This paper investigates the performance of efficient portfolios in a financial market with heterogeneous investors including rational traders, noise traders, and chartists. A generalization of the security market line result states that, regardless of the diversity of beliefs, the portfolios of...

This paper studies a financial market in which heterogeneous investors with multiperiod planning horizons of arbitrary finite length interact dynamically. Assumptions on individual preferences and subjective expectations are provided under which asset demand functions and market clearing prices...

When one constructs long-term investment plan, one needs to consider the fact that long-term bonds are still exposed to inflation risk. This paper studies the intertemporal portfolio-consumption decision where the investment opportunities include "inflation-indexed bonds" -- a modern financial...

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...

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...

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...

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 paper conducted panel data analyses on 415 firms during...

This paper studies the behavior of price discovery within a context of an agent based stock market in which the twin assumptions namely, rational expectations and the representative agents normally made in mainstream economics, are removed. In this model, traders stochastically update their...