In this paper, we present a model that simulates the behaviour of a heterogenous collection of financial traders on a market. Each trader is modelled as an autonomous, interactive agent and the agregation of their behavior results in market behaviour. 1 We specifically look at the role of information arriving at the market and the influence of heterogeneity on market dynamics. The main conclusi...

There exist several important benchmark indices in environmental finance, some computed by wellknown financial index providers such as the Dow Jones group or the FTSE group, and others by independent agencies specializing in environmental and ethical issues in finance. The main feature of these sustainability indices is that they are constructed from a selection of financial stocks according to...

Dynamic analysis of programs is one of the most promising techniques to reverse-engineer legacy code for software understanding. However, the key problem is to cope with the volume of data to process, since a single execution trace could contain millions of calls. Although many trace analysis techniques have been proposed, most of them are not very scalable. To overcome this problem, we develop...

Recent computational advances allow investment managers to search for profitable investment strategies. In many instances, that search involves a pseudo-mathematical argument, which is spuriously validated through a simulation of its historical performance (also called backtest). We prove that high performance is easily achievable after backtesting a relatively small number of alternative strat...

This paper provides a selected review of the recent developments and applications of mixtures of normal (MN) distribution models in empirical finance. One attractive property of the MN model is that it is flexible enough to accommodate various shapes of continuous distributions, and able to capture leptokurtic, skewed and multimodal characteristics of financial time series data. In addition, th...

A method of predictability analysis of future values of financial time series is described. The method is based on normalized mutual information functions. In the analysis, the use of these functions allowed to refuse any restrictions on the distributions of the parameters and on the correlations between parameters. A comparative analysis of the predictability of financial time series of Tel Av...

This paper is about how liability provisions should be set when there is material uncertainty. Conventional accounting practice is deterministic. A stochastic approach is needed. Since a single figure is needed in general purpose financial statements, the provision should include the value of uncertainty. There is a conflict between the measurement of solvency and profitability. The best estima...

Recent research has documented that learning and evolution are capable of generating many well known features in financial times series. We extend the results of LeBaron & Yamamoto (2007) to explore the impact of varying amounts of imitation and agent learning in a simple order driven market. We show that in our framework, imitation is critical to the generation of long memory persistence in ma...