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The predictive power of the present value model of stock prices
Ryan, Geraldine - Society for Computational Economics - SCE - 2006
Using monthly data from 1926:01 to 2003:12 for the United States, this paper examines the predictability of real stock prices based on the dividend-price ratio. In particular, we focus on estimating and forecasting a nonlinear exponential smooth autoregressive model (ESTAR). One motivation for...
Persistent link: https://www.econbiz.de/10005342899
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Surrogate Data Analysis and Stochastic Chaotic Modelling: Application to Stock Exchange Returns Series
VORLOW, Constantinos; ANTONIOU, Antonios; KYRTSOU, Catherine - Society for Computational Economics - SCE - 2004
We investigate for evidence of complex-deterministic dynamics in financial returns time series. By combining the … support the hypothesis of complex nonlinear and non-stochastic dynamics in the data generating processes. According to our … may also control the evolution of the system dynamics and the knowledge of their nature may allow us to forecast the …
Persistent link: https://www.econbiz.de/10005345276
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The Influence of Representation in the GP-Based Artificial Double Auction Market: The Cases of GP with and without Automatically Defined Functions
Yeh, Chia-Hsuan - Society for Computational Economics - SCE - 2002
Persistent link: https://www.econbiz.de/10005345452
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Fundamental Uncertainties and Firm-level Stock Volatilities
Yu, Yang - Society for Computational Economics - SCE - 2005
volume, which is used as a control variable for the information arrival, is found to endogenously increase idiosyncratic …
Persistent link: https://www.econbiz.de/10005706316
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Asset Price Dynamics among Heterogeneous Interacting Agents
Chiarella, Carl; Gallegati, Mauro; Leombruni, Roberto; … - Society for Computational Economics - SCE - 2002
Persistent link: https://www.econbiz.de/10005706646
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Agent-Based Modeling of Price Discovery and Excessive Volatility in Financial Markets
Chen, Shu-Heng; Liao, Chung-Chih - Society for Computational Economics - SCE - 2001
This paper studies the behavior of price discovery within a context of an agent based stock market in which the twin assumptions namely, rational expectations and the representative agents normally made in mainstream economics, are removed. In this model, traders stochastically update their...
Persistent link: https://www.econbiz.de/10005706753
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Evolution with Individual and Social Learning in an Agent-Based Stock Market
YAMAMOTO, Ryuichi - Society for Computational Economics - SCE - 2005
looking at different time-horizons. It finds that the more information from the market agents get before updating their rules …
Persistent link: https://www.econbiz.de/10005537496
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Market making, price formation, and technical trading
Farmer, Doyne; Geanakoplos, John; Melby, Paul - Society for Computational Economics - SCE - 2001
imposing credit limits creates nonlinearities that can cause prices to oscillate even in the absence of external information. …
Persistent link: https://www.econbiz.de/10005537750
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Volatility
LeBaron, Blake - Society for Computational Economics - SCE - 2001
This paper uses an agent based financial market calibrated to aggregate data. It shows how these markets are able to magnify the volatility of fundamentals, and to create time series with persistent volatility. The mechanism for this persistence is explored using several of the time series...
Persistent link: https://www.econbiz.de/10005537752
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The Influence of Market Size in an Artificial Stock Market: The Approach Based on Genetic Programming
Yeh, Chia-Hsuan; Chen, Shu-Heng - Society for Computational Economics - SCE - 2001
The relationship between competitiveness and market performance has been discussed for a long time. In a competitive economic environment, each firm or individual is unable to influence the market. It has been mentioned in the economics courses that the competitive market is more efficient and...
Persistent link: https://www.econbiz.de/10005537758