Contents | A | B | C | D | E | F | G | H | I | J | K | L | M | N | O | P | Q | R | Z |
Contents:
G1 General Financial
Markets
(P) Morris, S., "Speculative Behavior and Learning", Quarterly
Journal of Economics, November, 1996, Vol. 111, No. 4, pp. 1111-1133.
G12 Asset Pricing
(P) Abhyankar, A.; Copeland, L. S. and Wong, W., "Uncovering Nonlinear
Structure in Real-Time Stock-Market Indexes: The S&P 500, the DAX, the
Nikkei 225 and FTSE 100", Journal of Business and Economic Statistics,
January 1997, Vol. 15, No. 1, pp. 1-14.
Arthur, W. B., J. Holland, B. LeBaron, R. Palmer and P. Taylor, "Artificial
Economic Life: A Simple Model of a Stock Market", Physica D,
Vol. 75, 1994, pp. 264-274. (DEH HAS)
Arthur, W. B., J. Holland, B. LeBaron, R. Palmer and P. Taylor, "Asset
Pricing Under Endogenous Expectations in an Artificial Stock Market",
in The Economy as An Evolving Complex System II, edited by W. Brian
Arthur, Stephen Durlauf and David A. Lane, A Proceedings Volume, Santa Fe
Studies in the Sciences of Complexity, 1996, pp.15-44. (DEH HAS)
Atchison, M. D. and White, M. A., Disappearing Evidence of Chaos in Security
Returns: A Simulation , Quarterly Journal of Business Economics,
Spring 1996, Vol. 35, No. 2, pp. 21-37. (NIL)
Bhattacharyya, S. and Lipman, B. L., "Ex ante versus Interim Rationality
and the Existence of Bubbles", Economic Theory, November 1995,
Vol 6, No. 3, pp. 469-494. (ILL)
Blank, Steven C., "Chaos in the Financial Markets? A Nonlinear Dynamical
Analysis",
Journal of Futures Markets, Vol. 11, 1991, pp. 711-728.
Brock, William, "Asset Price Behavior in Complex Environments"
in The Economy as An Evolving Complex System II, edited by W. Brian
Arthur, Stephen Durlauf and David A. Lane, A Proceedings Volume, Santa Fe
Studies in the Sciences of Complexity, 1996, pp.385-423. (DEH HAS)
Brock, William and Cars H. Hommes, "A Rational Route to Randomness",
Econometrica, Vol 65, 1997, pp. 1059-1095.
Brock, William and Cars H. Hommes, "Models of Complexity in Economics
and Finance", in Christian Heij, Hans Schumacher, Bernard Hanzon, and
Kees Praagman, eds., System Dynamics in Economic and Financial Models,
New York, N.Y., John Wiley ans Sons., 1997, pp. 3-34.
Haefke, C. and Helmentsen, C. "Neural Networks in the Capital Markets:
An Application to Index Forecasting", Computational Economics,
February 1996, Vol. 9, No. 1, pp. 37-50. (DEH-ABS)
Khilji, N. M., "Nonlinear Dynamics and Chaos: Application to Financial
Markets in
Pakistan", Pakistan Development Review, Part 2, Winter 1994,
Vol. 34, No. 4, pp. 1417-1429. (DEH HAS)
(P) Kramer, W. and Rundle, R. "Chaos and the Compass Rose", Economic
Letters, February 1997, Vol. 54, No. 2, pp. 113-118. (New item)
de Lima, P. J. F., "Nonlinearities and Nonstationarities in Stock Returns,"
Journal of Business and Economic Statistics, April 1998, Vol. 16,
No. 2, pp. 227-36.
(P) Mandelbrot, B. "The Pareto-Levy law and
the Distribution of Income", International Economic Review,
Vol 1, pp. 79-?
(P) Mandelbrot, B. "The Variation of Certain Speculative Prices",
Journal of Business, Vol. 36, 1963, pp. 307-332. (DEH HAS)
(P) Mandelbrot, B. "The Variation of Some Other Speculative Prices",
The Journal of Business of the University of Chicago, Vol. 37, 1964,
pp. 393-413.
Mandelbrot, B. "The Variation of Some Other Speculative Prices",
The Journal of Business of the University of Chicago, Vol. 40, 1967,
pp. 393-413. (ILL)
Moore, B. and Schaller, H., "Learning, Regime Switches and Equilibrium
Asset Pricing Dynamics", Journal of Economic Dynamics and Control,
June-July 1996, Vol. 20, No. 6-7, pp. 979-1006.(DEH HAS)
Olmeda, I. and Perez, J. "Non-Linear Dynamics and Chaos in the Spanish
Stock Market", Investment Economics, May 1995, Vol. 19, No.
2, pp. 217-248. (DEH HAS)
Kaastra, I. and Boyd, M. S., "Forecasting Futures Markets Using Neural
Networks", Journal of Futures Markets, December 1995, Vol. 15,
No. 8, pp. 953-970. (DEH-ABS)
Tofallis, C., "Chaotic Behavior in a Bank Account", British
Review of Economic Issues, October, 1995, Vol. 17, No. 43, pp. 53-68.
(DEH HAS)
G13 Contingent Pricing-Futures
Pricing
Clyde, W. C. and Osler, C. L., "Charting: Chaos Theory in Disguise?",
Journal of Futures Markets, August 1997, Vol. 17, No. 5, pp. 489-514.
(NIL)
G? Trading
Day, Richard H. and Weihong Huang, "Bulls, Bears and Market Sheep",
Journal of
Economic Behavior and Organization, Vol. 14, 1990, pp. 299-330. (ABS)
Grannan, E. R., and Swindle, G. H., "Contrarians and Volatility Clustering",
Santa Fe
Institute Paper 94-03-010, 1994. (NIL)
Huang, Weihong and Day, Richard H., "Chaotically Switching Bear and
Bull Markets: The Derivation of Stock Price Distributions from Behavioral
Rules" , Chapter 12 in Day, Richard H. and Ping Chen, (editors), Nonlinear
Dynamics and Evolutionary Economics, Oxford University Press, New York,
1993, pp. 169-182.
Rust, John, Palmer Richard and Miller, John H., "Behavior of Trading
Automata in
Computerized Double Auction Market", Mimeo, Santa Fe Institute, January,
1992. (NIL)
Scheinkman, Jose and LeBaron B., 1989, "Non Linear Dynamics and Stock
Returns", Journal of Business, Vol. 62, pp. 311-337. (ABS)
White, Halbert, "Economic Prediction Using Neural Networks: The Case
of IBM Stock Prices", Proceedings of the IEEE Second International
Conference on Neural Networks, pp. 451-458, 1988. (NIL)
G2 Financial Institutions
and Services
Kau, J. B. and Keenan, D. C., "An Option-Theoretic Model of Catastrophes
Applied to Mortgage Insurance", Journal of Risk and Insurance,
December 1996, Vol. 63, No. 4, pp. 639-656. (NIL)
G3 Corporate Finance
and Governance
Boyd, J. and Smith, B. D., "The Coevolution of the Real and Financial
Sectors in the
Growth Process", World Bank Economic Review, May 1996, Vol.
10, No. 2, pp. 371-396. (DEH HAS)
Pinder, J. P., "Nonlinear Dynamical Systems and Inventory Management",
Managerial Decisions and Economics, Jan-Feb 1996, Vol. 17, No. 1,
pp. 27-43. (NIL)