There is reliable evidence that simple rules used by traders have some predictive value over the future movement of foreign exchange prices. This paper will review some of this evidence and discuss the economic magnitude of this predictability. The profitability of these trading rules will then...

Evolutionary metaphors have been prominent in both economics and finance. They are often used as basic foundations for rational behavior and efficient markets. Theoretically, a mechanism which selects for rational investors requires many caveats, and is far from generic. This paper tests...

This paper considers the impact of heterogeneous gain learning in an asset pricing model. A relatively stylized model is shown to generate persistent swings of asset prices from their fundamental values which replicates long range samples of U.S financial data. The detailed mechanisms of the...

This paper presents a new agent-based financial market. It is designed to be both simple enough to gain insights into the nature and structure of what is going on at both the agent and macro levels, but remain rich enough to allow for many interesting evolutionary experiments. The model is...

This paper estimates the probability of a 'lost decade'' where equity investments lose value over a ten year period. The findings are a reminder that equity investments are risky even over longer time periods, and investors should take this into consideration when making portfolio choices. It...

Heterogeneous agent models for financial markets have provided explanations for many empirical regularities of relatively high frequency (hourly/daily) financial time series. They have been much quieter when it comes to longer range features. This paper examines a simplified computational...

Evolutionary metaphors have been prominent in both economics and finance. They are often used as basic foundations for rational behavior and efficient markets. Theoretically, a mechanism which selects for rational investors actually requires many caveats, and is far from generic. This paper...

This paper introduces an order-driven market with heterogeneous investors, who submit limit or market orders according to their own trading rules. The trading rules are repeatedly updated via simple learning and adaptation of the investors. We analyze markets with and without learning and...

Extreme Value Theory (EVT) offers a powerful framework to characterize financial market crashes and booms. This paper applies EVT to model the behavior of extreme events and compares tail thickness between emerging and developed market equity return distributions. We extend previous results by...

Models with small numbers of agents have recently been simplified for direct empirical estimation. Parameters are estimated at the macro level to get a best fit to the data. However, little analysis is done at the micro level to examine the choices made by agents for forecasting rules. This...