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Mazzucato, Mariana; Tancioni, Massimiliano - Society for Computational Economics - SCE - 2005

. Volatility is studied both at the industry level (for 34 different industries from 1974-2003) and at the firm level (for 5 … mixed. A relationship between innovation and volatility emerges most strongly with firm level data, when firm dimension is … accounted for, and when time varying volatility is explicitly studied via GARCH analysis. The latter highlights the distinctive …

Persistent link: https://www.econbiz.de/10005706305

Forecasting Volume and Volatility in the Tokyo Stock Market: The Advantage of Long Memory Models

Kaizoji, Taisei; Lux, Thomas - Society for Computational Economics - SCE - 2004

We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular …

Persistent link: https://www.econbiz.de/10005706539

The discounted economic stock of money with VAR forecasting

Barnett, William A.; Chae, Unja; Keating, John W. - Society for Computational Economics - SCE - 2006

We measure the economic capital stock of money implied by the Divisia monetary aggregate service flow, in a manner consistent with asset pricing theory. Based on Barnettâ€™s [4] definition of the economic stock of money, we estimate the expected discounted flow of expenditure on the...

Persistent link: https://www.econbiz.de/10005537393

Evaluating hedge fund managers: A Bayesian investigation of skill and persistence

Ioannis, Vrontos; Spyridon, Vrontos; Daniel, Giamouridis - Society for Computational Economics - SCE - 2006

The last couple of decades has witnessed a growing interest in hedge funds. Academics and practitioners are intrigued by the distinct characteristics of these investment vehicles: hedge funds are flexible with respect to the types of securities they hold and the type of positions they take; they...

Persistent link: https://www.econbiz.de/10005537394

Computational Finance Techniques for Valuing Customers

Colliings, David; Baxter, Nicola - Society for Computational Economics - SCE - 2006

Understanding the value a customer has to a business is a fundamental problem. Accurate valuations are critical for setting appropriate levels of investment for targeted marketing and for the setting of individual customer service levels. Traditionally semi-qualitative methods using results from...

Persistent link: https://www.econbiz.de/10005537395

Asset pricing with adaptive learning

Poveda, Eva Carceles; Giannitsarou, Chryssi - Society for Computational Economics - SCE - 2006

, constant gain learning may sometimes contribute towards explaining the stock price volatility and the predictability of excess …

Persistent link: https://www.econbiz.de/10005537401

Behavioral Consistent Market Equilibria under Procedural Rationality

Anufriev, Mikhail; Bottazzi, Giulio - Society for Computational Economics - SCE - 2006

In this paper we analyze a dynamic, asset pricing model where an arbitrary number of heterogeneous, procedurally rational investors divide their wealth between two assets. Both fundamental dividend process and behavior of traders are modeled in a very general way. In particular, agents' choices...

Persistent link: https://www.econbiz.de/10005537404

Price and Wealth Dynamics in a Speculative Market with an Arbitrary Number of Generic Technical Trading Strategies

Bottazzi, Giulio; Anufriev, Mikhail - Society for Computational Economics - SCE - 2005

We consider a simple pure exchange economy with two assets, one riskless, yielding a constant return, and one risky, paying a stochastic dividend, and we assume trading to take place in discrete time inside an endogenous price formation setting. Traders demand for the risky asset is expressed as...

Persistent link: https://www.econbiz.de/10005537477

Financial markets with heterogeneous agents as nonlinear news filters

Diks, Cees - Society for Computational Economics - SCE - 2005

this type of nonlinear response to news can generate many typical properties of asset prices, such as volatility clustering …

Persistent link: https://www.econbiz.de/10005537483

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