Firms mainly distribute cash flows to shareholders in the form of dividends or stock repurchases. Stock repurchase has become an important method of distributing cash flows to shareholders. Firms repurchase stock for the following reasons: to distribute cash flow; to announce that firms'...

This paper argues that imperfect corporate control is a determinant of market structure. We integrate a widely accepted version of the separation of ownership and control -- Jensen's (1986) 'empire-building' hypothesis -- into a dynamic oligopoly model. Our main observation is that, due to...

In this paper we explore ways that alleviate problems of nonparametric (artificial neural networks) and parametric option pricing models by combining the two. The resulting enhanced network model is compared to standard artificial neural networks and to parametric models with several historical...

Centralized exchange has a worst-case size-complexity many orders of magnitude lower than decentralized monetary exchange for the same number of agents and goods. A more rapid approach to competitive equilibrium may therefore be possible through centralized exchange. An additional benefit of...

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...

The research on financial engineering by means of genetic programming is gradually popular and appealing. For example, Kaboudan (1999, 2001) and Iba and Sasaki (1999), Iba and Sasaki (1999), used standard GP to evolve forecasting models. Neely, et al. (1997), Allen and Karjalainen (1999), Fyfe...

Motivated from the charting analysis in the financial industry, Chen and He (2003) are the first to use self-organizing maps to search for and identify price patterns. Such a model is referred to as the trajectory-domain model (TDM). Chen and Tsao (2003) apply the TDMs to three American stock...

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...