Working Papers

  1. Dynamic Risk Avoidance and the Attraction of Short Memory Volatility Forecasts, June 2014.
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  2. Heterogeneous Agents and Long Horizon Features of Asset Prices, July 2013.
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  3. The Impact of Heterogeneous Gain Learning in an Agent-based Financial Market, June 2013.
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  4. Nonlinear Connections Between Realized Volatility and High/Low Range Information, August 2012, Joint with Xia Meng.
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  5. A Real Minsky Moment in an Artificial Stock Market, March 2012.
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  6. Heterogeneous Gain Learning and the Dynamics of Asset Prices, June 2010/December 2011, published in Journal of Economic Behavior and Organization, 2012.
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  7. Wealth Dynamics and a Bias Toward Momentum Trading, December 2010, published, Financial Review Letters, 2012 .
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  8. Heterogeneous Gain Learning and Long Swings in Asset Prices, November 2010, published in in Rethinking Expectations: The Way Forward for Macroeconomics edited by Roman Frydman and Edmund S. Phelps, Princeton University Press, 2013.
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  9. Active and Passive Learning in Agent-based Financial Markets, June 2010, published, Eastern Economic Journal, 2011.
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  10. Searching for Lost Decaades, June 2010
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  11. Foreign Exchange Reversals in New York Time, September 2008
    Joint with Yan Zhao.
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  12. Robust Properties of Stock Return Tails, September 2008
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  13. Wealth evolution and distorted financial forecasts, December 2007
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  14. Time scales, agents, and empirical finance, May 2006.
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  15. Agent-based Financial Markets: Matching Stylized Facts with Style, Jaunuary 2006.
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  16. Agent-based Computational Finance, March 2005.
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  17. Extreme value theory and fat tails in equity markets, July 2004
    Joint with Ritirupa Samanta
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  18. Building the SFI Artificial Stock Market, June 2002.
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  19. Calibrating an agent-based financial market to macroeconomic time series, April 2002.
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  20. Estimating the feasible economic gains from international portfolio diversification, November 2001.
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  21. Volatility Magnification and Persistence in an Agent Based Financial Market, March 2001.
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  22. Technical Trading Profitability in Foreign Exchange Markets in the 1990's, July 2000.
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  23. Agent Based Financial Markets: A comparison with experimental markets, 1999.
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  24. A Dynamic Trading Strategy Approach to Deviations from Uncovered Interest Parity
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  25. An Evolutionary Bootstrap Approach to Neural Network Pruning and Generalization, 1998.
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  26. Experiments in Evolutionary Finance, 1994
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  27. Do Moving Average Trading Rule Results Imply Nonlinearities in Foreign Exchange?
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  28. Persistence of the Dow Jones Index on Rising Volume.
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