We analyze the impact that transaction costs have on asset mispricing in state-contingent claims markets. In particular, we examine betting markets, in which, it has been argued, transaction costs cause the favorite-longshot bias, a pricing anomaly analogous to the volatility smile in options...

The yield curve is the centrepiece in bond markets, a massive asset class with an overall size of USD100 trillion that remains relatively under-investigated using machine learning. This paper is the first comprehensive study using artificial neural networks in the context of yield curve...

The importance of bond markets in the financial industry stems from its dimension, its direct relevance for other asset classes and for the overall economy. In this paper, we conduct the first study of bond yield forecasting using deep learning long short-term memory (LSTM) networks, validating...

Large discrepancies are often found between game-theoretic predictions for bilateral bargaining games and experiments with humans. Subgame perfection for instance predicts that, in the ultimatum game, the responding agent accepts any division of the bargaining surplus. Experimental studies, on...

We describe a system for bilateral negotiations in which artificial agents aregenerated by an evolutionary algorithm (EA). The negotiations are governed bya finite-horizon version of the alternating-offers protocol. Several issuesare negotiated simulataneously. We first analyse and validate the...