Many real-world problems in the financial sector have to consider different objectives which
are conflicting, for example portfolio selection. Markowitz proposed an approach to …

We analyse the consequences of predicting and exploiting financial bubbles in an agent-
based model, with a risky and a risk-free asset and three different trader types …

The ability to learn from others (social learning) is often deemed a cause of human species
success. But if social learning is indeed more efficient (whether less costly or more accurate) …

We propose a simple agent-based computational model in which speculators' trading
behavior may cause bubbles and crashes, excess volatility, serially uncorrelated returns, fat …

Applied researchers using kernel density estimation have worked with optimal bandwidth
rules that invariably assumed that the reference density is Normal (optimal only if the true …

Trend and Value are pervasive anomalies, common to all financial markets. We address the
problem of their co-existence and interaction within the framework of Heterogeneous Agent …

We continue the investigation of a one-dimensional piecewise linear map with two
discontinuity points. Such a map may arise from a simple asset-pricing model with …

We propose an empirically motivated financial market model in which speculators rely on
trend-following, contrarian and fundamental trading rules to determine their orders …

We study the price dynamics generated by a stochastic version of a Day–Huang type asset
market model with heterogenous, interacting market participants. To facilitate the analysis …

We present a functional generative approach to extract risk-neutral densities from market
prices of options. Specifically, we model the log-returns on the time-to-maturity continuum as …