Cyclical Double Auction Markets With and Without Speculators

Article Abstract:

Laboratory research on the behavioral elements of two market environments focuses on a market with temporary isolation of successive market periods, and a market with speculators carrying commodity units from one period to another. Both markets are controlled by cycling excess demand. Information from eighteen different markets is analyzed with regard to the double action trading rules organization. Information transfer and display in these markets is achieved through a PLATO computer network. This research is based on former findings where a design based on sequential trading years' seasonal supply was used. Trading mechanisms and autarky-speculation comparisons are highlighted. An innovative cyclical market design, which features socially optimal intertemporal carry-over of nine units, is developed. This design permits traders to change modes without regard to periods and introduces commodity, perishability and scrap parameters. Illustrations of sample trader screen displays and comparison data tables are featured, as are graphs of trading cycles and prices.

Measurement, Business cycles, Commodities, Demand (Economics)

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Inflation, Currency Exchange Rates, and the International Securities Market

Article Abstract:

The parameters in which the international Fisher Effect will function are researched using a time-state-preference model based on an efficient and thorough international financial market. In this case, the forward currency exchange rate becomes an estimate without bias of future spot rates. International stochastic inflation in fiat-currency pricing of real goods can harm both relationships without even the problems of institutional flows or trade barriers. Accordingly, anticipated inflation rate differentials internationally will not match spot-versus-forward currency exchange rate differentials. The equilibrium of the current international financial asset market has attracted substantial attention in recent research because of the increased level of international business being done. Research on this point uses the time-state preference paradigm of Arrow and Debreu. Tables of hypothetical data for a single currency case are featured.

Models, Prices and rates, International aspects, Securities, Foreign exchange, Foreign exchange rates, Inflation (Finance), Money, Inflation (Economics)

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Market Timing and Mutual Fund Investment Performance

Article Abstract:

A parametric statistical method which permits for joint testing of the existence of superior market-timing or security selection abilities in the portfolio management of mutual funds during the past decade is developed. Findings showed that mutual fund return data is not heavily characterized by either advanced security selection or market timing. Former research suggesting that mutual funds do no better than passive investment policies is supported. Regression statistics stemming from estimated equations for sixty-seven mutual funds are highlighted in tables of monthly and quarterly return data. Substantial distinctions are made for individual funds, and subtleties are greater individually as well. Henriksson and Merton's method may well provide the best knowledge of managed portfolio performance differentials. Estimates of regression parameters and mutual fund samples are featured in an appendix.

Mutual funds

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