We develop a model in which boundedly rational agents apply technical and fundamental analysis to identify trading signals in two different speculative markets. Whether an agent trades and, if so, in which market with which strategy depends on profit considerations. As it turns out, an ongoing...

In this paper, we apply a GARCH model to examine the cross-autocorrelation pattern between daily returns of portfolios composed of dual-listed stocks in Chinese stock market, before and after China opened its once foreign-exclusive B-share market. A lead-lag relationship between the A-share and...

Johansen and Sornette proposes that the crash has fundamentally an endogenous origin and exogenous shocks only serve as triggering factors. This endogenous force is shown in price as power law log-periodicity (PLLP) signature prior to a crash. We estimate the highly nonlinear model developed by...

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...

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...