Since rather novel techniques such as neural nets allow investigation of nonlinear model specification previously untested, it may be that traditional models of price formation underperform through misspecification rather than market efficiency. This paper explores whether a multilayer...

In this article, we demonstrate that a direct relation exists between the context of Japanese firms indicating relative distress and conditional return distribution properties. We map cross-sectional vectors with company characteristics on vectors with return feature vectors, using a fuzzy...