Working Papers

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