Stephen Figlewski
Biographic Data
| ID | 5849538 |
|---|---|
| NAME | Stephen Figlewski |
| GIVEN NAMES | Stephen |
| FAMILY NAME | Figlewski |
| SIGNATURE | FIGLEWSKI S |
| ORCID | 0000-0001-8388-913X |
| VERIFIED | Yes |
| TOTAL WORKS | 6 |
| TOTAL CITATIONS | 11 |
| AUTHOR COUNT | 6 |
| EDITOR COUNT | 0 |
| FIRST PUBLICATION YEAR | 1978 |
| LATEST PUBLICATION YEAR | 1988 |
| H-INDEX | 2 |
Estimation of the Optimal Futures Hedge
Standard approaches to designing a futures hedge often suffer from two major problems. First, they focus only on minimizing risk, so no account is taken of the impact on expected return. Second , in estima ting the hedge ratio, no allowance is made for time variation in the distribution of cash and futures price changes. This paper describes a technique for estimating the optimal futures hedge that corrects these problems and illustrates its use …
Optimal Price Forecasting Using Survey Data
Rational Expectations, Informational Efficiency, and Tests Using Survey Data
even if it does not eliminate them completely. The primary effect of using individual expectations data rather than cross-sectional averages as a regressor is to introduce additional measurement error. Finally, the distinction between expectations and full informational efficiency is more than a semantic one. The failure to make this distinction seems to be the cause of substantial confusion in the literature. The distinction has become increasin…
The Formation of Inflationary Expectations
Subjective Information and Market Efficiency in a Betting Market
Much of the information available to participants in speculative markets is in the nature of expert opinion, analysis, professional advice, and so on. Markets discount widely held factual information very well; this paper studies market efficiency with respect to subjective information. We examine the "market" for bets on thoroughbred horse races to determine whether the published forecasts of professional handicappers are completely discounted. …
Market "Efficiency" in a Market with Heterogeneous Information
It is commonly felt that a financial market achieves informational efficiency as traders with the best information and the most skill make profits at the expense of those with inferior information or ability and come to dominate the market. This paper develops a model of a speculative market in which this redistribution of wealth among traders with different information and ability can be studied. In the short run the market tends toward increase…
Subjective Information and Market Efficiency in a Betting Market
Much of the information available to participants in speculative markets is in the nature of expert opinion, analysis, professional advice, and so on. Markets discount widely held factual information very well; this paper studies market efficiency with respect to subjective information. We examine the "market" for bets on thoroughbred horse races to determine whether the published forecasts of professional handicappers are completely discounted. …
Market "Efficiency" in a Market with Heterogeneous Information
It is commonly felt that a financial market achieves informational efficiency as traders with the best information and the most skill make profits at the expense of those with inferior information or ability and come to dominate the market. This paper develops a model of a speculative market in which this redistribution of wealth among traders with different information and ability can be studied. In the short run the market tends toward increase…
Market "Efficiency" in a Market with Heterogeneous Information
It is commonly felt that a financial market achieves informational efficiency as traders with the best information and the most skill make profits at the expense of those with inferior information or ability and come to dominate the market. This paper develops a model of a speculative market in which this redistribution of wealth among traders with different information and ability can be studied. In the short run the market tends toward increase…
Subjective Information and Market Efficiency in a Betting Market
Much of the information available to participants in speculative markets is in the nature of expert opinion, analysis, professional advice, and so on. Markets discount widely held factual information very well; this paper studies market efficiency with respect to subjective information. We examine the "market" for bets on thoroughbred horse races to determine whether the published forecasts of professional handicappers are completely discounted. …
The Formation of Inflationary Expectations
Optimal Price Forecasting Using Survey Data
Rational Expectations, Informational Efficiency, and Tests Using Survey Data
even if it does not eliminate them completely. The primary effect of using individual expectations data rather than cross-sectional averages as a regressor is to introduce additional measurement error. Finally, the distinction between expectations and full informational efficiency is more than a semantic one. The failure to make this distinction seems to be the cause of substantial confusion in the literature. The distinction has become increasin…
Estimation of the Optimal Futures Hedge
Standard approaches to designing a futures hedge often suffer from two major problems. First, they focus only on minimizing risk, so no account is taken of the impact on expected return. Second , in estima ting the hedge ratio, no allowance is made for time variation in the distribution of cash and futures price changes. This paper describes a technique for estimating the optimal futures hedge that corrects these problems and illustrates its use …
Economics (6 works) · Econometrics (5 works) · Financial economics (3 works) · Actuarial science (2 works) · Complex Systems and Time Series Analysis (2 works) · Computer Science (2 works) · Consumer Market Behavior and Pricing (2 works) · Financial Markets and Investment Strategies (2 works) · Mathematics (2 works) · Microeconomics (2 works)