This paper aims to contribute to the analysis of expectations and belief reversals in an evolutionary and complexity economics framework. It formulates its analysis in terms of the concept of reflexivity, drawing on the ideas regarding reflexivity in financial markets of George Soros, and lays...

We document statistically significant relations between fund beta and past market returns that affect standard estimates of mutual fund market timing. Our evidence of “artificial” market timing emerges when we estimate market timing regressions across time periods that span time variation in...

This paper presents a new financial market simulator that may be used as a tool in both industry and academia for research in market micro-structure. It allows multiple automated traders and/or researchers to simultaneously connect to an exchange-like environment, where they are able to...

This paper presents a stock-flow-consistent agent-based model calibrated on Japanese data. The goal is to investigate the effects on the joint dynamics aggregate demand and price of the use by Japanese firms of secondary employees (temporary, part-time, or agency). Empirical evidence point to...

This paper presents an Agent-Based Model (ABM) that seeks to explain the concordance of sluggish growth of productivity and of real wages found in macro-economic statistics, and the increased dispersion of firm productivity and worker earnings found in micro level statistics in advanced...

This paper studies the problem of a monopolistic platform which offers agents connection with one another. Agents have heterogeneous characteristics that are valued by some other agents and observed privately by the principal. The agents are privately informed about their heterogeneous...

Tests of excessive volatility along the lines of Shiller (1981) and Leroy and Porter (1981) count among the most convincing pieces of evidence against the validity of the time-honored efficient market hypothesis. Recently, using Shiller s distinction between ex-ante rational (fundamental) price...