We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular emphasis of this paper is on assessing the performance of long memory time series models in comparison to their short-memory counterparts. Since long memory models should have a...

This dissertation contains applications of agent-based financial market models and nonlinear econometric methods in financial economics. The first part deals with the analysis of the effectiveness of currency transaction taxes within financial market models with traders with heterogeneous...

We study the well-known multiplicative Lognormal cascade process in which the multiplication of Gaussian and Lognormally distributed random variables yields time series with intermittent bursts of activity. Due to the non-stationarity of this process and the combinatorial nature of such a...