Working Papers

1. Wealth evolution and distorted financial forecasts, December 2007
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2. The impact of imitation on long-memory in an order driven market, August 2007
   Joint with Ryuichi Yamamoto.
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3. Long-memory in an order-driven market, October 2006.
   Joint with Ryuichi Yamamoto.
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4. Time scales, agents, and empirical finance, May 2006.
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5. Agent-based Financial Markets: Matching Stylized Facts with Style, Jaunuary 2006.
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6. Agent-based Computational Finance, March 2005.
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7. Extreme value theory and fat tails in equity markets, July 2004
   Joint with Ritirupa Samanta
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8. Building the SFI Artificial Stock Market, June 2002.
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9. Calibrating an agent-based financial market to macroeconomic time series, April 2002.
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10. Estimating the feasible economic gains from international portfolio diversification, November 2001.
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11. Volatility Magnification and Persistence in an Agent Based Financial Market, March 2001.
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12. Technical Trading Profitability in Foreign Exchange Markets in the 1990's, July 2000.
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13. Agent Based Financial Markets: A comparison with experimental markets, 1999.
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14. A Dynamic Trading Strategy Approach to Deviations from Uncovered Interest Parity
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15. An Evolutionary Bootstrap Approach to Neural Network Pruning and Generalization, 1998.
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16. Experiments in Evolutionary Finance, 1994
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17. Do Moving Average Trading Rule Results Imply Nonlinearities in Foreign Exchange?
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18. Persistence of the Dow Jones Index on Rising Volume.
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