisotropic 3D Navier-Stokes equations

We study a modified three-dimensional incompressible anisotropic Navier-Stokes equations. The modification consists in the addition of a power term to the nonlinear convective one. This modification appears naturally in porous media when a fluid obeys the Darcy-Forchheimer law instead of the classical Darcy law. We prove global in time existence and uniqueness of solutions without assuming the smallness condition on the initial data. This improves the result obtained for the classical 3D incompressible anisotropic Navier-Stokes equations.Comment: To appear in ESAIM: Mathematical Modelling and Numerical Analysi