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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...

We examine the dynamic properties of equilibrium stock returns in an incomplete information economy in which the agents need to learn the hidden state of the endowment process. We consider both the case of optimal Bayesian learning and suboptimal learning, including near-rational learning, over-...

This paper develops the notion of a Large Type Limit (LTL) describing the average behavior of adaptive evolutionary systems with many trader types. It is shown that generic and persistent features of adaptive evolutionary systems with many trader types are well described by the large type limit....

This paper uses an asymptotically valid expansion to derive explicitly agent's individual demand schedules and then the equilibrium allocations in options. Agents derive financial and non-tradeable income over time; they can only partially offset the latter using bonds and stocks and the option...