This paper analyzes the role of common data problems when identifying structural breaks in small samples. Most notably, we survey small sample properties of the most commonly applied endogenous break tests developed by Brown et al. (J R Stat Soc B 37:149–163, <CitationRef CitationID="CR10">1975</CitationRef>) and Zeileis (Stat Pap...</citationref>

In this paper, we discuss the development of a simulation system with artificial autonomous adaptive agents that select one out of a given pair of binary lotteries, as represented by probability distributions over two outcomes. The agent’s decisions are made by a learning classifier system,...

We present a model of strategic network formation with absolute friction and heterogeneous agents. The individual payoffs from a given network are determined by the difference of an agent specific utility function that depends on the number of her direct links and the sum of her link-costs....

Agent-based market models are in general based on a-priori defined supply and demand schemes. Likewise, production models assume that prices are known a-priori. In reality prices depend on variable demands and supplies, while demand and supply depend on variable prices, and these two processes...

This paper estimates response surface coefficients for a large range of quantiles of the cross-sectionally augmented IPS (CIPS) test of Pesaran (<CitationRef CitationID="CR13">2007</CitationRef>), for different specifications of the deterministic components. An Excel programme is available to calculate the P value associated with a CIPS...</citationref>

Local (perturbation) methods compute solutions in one point and tend to deliver far lower accuracy levels than global solution methods. We develop a hybrid method that solves for some policy functions locally (using a perturbation method) and that solves for the other policy functions globally...

This paper extends the Goetzmann et al. (J Financ 58:1685–1717, <CitationRef CitationID="CR6">2003</CitationRef>) model to the case of partial information, where the expected return of a hedge fund is not observable but known to be either high or low. The fund manager can dynamically update his belief about the true value of the...</citationref>

The traditional ex post risk measure associated to a portfolio, a fund or a market performance, is the standard deviation of a series of past returns, called volatility. We propose an alternative risk measure, that turns out to better quantify the risk actually supported by an investor or asset...

Financially motivated kernels based on EURUSD currency data are constructed from limit order book volumes, commonly used technical analysis methods and canonical market microstructure models—the latter in the form of Fisher kernels. These kernels are used through their incorporation into...

Corridor implied volatility introduced in Carr and Madan (Volatility: new estimation techniques for pricing derivatives, <CitationRef CitationID="CR14">1998</CitationRef>) and recently implemented in Andersen and Bondarenko (Volatility as an asset class, <CitationRef CitationID="CR4">2007</CitationRef>) is obtained from model-free implied volatility by truncating the integration...</citationref></citationref>