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Financial markets as nonlinear adaptive evolutionary systems
Hommes, Cars H. - 2000
Persistent link: https://www.econbiz.de/10001554477
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Financial markets as nonlinear adaptive evolutionary systems
Hommes, Cars H. - 2001
Recent work on complex adaptive systems for modeling financialmarkets is surveyed. Financia1 markets areviewed as evolutionary systems between different, competing tradingstrategies. Agents are boundedly rational inthe sense that they tend to follow strategies that have performedwell, according...
Persistent link: https://www.econbiz.de/10011313923
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Bubble formation and (in)efficient markets in learning-to-forecast and -optimise experiments
Te, Bao; Hommes, Cars H.; Makarewicz, Tomasz - 2015
This experiment compares the price dynamics and bubble formation in an asset market with a price adjustment rule in three treatments where subjects (1) submit a price forecast only, (2) choose quantity to buy/sell and (3) perform both tasks. We find deviation of the market price from the...
Persistent link: https://www.econbiz.de/10011333057
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Washington meets Wall Street : a closer examination of the presidential cycle puzzle
Kräussl, Roman; Lucas, André; Rijsbergen, David; … - 2008
Persistent link: https://www.econbiz.de/10003787145
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Washington meets Wall Street : a closer examination of the presidential cycle puzzle
Kräussl, Roman; Lucas, André; Rijsbergen, D.; Sluis, … - 2009
the presidential cycle election (PCE) theory as an alternative explanation. The PCE theory states that incumbent parties … formulate seven different propositions relating to fiscal, monetary, tax, and political implications of PCE theory. We find no … statistically significant evidence confirming the PCE theory as a plausible explanation for the presidential cycle effect. The …
Persistent link: https://www.econbiz.de/10011377245
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Simultaneous search and network efficiency
Gautier, Pieter; Holzner, Christian - 2011
Persistent link: https://www.econbiz.de/10009720781
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The forward premium puzzle only emerges gradually
Bernoth, Kerstin; Hagen, Jürgen von; Vries, Casper G. de - 2007
The forward premium puzzle (FPP) is the negative correlation between the forward premium and the realized exchange rate return at maturities of a month and beyond. Some recent evidence shows that at maturities of multiple years and at the highest intra day frequency the correlation is positive...
Persistent link: https://www.econbiz.de/10011372514
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Exclusive portfolio dealing and market inefficiency
Kessler, Natalie; Lelyveld, Iman van; Woerd, Ellen van der - 2024
We rationalize exclusive portfolio dealing in a novel three-period partial equilibrium framework populated by a representative, risk-neutral seller and a small number of ex ante identical broker-dealers. Endowed with independent, uncertain demand for a representative asset, the broker-dealers...
Persistent link: https://www.econbiz.de/10014496480
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The relation between economic development and business ownership revisited
Carree, Martin Anthony; Stel, Adriaan J. van; Thurik, … - 2007
This paper revisits the two-equation model of Carree, van Stel, Thurik and Wennekers (2002) where deviations from the ‘equilibrium’ rate of business ownership play a central role determining both the growth of business ownership and that of economic development. Two extensions of the...
Persistent link: https://www.econbiz.de/10011372525
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Capital markets integration, growth and income distribution : a dynamic analysis
Viaene, Jean-Marie; Zilcha, Itzhak - 1997
Persistent link: https://www.econbiz.de/10000976071