We show how an autonomous agent can use observable market conditions to characterize the microeconomic situation of the market and predict future market trends. The agent can use this information to make both tactical decisions, such as pricing, and strategic decisions, such as product mix and...

Market share attraction models are useful tools for analyzing competitive structures. The models can be used to infer cross-effects of marketing-mix variables, but also the own effects can be adequately estimated while conditioning on competitive reactions. Important features of attraction...

Artificial stock markets are designed with the aim to study and understand market dynamics by representing (part of) real stock markets. Since there is a large variety of real stock markets with several partially observable elements and hidden processes, artificial markets differ regarding their...

We present a mathematical analysis of the long-run behavior of genetic algorithms that are used for modeling social phenomena. The analysis relies on commonly used mathematical techniques in evolutionary game theory. Assuming a positive but infinitely small mutation rate, we derive results that...

In a recent paper, Fisher et al. (2001) present a method to mitigate end-effects in lot sizing byincluding a valuation term for end-of-horizon inventory in the objective function of the short-horizon model. Computational tests show that the proposed method outperforms the Wagner-Whitin algorithm...

The state of the equity market, often referred to as a bull or a bear market, is of key importance for financial decisions and economic analyses. Its latent nature has led to several methods to identify past and current states of the market and forecast future states. These methods encompass...

To analyze the intertemporal interaction between the stock and bond market returns, we allow the conditional covariance matrix to vary over time according to a multivariate GARCH model similar to Bollerslev, Engle and Wooldridge (1988). We extend the model such that it allows for asymmetric...

In this paper we explore the relevance of dividends in the total equity return over longer time horizons. In addition, we investigate the effects of different reinvestment assumptions of dividends. We use a unique set of revised and corrected US equity data series, comprising monthly prices and...

In this paper we study the impact of macroeconomic news announcements on the conditional volatility of stock and bond returns. Using daily returns on the S&P 500 index, the NASDAQ index, and the 1 and 10 year U.S. Treasury bonds, for January 1982 - August 2001, some interesting results emerge....

In this paper we explore the theoretical and empirical problems of estimating average (excess) return and risk of US equities over various holding periods and sample periods. Our findings are relevant for performance evaluation, for estimating the historical equity risk premium, and for...