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Asset Pricing and Loss Aversion
Semmler, Willi; Grüne, Lars - Society for Computational Economics - SCE - 2005
Using standard preferences for asset pricing has not been very successful to match asset price characteristics such as the risk-free interest rate, equity premium and the Sharpe ratio to time series data. Behavioral finance has recently proposed more realistic preferences such as preferences...
Persistent link: https://www.econbiz.de/10005706292
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The predictive power of the present value model of stock prices
Ryan, Geraldine - Society for Computational Economics - SCE - 2006
Using monthly data from 1926:01 to 2003:12 for the United States, this paper examines the predictability of real stock prices based on the dividend-price ratio. In particular, we focus on estimating and forecasting a nonlinear exponential smooth autoregressive model (ESTAR). One motivation for...
Persistent link: https://www.econbiz.de/10005342899
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Surrogate Data Analysis and Stochastic Chaotic Modelling: Application to Stock Exchange Returns Series
VORLOW, Constantinos; ANTONIOU, Antonios; KYRTSOU, Catherine - Society for Computational Economics - SCE - 2004
We investigate for evidence of complex-deterministic dynamics in financial returns time series. By combining the Surrogate Data Analysis inferential framework with the MG-GARCH (Kyrtsou and Terraza, 2003) modelling approach, we examine whether the sequences are characterized by aperiodic and...
Persistent link: https://www.econbiz.de/10005345276
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The Influence of Representation in the GP-Based Artificial Double Auction Market: The Cases of GP with and without Automatically Defined Functions
Yeh, Chia-Hsuan - Society for Computational Economics - SCE - 2002
Persistent link: https://www.econbiz.de/10005345452
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Fundamental Uncertainties and Firm-level Stock Volatilities
Yu, Yang - Society for Computational Economics - SCE - 2005
Firm-level stock volatility has increased significantly since 1962 and varies widely across industries. Recent … literature shows that the excessive and persistent stock volatility can be well explained by fundamental uncertainties. This … idiosyncratic stock volatility. The results from the panel data analyses suggest that R&D intensive firms or firms in high …
Persistent link: https://www.econbiz.de/10005706316
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Asset Price Dynamics among Heterogeneous Interacting Agents
Chiarella, Carl; Gallegati, Mauro; Leombruni, Roberto; … - Society for Computational Economics - SCE - 2002
Persistent link: https://www.econbiz.de/10005706646
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Agent-Based Modeling of Price Discovery and Excessive Volatility in Financial Markets
Chen, Shu-Heng; Liao, Chung-Chih - Society for Computational Economics - SCE - 2001
generated exhibit quite wild fluctuation, which may be coined as the well-known excessive volatility in finance. …
Persistent link: https://www.econbiz.de/10005706753
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Evolution with Individual and Social Learning in an Agent-Based Stock Market
YAMAMOTO, Ryuichi - Society for Computational Economics - SCE - 2005
Recent research has shown a variety of computational techniques to describe evolution in an artificial stock market. One can distinguish the techniques based on at which level the learning of agents is modeled. The previous literature describes learning at either individual or social level. The...
Persistent link: https://www.econbiz.de/10005537496
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Market making, price formation, and technical trading
Farmer, Doyne; Geanakoplos, John; Melby, Paul - Society for Computational Economics - SCE - 2001
We demonstrate that achieving sensible convergence of prices to equilibrium is facilitated by market maker risk. \\ We introduce several criteria for price formation rules, and provide an example that satisfies all of them. The risk aversion of the market maker inevitably leads to price...
Persistent link: https://www.econbiz.de/10005537750
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Volatility
LeBaron, Blake - Society for Computational Economics - SCE - 2001
magnify the volatility of fundamentals, and to create time series with persistent volatility. The mechanism for this …
Persistent link: https://www.econbiz.de/10005537752