We introduce a general framework to value pilot project investments under the presence of both, market and technical uncertainty. The model generalizes different settings introduced previously in the literature. By distinguishing between the pilot and the commercial stages of the project we are...

This paper studies how to compare different microscopic simulation (MS) models and how to compare a MS model with real world. The parameters of interest are classified and characterized, various econometric methods are applied for the comparison. We illustrate the methodolgy on testing of the...

We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular emphasis of this paper is an assessment of the performance of long memory time series models in comparison to their short-memory counterparts. Since long memory models should...

This paper studies a financial market in which heterogeneous investors with multiperiod planning horizons of arbitrary finite length interact dynamically. Assumptions on individual preferences and subjective expectations are provided under which asset demand functions and market clearing prices...

We define three uncertainty regimes. The first regime, we call the "classical" uncertainty regime. This is the regime used in the Black-Scholes model. The "non-classical" uncertainty regime is defined either in terms of so called "Heisenberg Uncertainty" or in terms of "e-Uncertainty"....