This paper uses the development of multi-agent market models to present a unified approach to the joint questions of how financial market movements may be simulated, predicted, and hedged against. We first present the results of agent-based market simulations in which traders equipped with simple buy/sell strategies and limited information compete in speculatory trading. We examine the effect o...

This paper examines price integration in the MERCOSUR countries of Argentina and Brazil after the creation of this regional economic agreement using a fractional cointegration analysis. The results suggest that Argentine wheat and corn prices are fully cointegrated with the corresponding world prices, whereas Brazilian wheat prices are not cointegrated with the world price. These results suppor...

Prediction markets have proven high forecasting performance in many areas such as politics, sports and business-related fields compared to traditional instruments such as polls or expert opinions. The advantage of real-money prediction markets is to provide participants with a clear incentive to reveal their true opinion on the outcome of an event. However, it is to date unclear whether play-mo...

December 30, 2011 In the Adaptive Markets Hypothesis (AMH) intelligent but fallible investors learn from and adapt to changing economic environments. This implies that markets are not always efficient, but are usually competitive and adaptive, varying in their degree of efficiency as the environment and investor population change over time. The AMH has several implications including the possibi...

We provide an analysis of frontier market equities with respect to world market integration and diversification. Principal component results reveal that frontier markets exhibit low levels of integration. In contrast with developed and emerging markets, frontier markets offer no indication of increasing integration through time. Furthermore, individual frontier market countries do not exhibit c...

Many markets are converging, as communications and logistic networks become more integrated and firms from all parts of the world are expanding operations on a global scale. At the same time, other markets are becoming more diverse, and marketers are increasingly encountering economic and cultural heterogeneity. The authors examine the implications of these trends and the extent to which they n...

This study measures the dynamics of the growth and expansion of international crosslistings through American Depositary Receipts (ADRs) in emerging equity markets around the world and evaluates its impact on their development and integration with world markets. Overall, I find that the increasing number of new ADR programs, their market capitalization and trading volume in those countries are p...