We derive an estimator for Black-Scholes-Merton implied volatility that, when compared to the familiar Corrado & Miller [JBaF, 1996] estimator, has substantially higher approximation accuracy and extends over a wider region of moneyness.

This is the specification for the Power Trading Agent Competition for 2013 (Power TAC 2013). Power TAC is a competitive simulation that models a “liberalized” retail electrical energy market, where competing business entities or “brokers” offer energy services to customers through tariff...

We present a computational approach that autonomous software agents can adopt to make tactical decisions, such as product pricing, and strategic decisions, such as product mix and production planning, to maximize profit in markets with supply and demand uncertainties. Using a combination of...

Artificial stock markets are designed with the aim to study and understand market dynamics by representing (part of) real stock markets. Since there is a large variety of real stock markets with several partially observable elements and hidden processes, artificial markets differ regarding their...

How steep should a hierarchy be, or should there be a hierarchical stratification at all? Research on power, divided between two main research streams (i.e., functionalist and conflict theories of power), reports discrepant answers to this question. This paper suggests that the choice between...

Information systems have revolutionized the provisioning of decision-relevant information, and decision support tools have improved human decisions in many domains. Autonomous decision- making, on the other hand, remains hampered by systems’ inability to faithfully capture human preferences....

We propose a new hybrid recommender system that combines some advantages of collaborative and content-based recommender systems. While it uses ratings data of all users, as do collaborative recommender systems, it is also able to recommend new items and provide an explanation of its...

We explore the flow-performance interrelation by explicitly separating the investment and divestment decisions of hedge fund investors. The results show that different determinants and evaluation horizons underlie both decisions. While money inflows are sensitive to past long-run performance,...

We compare single factor Markov-functional and multi factor market models for hedging performance of Bermudan swaptions. We show that hedging performance of both models is comparable, thereby supporting the claim that Bermudan swaptions can be adequately riskmanaged with single factor models....

Hedge funds databases are typically subject to high attrition rates because of fund termination and self-selection. Even when all funds are included up to their last available return, one cannot prevent that ex post conditioning biases a.ect standard estimates of performance persistence. In this...