Price forecasting and trading strategies modelling are examined with major international stock indexes under different time horizons. Results demonstrate that an accurate prediction is equally important as a stable saving rate for long-term survivability. The best economic performances are...

This paper is a step towards the econometric foundation of computational intelligence in finance. Financial time series modeling and forecasting are addressed with an artificial neural network, examining issues of its topology dependency. Structural dependency of results is viewed not as a...

The conditioning of strategies by market environment and the simultaneous emergence of market structure in the presence of evolving trading strategies are investigated with major international stock indexes. Models for price forecasting and trading strategies evolution are examined under...

Determining the circumstances under which it is possible to make any sort of prediction is a fundamental question in financial research. The presence of complex and robust statistical characteristics, exhibited by most financial time series, raise doubts on the simple relationship between...

No abstract received.

The paper proposes a method that solves the non-monotonic power problem of a family of structural changes in mean tests based on an orthonormal series filtering of the error process before estimating variance of the test statistics. This method yields a consistent estimator for the variance...

We have developed an agent-based computational model, extension of an analytical model1 that studies the structure of coalitions of B-to-C web sites, when Internet buyers incur search costs for finding the good that matches their preferences, and coalitions of sites reduce this cost through...

Finance models of the term structure of interest rates have for a long time relied on unobserved factors as explanatory variables. In a seminal paper, Ang and Piazzesi (2003) have examined the potential role of macroeconomic variables in explaining the term structure. They, and subsequent...

This paper estimates a standard version of the New Keynesian Monetary Model (NKM) augmented with the term structure in order to analyze two types of issue. First we analyse the relative importance of policy inertia, persistent policy shocks and the term spread in the estimated US monetary policy...