Is it Social Influence on Beliefs Under Ambiguity? A Possible Explanation for Volatility Clustering

Influencing and being influenced by others is the very essence of human behaviour. We put forward an exploratory asset-pricing model allowing for social influence on investor judgments under ambiguity. The time series of returns generated by our model displays volatility clustering, a puzzling stylised fact observed in financial markets. This suggests that social influence on investor judgments may be playing a role in generating volatility clustering.Social Influence, Knightian Uncertainty, Ambiguity, Volatility Clustering

Analogy making and the structure of implied volatility skew

An analogy based option pricing model is put forward. If option prices are determined in accordance with the analogy model, and the Black Scholes model is used to back-out implied volatility, then the implied volatility skew arises, which flattens as time to expiry increases. The analogy based stochastic volatility and the analogy based jump diffusion models are also put forward. The analogy based stochastic volatility model generates the skew even when there is no correlation between the stock price and volatility processes, whereas, the analogy based jump diffusion model does not require asymmetric jumps for generating the skew

Social influence on probability judgements and the puzzling stylized facts in markets

Includes bibliographical references (pages [111]-120).This dissertation is an exploratory study of financial market implications of social influences on probability judgments. We put forward a preliminary model of social influence on judgments and empirically investigate a conjecture inspired by our simulation results. Our model is an initial tentative attempt at devising an asset pricing model that incorporates social influences on probability judgments. A decision maker is just a name given to a utility function which is maximized subject to a model, where a model of an agent is his belief regarding the transition law linking the state variable to the control. There is strong empirical evidence that markets have internal dynamics of their own and over the last two decades a series of phenomena that are anomalies under rational expectations finance have been documented. Furthermore, the conclusions from empirical time series literature is that most macroeconomic time series relations are non-stationary with structural instability, hence making it impossible for any agent to have the kind of structural knowledge that the theory demands. Hence, all decision makers face ambiguity. Social psychologists have extensively studied the link between decisions made by an individual under ambiguity and his social context and have documented that social context has a strong influence on an individual's decisions and especially so under ambiguity. This means that economic phenomena under ambiguity are in essence socioeconomic phenomena demanding that we consider both individual economic incentives as well as the social context as the determinant of human behavior. So, a decision maker under ambiguity is a utility function which is maximized subject to a model that is open to social influence. This dissertation carries out this modification and puts forward a preliminary model of social interactions under ambiguity. The time series generated by the model displays the stylized facts observed in the financial time series that are considered as puzzling or paradoxical under rational expectations based modern finance. The stylized facts generated by our model are volatility clustering and fat tails in returns distribution. Our model is also consistent with a number of other phenomena observed in financial markets such as asymmetric volatility over a business cycle, the Ramadan effect and time varying kurtosis.Ph.D. (Doctor of Philosophy

Comment on Kamstra: Reasons for Developing Countries to Be Thrilled about Trills

Shillers trills might prevent the flight of capital from developing to developed countries, according to Hammad Siddiqi of Lahore University of Management Sciences, who suggests they could be used to realign the objectives of developing nations and international lending agencies such the World Bank and the IMF.

Response Surface Methodology (RSM) approach to formulate and optimize the bilayer combination tablet of Tamsulosin and Finasteride

An orally administered bilayer tablet with Tamsulosin (TAM) as the sustained release (SR) and Finasteride (FIN) as immediate release (IR) was manufactured. A response surface methodology was employed to formulate bilayer tablets with individual release layers, i.e., sustained and immediate release (SR and IR). Independent variables selected in both cases comprise hydroxypropyl methylcellulose (HPMC) as SR polymer, and avicel PH102 in the inner layer while Triacetin and talc in the outer layer, respectively. Tablets were prepared by direct compression, a total of 11 formulations were prepared for inner layer TAM, and 9 formulations for outer layer FIN were designed; these formulations were evaluated for hardness, friability, thickness, %drug content, and %drug release. A central composite design was employed in response surface methodology to design and optimize the formulation. The percentage of drug released was evaluated by in-vitro USP dissolution method of optimized formulation for 0.5, 2, and 6 hrs, and results were 24.63, 52.96, and 97.68 %, respectively. Drug release data was plotted in various kinetic models using a D.D solver, where drug release was first order that is concentration dependent and was best explained by Korsmeyer–Peppa kinetics, as the highest linearity was observed (R2 = 0.9693). However, a very close relationship was also noted with Higuchi kinetics (R2 = 0.9358). The mechanism of drug release was determined through the Korsmeyer model, and exponent “n” was found to be 0.4, indicative of an anomalous diffusion mechanism or diffusion coupled with erosion