This paper investigates the expectation formation process of Japanese stock market professionals. By utilizing a monthly forecast survey dataset on the TOPIX distributed by QUICK Corporation, we sort forecasters into buy-side and sell-side professionals. We empirically demonstrate that the...

We document the determinants of the expectation heterogeneity of stock price forecasters on TOPIX. Monthly panel data collected by QUICK Corporation in the Nikkei Group via surveys is utilized in the process. We examine the determinants of expectation heterogeneity by categorizing our sample...

This paper investigates the expectation formation process of Japanese stock market professionals. By utilizing a monthly forecast survey dataset on the TOPIX distributed by QUICK Corporation, we sort forecasters into buy-side and sell-side professionals. We empirically demonstrate that the...

Recent research has shown a variety of computational techniques to describe evolution in an artificial stock market. One can distinguish the techniques based on at which level the learning of agents is modeled. The previous literature describes learning at either individual or social level. The...

This paper explores a possible cause of persistence in stock return volatility. Artificial stock markets are examined with different learning mechanisms, i.e. imitative and experiential learning. The simulation result shows that an economy with imitative learning gives rise to persistence of...

This paper investigates how the state of the order-book economy influences non-execution and picking-off risks. We utilize data from the limit order book and transactions in individual stocks on the Tokyo Stock Exchange. We demonstrate that, on the one hand, the risk of non-execution increases,...

Recent empirical research has documented asymmetric volatility and volatility clustering in stock markets. We conjecture that a limit of arbitrage due to a borrowing constraint and herding behavior by investors are related to these phenomena. This study conducts simulation analyses on a spin...

This paper conducts an intraday technical analysis of individual stocks listed on the Nikkei 225. In addition to the price-based technical rules popularly examined in the literature, we uniquely propose and statistically investigate technical rules that utilize information regarding (1) the...

Recent research has documented that learning and evolution are capable of generating many well-known features in financial times series. We extend the results of LeBaron and Yamamoto (2007) to explore the impact of varying amounts of imitation and agent learning in a simple order-driven market....

This paper introduces an order-driven market with heterogeneous investors, who submit limit or market orders according to their own trading rules. The trading rules are repeatedly updated via simple learning and adaptation of the investors. We analyze markets with and without learning and...