The idea of the work is to propose an abstract and simple enough agent-based model for company dynamics, in order to be able to deal computationally and even analytically with the problem of organizational design. Nevertheless, the model should be able to reproduce the essential characteristics...

Traditional exchange rate models fail to explain stylized facts such as the high volatility or high trading volumes in an adequate way. Contemporary research has therefore increasingly turned to model the foreign exchange market in a more realistic setting, highlighting for instance the high...

Asset markets are usually incomplete. Security exchanges often introduce derivative securities which partially complete the market. The marketmakers make profits through a bid-ask spread. We use computational methods to determine the profit-maximizing choice of options for a marketmaker and...

In examining the determinants of Italian deposit interest rates, we compares alternative econometric packages for estimating panel data. We focus on bank deposits, one of the main forms Italian households use to invest their financial wealth. We survey the literature on deposit rates, with...

After the so-called Asia crisis in the summer of 1997 the stock markets were shaken by an increased volatility transmission phenomenon around the world. In this paper we will therefore analyse the daily stock returns in New York, Germany and Japan for a period of 2 years (June 21st, 1996 to June...

This paper presents a computational model of learning which is intended to capture some basic observations of recent studies of game experiments. Furthermore it should give a satisfactory explanation for the coordinating behavior in the context of evolutionary games.In a repeated simple...

Mobile-agent systems allow user programs to autonomously relocate from one host site to another. This autonomicity provides a powerful flexible architecture on which to build distributed applications. A quality that makes mobile-agent systems so flexible is also one that hinders their...

This paper presents a dynamic model of the joint labor/leisure and consumption/saving decision over the life cycle. Such a dynamic model provides a framework for considering the important policy experiments related to the reforms in Social Security. We address the role of labor supply in a life...

What is the appropriate amount of past information to use in forecasting univariate linear processes? This paper proposes a non-parametric measure useful for sample size selection involving the data's asymptotic pre-dictability (AP). It is shown that the AP of a strictly stationary process is...

Value at Risk calculations traditionally assume a fixed portfolio. However, occasionally, over a medium term horizon, a particular model of trading behavior is applicable and a dynamic portfolio should be considered for accurate VaR calculation. In this paper I describe a Monte Carlo simulation...