Using the framework of agent-based artificial stock markets, this paper addresses the two well-known properties frequently observed in financial markets, namely, price-volume relation and sunspots, from a bottom-up perspective. In spirit of ``bottom-up'', these two phenomena are pursued in a...

While early computational studies of bargaining strategies, such as Rust, Miller and Palmer (1993, 1994) and Andrew and Prager (1996) all indicates the significance of agent-based modeling in the follow-up research, a real agent-based model of bargaining strategies in DA markets has never been...

In this paper, we simulate a decentralized multiple dealership market using agent based model. Risk averse dealers receive order flow from customers, which can not be observed by the other dealers. Then dealers trade among themselves. Neural net-works are used to represent a decision model for...

The unprecedented easiness of exchanging information among consumers on the internet could add another dimension to the firms' competition against each other. In this paper, we introduce consumers' learning from each other about the degree of product differentiation into a Hotelling duopoly...

In a recent paper (Velupillai, 1999) I discussed the following two propositions (in reverse order):Proposition 1: Assume that the (individual) market excess-demand functions are restricted to be defined on the domain of computable reals. Suppose also that we have an arbitrary exchange economy...

We perform out-of-sample predictions on a set of stock indices represented in a piecewise linear manner. An automated segmentation algorithm converges to an optimum segmented time series representation, which achieves considerable data compression and allows variable sampling rate of the time...

Following on from the work of Birchenhall, Jessen, Osborn & Simpson (1999) on predicting US business cycle regimes we apply the same methodology to construct a one period ahead model of classical business cycle regimes in the UK. Birchenhall et al generated the regime data from the NBER dating...

Risk management has become an important issue for banks and corporations, not only because of regulation but also because of risk adjusted performance measurement. Value-at-risk has become an industry standard in risk measurement. The aim of this paper is to evaluate the performance of different...

The estimation and management of risks is an important and complex task that faces market regulators and financial institutions. It has become apparent that more accurate and reliable quantitative measures of risk are needed to avert, or at least minimize, the undesirable effects on a given...