Price is the most visible signal produced by competition and interaction among a complex ecology of entities in a system called financial markets. This thesis deals with statistical analysis and model identification based on such signals. We approach this problem at various levels of...

In this thesis we use nonlinear and linear estimation techniques to model two common investment strategies: hedge funds and technical analysis. Our models provide transparent and low-cost alternatives to these two nontransparent, and in some cases prohibitively costly, financial approaches. In...

Existing preference reasoning systems have been successful in simple domains. Broader success requires more natural and more expressive preference representations. This thesis develops a representation of logical preferences that combines numerical tradeoff ratios between partial outcome...

In many studies of market microstructure, theoretical analysis quickly becomes in tractable for all but the simplest stylized models. This thesis considers two alternative approaches, namely, the use of experiments with human subjects and simulations with intelligent agents, to address some of...