This paper uses an evolutionary approach incorporating the idea of natural selection to examine market behavior in a one-sided buyer auction market. Even with no traders' rationality (such as rational expectations and adaptive learning) and with each trader's behavior preprogrammed with its own...

Unlike equity returns, many fixed-income return and volatility measures appear to display considerable long memory. Connolly and G½ner (working paper, 1999) show this holds particularly strongly for shorter-maturity Treasury securities in the U.S. They show that fixed-income return and...

This paper reports on the use of multi-agent games to model financial markets. Our research employs multi-agent games to address three questions which are of great practical importance in quantitative finance: how profit opportunities may be identified, large price movements predicted, and...

In this paper, we examine an exchange economy with a financial market composed of three assets: a share of a stock, an European call option written on the stock, and a riskless bond. The financial market is assumed to be incomplete and the option is not a redundant asset. In such a case the...

The literature on multi-agent models up until recently has been mainly concerned with the price dynamics in a setting where agents are allowed to switch between a finite number of strategies.In reality, however, we would expect a high degree of heterogeneity, such that few belief types will...

Agent based models take into account limited rational behaviour of individuals acting on financial markets. Explicit simulation of this behaviour and the resulting interaction of individuals provide a description of aggregate financial market time series. At least for some parameter settings,...

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Monthly term structures are fit to US Treasury inflation-indexed securities using a QN (Quadratic-Natural) spline, developed in this paper, and also to conventional nominal securities of comparable maturities. The ratio of the real to nominal discount functions is an implicit forward CPI...

This paper presents an adaptive learning model for market-making under the reinforcement learn-ing framework. Reinforcement learning is a learning technique in which agents aim to maximize the long-term accumulated rewards. No knowledge of the market environment, such as the order arrival or...

Ways of finding a maximum skewness portfolio, with given return, variance and kurtosis, are presented. The methods take advantage of the special shape of the efficient portfolios manifold. Simpler solutions are obtained if the higher moments tensor has some particular structures. The problem of...