Financial markets occasionally exhibit extreme price fluctuations that are difficult to explain, notably October 1987. A mathematical system in which...
This paper uses an extremely high frequency data set on the Dollar-Sterling exchange rate to investigate the impact of news events on the very short...
This is a further study of non linear dynamics, chaos, in a huge, continuous time data set for a foreign exchange spot rate, in this case the Dollar...
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Italian blue chip stocks are now actively trade in two markets: the dealers' market of SEAQ International in London and the traditional auction market...
The paper tests expectations theories for stock prices and interest rates by estimating a vector autoregressive moving average model. The existence of...
Efficient markets models assert that the price of each asset is equal to the optimal forecast of its ex-post (or fundamental) value, but the models do...
We examine recursive algorithms for learning steady states and cycle in dynamic nonlinear models. Simple generically necessary and sufficient...
We analyse the nature of financial contracts in a passive learning environment where the arrival of information is private to the entrepreneur and...
Following Lawrence Harris' (1989b) study of price clustering in stock prices, we examine the smae phenomenon in the forex market. The pattern of...
The model considered here is essentially that formulated in the author's previous paper Conditions for Optimality in the Infinite-Horizon Portfolio...
Some recent equilibrium models, based on perfect foresight, give rise to complex but deterministic fluctuations in prices and quantities. We modify...
This paper uses a loglinear approximation to the budget constraint to substitute out consumption from a standard intertemporal asset pricing model. In...
This paper measures risk using proxies based on a GARCH-M model or an instrumental variables method. Using US data, it finds that the lagged dividend...
Dealers are suppliers of liquidity: in this respect their role is similar to that played by speculators in auction markets. However, dealers are a...
The aim of the paper was to present a theoretical explanation of the effect of the mimetic contagion on the dynamics of the market price of a...
