Recent survey evidence suggests that investors form beliefs about future stock returns by predominantly extrapolating their own experience: They overweight returns they have personally experienced while underweighting returns from earlier years and consequently expect high (low) stock market...

Recent survey evidence suggests that investors form beliefs about future stock returns by predominantly extrapolating their own experience: They overweight returns they have personally experienced while underweighting returns from earlier years and consequently expect high (low) stock market...

This paper rectifies a design problem in the Santa Fe Artificial Stock Market Model. Due to a faulty mutation operator, the resulting bit distribution in the classifier system was systematically upwardly biased, thus suggesting increased levels of technical trading for smaller GA-invocation...

Artificial stock markets are built with diffuse priors in mind regarding trading strategies and price formation mechanisms. Diffuse priors are a natural consequence of the unknown relation between the various elements that drive market dynamics and the large variety of market organizations,...

Artificial stock markets are designed with the aim to study and understand market dynamics by representing (part of) real stock markets. Since there is a large variety of real stock markets with several partially observable elements and hidden processes, artificial markets differ regarding their...

Artificial stock markets are built with diffuse priors in mind regarding trading strategies and price formation mechanisms. Diffuse priors are a natural consequence of the unknown relation between the various elements that drive market dynamics and the large variety of market organizations,...

Most agent-based simulation models of financial markets are discrete-time in nature. In this paper, we investigate to what degree such models are extensible to continuous-time, asynchronous modelling of financial markets. We study the behaviour of a learning market maker in a market with...

Artificial stock markets are designed with the aim to study and understand market dynamics by representing (part of) real stock markets. Since there is a large variety of real stock markets with several partially observable elements and hidden processes, artificial markets differ regarding their...

Trade execution is concerned with the actual mechanics of buying or selling the desired amount of a financial instrument. Investors wishing to execute large orders face a tradeoff between market impact and opportunity cost. Trade execution strategies are designed to balance out these costs,...