This article examines, in the light of recent events, the origins of the difficulties that current macroeconomic models have in encompassing the sort of sudden crisis which we are currently observing. The reasons for this are partly due to fundamental problems with the underlying General...

The contour map of estimation error of Expected Shortfall (ES) is constructed. It allows one to quantitatively determine the sample size (the length of the time series) required by the optimization under ES of large institutional portfolios for a given size of the portfolio, at a given...

We investigate how individuals use measures of apparent predictability from price charts to predict future market prices. Subjects in our experiment predict both random walk times series, as in the seminal work by Bloomfield & Hales (2002) (BH), and stock price time series. We successfully...

We compare the performance of financial professionals (CFAs) with university students in four financial forecasting tasks ranging from simple lab prediction tasks to longitudinal field tasks. Although students and professionals performed similarly in the artificial forecasting tasks, their...

To what extent is the observed mis-pricing in experimental asset markets caused by strategic uncertainty (SU) and by individual bounded rationality (IBR)? We address this question by comparing subjects' initial price forecasts in two market environments -- one with six human traders, and the...

We compare the performance of financial professionals (CFAs) with university students in four financial forecasting tasks ranging from simple lab prediction tasks to longitudinal field tasks. Although students and professionals performed similarly in the artificial forecasting tasks, their...