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...

The equicorrelated structure of individual dependence that is typically specified for the error-components in panel data models does not allow for distance decay effects. Furthermore, the equicorrelation is associated with the time, and not the individual, dimension of the data set. Such a...

This paper investigates evolutionary adaptation in a coordination game with strategic uncertainty. This game is characterized by the multiplicity of Nash equilibria that can be ranked according to the payoff that players obtain. Two different equilibrium refinement concepts predict the selection...

Bootstrap techniques, which were developed from the original work of Efron (1979), lead to interesting results on regression models (Freedman, 1981), when information on the distribution of disturbance terms are not available. Stine (1985) carried out the implementation of these techniques on...