Research Interests

• Financial Markets - Evolutionary Finance
• Dynamic Economic Theory
• Random Dynamical Systems: Theory and Applications

Recent Working Papers

1. From Discrete to Continuous Time Evolutionary Finance (joint with Jan Palczewski). Journal of Economic Dynamics and Control, forthcoming.
2. Market Selection of Constant Proportions Investment Strategies in Continuous Time (joint with Jan Palczewski). Journal of Mathematical Economics, 46, 248–266, 2010.
3. Survival and Evolutionary Stability of the Kelly Rule (joint with Igor V. Evstigneev and Thorsten Hens). In The Kelly Capital Growth Investment Criterion: Theory and Practice, (Leonard C. MacLean, Edward O. Thorp and William T. Ziemba, eds.), World Scientific, forthcoming.
4. Growing Wealth with Fixed-mix Strategies (joint with Michael A.H. Dempster and Igor V. Evstigneev). In The Kelly Capital Growth Investment Criterion: Theory and Practice, (Leonard C. MacLean, Edward O. Thorp and William T. Ziemba, eds.), World Scientific, forthcoming.
5. Risk Minimization in Stochastic Volatility Models: Model Risk and Empirical Performance (joint with Rolf Poulsen and C. Ewald). Quantitative Finance, 9, 693-704, 2009.
6. Do Stylised Facts of Order Book Markets need Strategic Behaviour? (joint with Dan Ladley). Journal of Economic Dynamics and Control, 33, 817-831, 2009.
7. (Un)anticipated Technological Change in an Endogenous Growth Model (joint with Bruce A. Conway and Rina Rosenblatt-Wisch). Studies in Nonlinear Dynamics and Econometrics, 13(1), Article 3, 2009.
8. `Managing demand' for peer reviews. April 1, 2009.
9. Asset Market Games of Survival (joint with Rabah Amir and Igor V. Evstigneev). Working Paper No. 505. National Centre of Competence in Research ``Financial Valuation and Risk Management,'' Switzerland, October 2008.
10. Parking: Unwanted Insights from Economics. January 1, 2008.
11. Sovereign Rating Transitions and the Price of Default Risk in Emerging Markets (joint with Alena Audzeyeva). Working Paper No. 382. National Centre of Competence in Research ``Financial Valuation and Risk Management,'' Switzerland, May 2007.
12. Evolutionary Finance (joint with Igor V. Evstigneev and Thorsten Hens) Chapter 9 in "Handbook of Financial Markets: Dynamics and Evolution" (Thorsten Hens and Klaus R. Schenk-Hoppé, eds.), pp. 507-566, North-Holland, 2009.
13. Handbook of Financial Markets: Dynamics and Evolution, editor (joint with Thorsten Hens), volume in the Handbooks in Finance series (edited by William T. Ziemba), North-Holland, 2009.
14. Globally Evolutionarily Stable Portfolio Rules (joint with Igor V. Evstigneev and Thorsten Hens). Journal of Economic Theory, 140, 197-228, 2008.
15. Stochastic Equilibria in von Neumann-Gale Dynamical Systems (joint with Igor V. Evstigneev). Transactions of the American Mathematical Society, 360, 3345-3364, 2008.
16. The Joy of Volatility (joint with Michael A.H. Dempster and Igor V. Evstigneev). Quantitative Finance, 8, 1-3, 2008.
17. Pure and Randomized Equilibria in the Stochastic von Neumann-Gale Model (joint with Igor V. Evstigneev). Journal of Mathematical Economics, 43, 871-887, 2007.
18. The Great Capitol Hill Baby Sitting Co-op: Anecdote or Evidence for the Optimum Quantity of Money? (joint with Thorsten Hens and Bodo Vogt). Journal of Money, Credit and Banking, 39, 1305-1333, 2007.
19. Volatility-induced Financial Growth (joint with Michael A.H. Dempster and Igor V. Evstigneev). Quantitative Finance, 7, 151-160, 2007.
20. On the Evolution of Investment Strategies and the Kelly Rule - A Darwinian Approach (joint with Terje Lensberg). Review of Finance, 11, 25-50, 2007.