Several unique data sets are brought together to build approximate daily realized volatility estimates back to the early 1930's. Estimators are tested extensively on modern data to see how well they line up with common estimators using high frequency pricing information. Estimators are also...

We construct a computer simulation of a repeated double-auction market, designed to match those in experimental-market settings with human subjects, to model complex interactions among artificially-intelligent traders endowed with varying degrees of learning capabilities. In the course of six...

There has been renewed interest in power-laws and various types of self-similarity in many financial time series. Most of these tests are visual in nature, and do not consider a wide range of possible candidate stochastic models capable of generating the observed results. This paper presents a...

Recent research has shown the importance of time horizons in models of learning in finance. The dynamics of how agents adjust to believe that the world around them is stationary may be just as crucial in the convergence to a rational expectations equilibrium as getting parameters and model...

There is reliable evidence that simple rules used by traders have some predictive value over the future movement of foreign exchange prices. This paper will review some of this evidence and discuss the economic magnitude of this predictability. The profitability of these trading rules will then...

We find a large positive correlation between daily trading volume in currency futures markets and foreign exchange intervention by the Federal Reserve over the period 1979-1996. Neither contemporaneous nor predicted volatility can fully account for the increases in trading activity. Whether or...

We propose a theory of asset pricing based on heterogeneous agents who continually adapt their expectations to the market that these expectations aggregatively create. And we explore the implications of this theory computationally using our Santa Fe artificial stock market. Asset markets, we...

This article exposes problems of the commonly used technique of splitting the available data into training, validation, and test sets that are held fixed, warns about drawing too strong conclusions from such static splits, and shows potential pitfalls of ignoring variability across splits. Using...

Front Cover -- Handbook of Computational Economics -- Copyright -- Contents -- Contributors -- Introduction to the Series -- Introduction to the Handbook of Computational Economics, Volume 4, Heterogeneous Agent Modeling -- 1 Introduction -- 2 Macroeconomics -- 3 Finance -- 4 Experiments -- 5...