United States Commodity Futures Trading Commission

About: United States Commodity Futures Trading Commission is a government organization based out in Washington D.C., District of Columbia, United States. It is known for research contribution in the topics: Futures contract & Market liquidity. The organization has 90 authors who have published 189 publications receiving 7172 citations.

Evolutionary dynamics of social dilemmas in structured heterogeneous populations

Abstract: Real populations have been shown to be heterogeneous, in which some individuals have many more contacts than others. This fact contrasts with the traditional homogeneous setting used in studies of evolutionary game dynamics. We incorporate heterogeneity in the population by studying games on graphs, in which the variability in connectivity ranges from single-scale graphs, for which heterogeneity is small and associated degree distributions exhibit a Gaussian tale, to scale-free graphs, for which heterogeneity is large with degree distributions exhibiting a power-law behavior. We study the evolution of cooperation, modeled in terms of the most popular dilemmas of cooperation. We show that, for all dilemmas, increasing heterogeneity favors the emergence of cooperation, such that long-term cooperative behavior easily resists short-term noncooperative behavior. Moreover, we show how cooperation depends on the intricate ties between individuals in scale-free populations.

Do Professional Traders Exhibit Myopic Loss Aversion? An Experimental Analysis

Abstract: Two behavioral concepts, loss aversion and mental accounting, have been combined to provide a theoretical explanation of the equity premium puzzle. Recent experimental evidence supports the theory, as students' behavior has been found to be consistent with myopic loss aversion (MLA). Yet, much like certain anomalies in the realm of riskless decision-making, these behavioral tendencies may be attenuated among professionals. Using traders recruited from the CBOT, we do indeed find behavioral differences between professionals and students, but rather than discovering that the anomaly is muted, we find that traders exhibit behavior consistent with MLA to a greater extent than students.

Firms' Histories and Their Capital Structures

Abstract: This paper examines how cash flows, investment expenditures and stock price histories affect corporate debt ratios. Consistent with earlier work, we find that these variables have a substantial influence on changes in capital structure. Specifically, stock price changes and financial deficits (i.e., the amount of external capital raised) have strong influences on capital structure changes, but in contrast to previous conclusions, we find that their effects are subsequently at least partially reversed. These results indicate that although a firm's history strongly influence their capital structures, that over time, financing choices tend to move firms towards target debt ratios that are consistent with the tradeoff theories of capital structure.

Evolutionary dynamics of collective action in N-person stag hunt dilemmas

Abstract: In the animal world, collective action to shelter, protect and nourish requires the cooperation of group members. Among humans, many situations require the cooperation of more than two individuals simultaneously. Most of the relevant literature has focused on an extreme case, the N -person Prisoner's Dilemma. Here we introduce a model in which a threshold less than the total group is required to produce benefits, with increasing participation leading to increasing productivity. This model constitutes a generalization of the two-person stag hunt game to an N -person game. Both finite and infinite population models are studied. In infinite populations this leads to a rich dynamics that admits multiple equilibria. Scenarios of defector dominance, pure coordination or coexistence may arise simultaneously. On the other hand, whenever one takes into account that populations are finite and when their size is of the same order of magnitude as the group size, the evolutionary dynamics is profoundly affected: it may ultimately invert the direction of natural selection, compared with the infinite population limit.