Publications

Books

• Computational Finance 1999, with Yaser S. Abu-Mostafa, Andrew W. Lo, and Andreas S. Weigend (eds.), MIT press, October 1999.
• Nonlinear Dynamics, Chaos and Instability, with William A. Brock and David Hsieh, MIT Press, 1991.

Articles:

• Learning integrated inflation forecasts in a simple multi-agent macroeconomic model, (with Karen Smith), Journal of Economic Dynamics and Control, forthcoming 2024.
• Microconsistency in simple empirical agent-based financial models, Journal of Computational Economics, 58(1), 2021:83-101.
• Financial price dynamics and agent-based models as inspired by Benoit Mandelbrot, European Physical Journal Special Topics, 225, 2016:3243-3254.
• Estimating the probability of a lost decade for U.S. and global equity, Journal of Financial Perspectives, vol 1, 2, 2013:37-46.
• Heterogeneous Gain Learning and Long Swings in Asset Prices, in Rethinking Expectations: The Way Forward for Macroeconomics edited by Roman Frydman and Edmund S. Phelps, Princeton University Press, 2013.
• Heterogeneous Gain Learning and the Dynamics of Asset Prices, Journal of Economic Behavior and Organization, vol 83, 2012:424-445.
  
• Wealth Dynamics and a Bias Toward Momentum Trading, Finance Research Letters, vol 9, 2012: 21-28.
• Active and passive learning in agent-based financial markets, Eastern Economic Journal, vol 37, 2011: 35-43.
• Order-splitting and Long-Memory in an Order-Driven Market, (with Ryuichi Yamamoto), European Physical Journal B , vol 73, 2010:51-57.
• The impact of imitation on long-memory in an order driven market, (with Ryuichi Yamamoto), Eastern Economic Journal , vol 34, 2008: 504-517.
  
