Option pricing and allocation tools in portfolio construction should be prospective - based on assumptions about how prices will change in the future. Most capital market assumptions used in portfolio construction are based on retrospective analysis, boiling down to simple calculations of...

This paper defines a Beaufort Predictability Index, analogous to the Beaufort Wind Force Scale, to assist analysts in sizing up statistical prediction problems; for background we outline the career of Francis Beaufort and the genesis of his Wind Force Scale. We then describe the various versions...

Models with heterogeneous interacting agents explain macro phenomena through interactions at the micro level. We propose genetic algorithms as a model for individual expectations to explain aggregate market phenomena. The model explains all stylized facts observed in aggregate price fluctuations...