Investors with different trading strategies can be viewed as different "species" in financial markets. Since the asset price is ultimately determined by the individual trading decisions, the combination and evolution of different trader species in financial market ecology will have great impact...

In this paper, we focus on two issues. First, we analyze the potential biases in reported hedge fund returns, in particular survivorship bias and backfill bias, and attempt to create an unbiased return sample. Second, we decompose these returns into their three A,B,C components: the value added...

By mapping the optimization problems to physical systems, the paper presents a general-purpose stochastic optimization method with extremal dynamics. It is built up with the traveling salesman problem (TSP) being a typical NP-complete problem. As self-organized critical processes of extremal...

Lane-changing behavior plays an important role in characterizing urban arterial road traffic dynamics. This paper investigates efficiency-driven and objective-driven motives for drivers to change lanes on arterial roads. The former motive is determined by the circumstances of the surrounding...

In the study reported here, we estimated the forward-looking long-term equity risk premium by extrapolating the way it has participated in the real economy. We decomposed the 1926–2000 historical equity returns into supply factors-inflation, earnings, dividends, the P/E, the dividend-payout...