Intro -- Contents -- Preface -- Contributors -- Introduction -- Risk Management and Portfolio Optimization -- Importance Sampling and StratiEcation for Value-at-Risk -- ConEdence Intervals and Hypothesis Testing for the -- Sharpe and Treynor Performance Measures: -- A Bootstrap Approach --...

We construct a computer simulation of a repeated double-auction market, designed to match those in experimental-market settings with human subjects, to model complex interactions among artificially-intelligent traders endowed with varying degrees of learning capabilities. In the course of six...