An asynchronous discrete-time model run in "dynamic mode" can model the effects on market prices of changes in strategies, leverage, and regulations, or the effects of different return estimation procedures and different trading rules. Run in "equilibrium mode," it can be used to arrive at...

Comparing Japanese and U.S. securities markets, the paper shows that survivor bias affecting quantitative analysis is relatively minor in Japan and substantial in the U.S. The paper suggests that the constraint levels and estimation procedures that did best in both countries in the past will do...

It is widely acknowledged that many financial markets exhibit a considerably greater degree of kurtosis (and sometimes also skewness) than is consistent with the Geometric Brownian Motion model of Black and Scholes (1973). Among the many alternative models that have been proposed in this...