There has been renewed interest in power laws and various types of self-similarity in many financial time series. Most of these tests are visual in nature, and do not consider a wide range of possible candidate stochastic models capable of generating the observed results in small samples. This...

This paper is intended to guide researchers interested in building their own agent-based financial markets. Key design questions are outlined, along with some of the major controversies about which directions to take

This paper reafirms previous results that show a distinct change in performance of moving average trading rules on the Dow Jones Index over the past 10 years relative to the previous 90 years. The performance in forecasting conditional means has changed significantly. In contrast to this is the...

Computational models for financial markets with many interacting agents have recently appeared as a tool for examining learning and evolutionary issues in market dynamics. This paper surveys some of the early research in this area with emphasis on the many unsolved problems that researchers will...

A market of artificially intelligent traders is constructed to buy and sell a risky asset along with a risk free bond. Prices of the risky asset are determined endogenously from the interactions of the strategies which make trades and gather data. Each trader tries to learn about the world...

Recent evidence has shown possible scaling and self-similarity in high frequency financial time series. This paper demonstrates that many of these graphical scaling results could have been generated by a simple stochastic volatility model. This casts doubt on the power of these tests to discern...

Recently, research has shown that simple technical trading rules have predictive power in foreign exchange markets. One feature that sets these markets apart from others is that certain large traders, central banks, may not be optimizing trading profits. This paper tests the performance of a few...

Models with small numbers of agents have recently been simplified for direct empirical estimation. Parameters are estimated at the macro level to get a best fit to the data. However, little analysis is done at the micro level to examine the choices made by agents for forecasting rules. This...

This paper estimates the probability of a “lost decade,” where equity investments lose value over a 10-year period. The findings are a reminder that equity investments are risky even over longer time periods, and investors should take this into consideration when making portfolio choices. It...

This paper explores the time series implications of introducing credit constraints into a production based asset pricing model. Simulations are performed choosing parameter values which generate reasonable values for aggregate fluctuations. These results show that mean reversion in simulated...