In this paper we explore how specific aspects of market transparency and agents' behavior affect the efficiency of the market outcome. In particular, we are interested whether learning behavior with and without information about actions of other participants improves market efficiency. We...

The use of nonlinear dynamic models in economics and finance hasexpanded rapidly in the last two decades.Numerical simulation is crucial in the investigationof nonlinear systems.E&FChaos is an easy-to-use and freely available softwarepackage for simulation of nonlinear dynamic models to...

A large set of 5350 trend following technical trading rules is applied to LIFFE and CSCE cocoa futures prices, and to the Pound-Dollar exchange rate, in the period 1983:1-1997:6. We find that 72% of the trading rules generates positive profits, even when correcting for transaction and borrowing...

The recent macroeconomic literature stresses the importance of managing heterogeneous expectations in the formulation of monetary policy. We use a stylized macro model of Howitt (1992) to investigate inflation dynamics under alternative interest rate rules when agents have heterogeneous...

The recent macroeconomic literature stresses the importance of managingheterogeneous expectations in the formulation of monetary policy. We use a stylized macro model of Howitt (1992) to investigate inflation dynamics under alternative interest rate rules when agents have heterogeneous...

Two alternative ways to an innovative product or process are R&D investment or imitation of others’ innovation. In this article we propose a discrete choice model with costly innovators and free imitators and study the endogenous dynamics of price and demand in a market with many firms...

The evolution of many economic variables is affected by expectations that economic agents have with respect to the future development of these variables. We show, by means of laboratory experiments, that market behavior depends to a large extent on whether realized market prices respond...