This dissertation is a collection of essays on Asset Pricing: Predictability, Information, and Liquidity. The ?rst chapter, ?Predictability of Equity Returns over Di?erent Time Horizons: A Nonparametric Approach? aims to test an important hypothesis in ?nan, cial economics: whether equity...

This thesis seeks to contribute to the understanding of markets populated by boundedly rational agents who learn from experience. Bounded rationality and learning have both been the focus of much research in computer science, economics and finance theory. However, we are at a critical stage in...

This thesis describes and evaluates a market-making algorithm for setting prices in financial markets with asymmetric information, and analyzes the properties of artificial markets in which the algorithm is used. The core of our algorithm is a technique for maintaining an online probability...

This thesis seeks to contribute to the understanding of markets populated by boundedly rational agents who learn from experience. Bounded rationality and learning have both been the focus of much research in computer science, economics and finance theory. However, we are at a critical stage in...

We apply machine-learning techniques to construct nonlinear nonparametric forecasting models of consumer credit risk. By combining customer transactions and credit bureau data from January 2005 to April 2009 for a sample of a major commercial bank’s customers, we are able to construct...

Purpose – The purpose of this paper is to analyse regulatory reform in the wake of the financial crisis of 2007-2008.Design/methodology/approach – The paper proposes a framework for regulatory reform that begins with the observation that financial manias and panics cannot be legislated away,...

Market prices are well known to efficiently collect and aggregate diverse information regarding the value of commodities and assets. The role of markets has been particularly suitable to pricing financial securities. This article provides an alternative application of the pricing mechanism to...

The quantitative aspirations of economists and financial analysts have for many years beenbased on the belief that it should be possible to build models of economic systems—andfinancial markets in particular—that are as predictive as those in physics. While this perspective has led to a...