Working Papers

1. The Impact of Liquidity Dynamics on Short and Long Run Financial Time Series Features, Feb 2020.
2. A Long History of Realized Volatility, 2018.
3. Dynamic Risk Avoidance and the Attraction of Short Memory Volatility Forecasts, June 2014.
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4. Heterogeneous Agents and Long Horizon Features of Asset Prices, July 2013.
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5. The Impact of Heterogeneous Gain Learning in an Agent-based Financial Market, June 2013.
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6. Nonlinear Connections Between Realized Volatility and High/Low Range Information, August 2012, Joint with Xia Meng.
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7. A Real Minsky Moment in an Artificial Stock Market, March 2012.
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8. 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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9. Wealth Dynamics and a Bias Toward Momentum Trading, December 2010, published, Financial Review Letters, 2012 .
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10. 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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11. Active and Passive Learning in Agent-based Financial Markets, June 2010, published, Eastern Economic Journal, 2011.
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12. Searching for Lost Decaades, June 2010
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13. Foreign Exchange Reversals in New York Time, September 2008
    Joint with Yan Zhao.
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14. Robust Properties of Stock Return Tails, September 2008
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15. Wealth evolution and distorted financial forecasts, December 2007
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16. Time scales, agents, and empirical finance, May 2006.
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17. Agent-based Financial Markets: Matching Stylized Facts with Style, Jaunuary 2006.
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18. Agent-based Computational Finance, March 2005.
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19. Extreme value theory and fat tails in equity markets, July 2004
    Joint with Ritirupa Samanta
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20. Building the SFI Artificial Stock Market, June 2002.
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21. Calibrating an agent-based financial market to macroeconomic time series, April 2002.
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22. Estimating the feasible economic gains from international portfolio diversification, November 2001.
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23. Volatility Magnification and Persistence in an Agent Based Financial Market, March 2001.
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24. Technical Trading Profitability in Foreign Exchange Markets in the 1990's, July 2000.
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25. Agent Based Financial Markets: A comparison with experimental markets, 1999.
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26. A Dynamic Trading Strategy Approach to Deviations from Uncovered Interest Parity
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27. An Evolutionary Bootstrap Approach to Neural Network Pruning and Generalization, 1998.
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28. Experiments in Evolutionary Finance, 1994
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29. Do Moving Average Trading Rule Results Imply Nonlinearities in Foreign Exchange?
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30. Persistence of the Dow Jones Index on Rising Volume.
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