• Modeling Macroeconomies as Open-Ended Dynamic Systems of Interacting Agents (with Leigh Tesfatsion), American Economic Review , vol 98(2), 2008: 246-50.
• Long-memory in an order-driven market (with Ryuichi Yamamoto), Physica A, vol 383, 2007: 85-89.
• Time scales, agents, and empirical finance, Medium Econometrische Toepassingen (MET), vol 14, no. 2, Spring 2006, Erasmus University.
• Agent-based Financial Markets: Matching Stylized Facts with Style, in Post Walrasian Macroeconomics: Beyond the DSGE Model, edited by D. Colander, Cambridge University Press, 2006: 221-235.
• Agent-based Computational Finance, in Handbook of Computational Economics, edited by L. Tesfatsion and K. Judd, North-Holland, 2006: 1187-1232.
• Short-memory traders and their impact on group learning in financial markets, Proceedings of the National Academy of Science, vol 99 suppl. 3, 2002: 7201-7206.
• Stochastic volatility as a simple generator of apparent financial power laws and long memory, Quantitative Finance, 1, 2001:621-631.
• Financial market efficiency in a coevolutionary environment, Proceedings of the Workshop on Simulation of Social Agents: Architectures and Institutions, October 2000, Argonne National Laboratory and The University of Chicago, 2001: 33-51.
• A builder's guide to agent-based financial markets, Quantitative Finance, 1, 2001: 254-261.
• Empirical regularities from interacting long and short memory investors in an agent-based financial market, IEEE Transactions on Evolutionary Computation, 5, 2001: 442-455.
• Evolution and time horizons in an agent based stock market, Macroeconomic Dynamics, 5, 2001: 225-254..
• Foreign exchange market trading volume and federal reserve intervention (with A. Chaboud), Journal of Futures Markets, 21, 2001:851-860.
• Floating, Fixed, or Super-Fixed? Dollarization Joins the Menu of Exchange-Rate Options (with R. McCulloch), American Economic Review, Papers and Proceedings, 90, 2, 2000: 32-37.
• Agent Based Computational Finance: Suggested Readings and Early Research, Journal of Economic Dynamics and Control , 24, 2000: 679-702.
• The Stability of Moving Average Technical Trading Rules on the Dow Jones Index, Derivatives Use, Trading and Regulation, 5, 2000:324-338.
• Building Financial Markets With Artificial Agents: Desired goals, and present techniques, forthcoming in Computational Markets, edited by G. Karakoulas, MIT Press, 1999.
• The Time Series Properties of an Artificial Stock Market, (with W. B. Arthur and R. Palmer), Journal of Economic Dynamics and Control, 23, 1999: 1487-1516.
• An Artificial Stock Market, with W. B. Arthur, J. H. Holland, R. Palmer, Artificial Life and Robotics, 3, 1999:27-31.
• An Evolutionary Bootstrap Method for Selecting Dynamic Trading Strategies, in A.-P. N. Refenes, A.N. Burgess and J.D. Moody (eds.), Decision Technologies for Computational Finance, Amsterdam: Kluwer Academic Publishers, 1998: 141-160.
• Technical Trading Rule Profitability and Foreign Exchange Intervention, Journal of International Economics, 49, 1999: 125-143.
• A Bootstrap Evaluation of the Effect of Data Splitting on Financial Time Series, with A. Weigend, IEEE Transactions on Neural Networks, 9, 1998: 213-220.
• Technical Trading Rules and Regime Shifts in Foreign Exchange, in Advanced Trading Rules, edited by E. Acar and S. Satchell , Butterworth-Heinemann, 1998: 5-40.
• Asset Pricing Under Endogenous Expectations in an Artificial Stock Market, with W. B. Arthur, J. H. Holland, R. Palmer, and P. Tayler, in The Economy as an Evolving Complex System II, edited by W. B. Arthur, S. Durlauf, and D. Lane, Addison-Wesley, 1997.
• A Fast Algorithm for the BDS Statistic, Studies in Nonlinear Dynamics and Econometrics, 2, 1997: 53-59.
• A Test for Independence Based on the Correlation Dimension, with W. A Brock, W. D. Dechert, and J. A. Scheinkman, Econometric Reviews, 15, 1996: 197-235.
• A Dynamic Structural Model for Stock Return Volatility and Trading Volume, with W. A. Brock, Review of Economics and Statistics, 78, 1996: 94-110.
• Chaos and Nonlinear Forecastability in Economics and Finance, Philosophical Transactions of the Royal Society of London (A), 348, 1994: 397-404.
• Artificial Economic Life: A Simple Model of a Stock Market, with R. G. Palmer, W. B. Arthur, J. H. Holland, and P. Tayler, Physica D, 75, 1994: 264-274.
• Practical Comparisons of Foreign Exchange Forecasts, Neural Network World, 6, 1993: 779-790.
• Nonlinear Diagnostics, Simple Trading Rules, and High Frequency Foreign Exchange Rates, in Predicting the Future and Understanding the Past a Comparison of Approaches, edited by N. Gershenfeld and A. Weigend. Addison-Wesley, 1993.
• Simple Technical Trading Rules and the Stochastic Properties of Stock Returns, with W. A. Brock, and J. Lakonishok, Journal of Finance, 47, 1992: 1731-1764.
• Forecast Improvements Using a Volatility Index, Journal of Applied Econometrics, 7, 1992: S137-S150.
• Some Relations Between Volatility and Serial Correlation in Stock Returns, Journal of Business, 65, 1992:199-220.
• Nonlinear Forecasts of the S&P Stock Index, in Nonlinear Modeling and Forecasting, edited by M. Casdagli and S. Eubank, Addison-Wesley, 1992: 381-393.
• Nonlinear Econometrics for Chaos: Empirical Results, Cuadernos Economicos, 47, Bank of Spain, 1991: 37-62.
• Liquidity Constraints in Production Based Asset Pricing, with W. A. Brock, in Information, Capital Markets, and Investment, edited by R. G. Hubbard, University of Chicago Press, 1991: 231-255.
• Nonlinear Dynamics and Stock Returns, with J. A. Scheinkman, Journal of Business, 62, 1989: 311-337.
• Nonlinear Dynamics and GNP Data, with J. A. Scheinkman, in Economic Complexity: Chaos, Sunspots, Bubbles, and Nonlinearity, edited by W. Barnett, J. Geweke, and K. Shell, Cambridge University Press, 1989: 213-227.