A Model of Equity Prices with Heterogeneous Beliefs

This paper analyzes the effect of interaction among heterogeneous investors on equity prices. We classify investors into three groups according to their information sets and beliefs: informed investors, trend followers, and contrarians. Then, the equity price is derived through the market clearing condition. Our model explains many anomalous phenomena in the equity markets, including excess volatility, the momentum effect, and the mean-reverting effect. Further, the empirical analysis shows that the difference in returns behavior between small- and large-cap equities in the U.S. market can be explained by differences in the composition of investors.Heterogeneous Beliefs, Equity Prices, Excess Volatility, Momentum Effect, Meanreverting Effect

Wrapped brane gas as a candidate for Dark Matter

We consider brane gas models based on type II string theories and analyze the mass, the Ramond-Ramond charge and the charge on moduli fluctuations of branes wrapping over cycles of a compactified space in the four-dimensional Einstein frame. A six-dimensional torus and Calabi-Yau threefolds are considered for the Kaluza-Klein reduction. A large volume of the compactified space and a weak string coupling gives rise to point particles of the wrapped branes which have a light mass and a small charge of the Ramond-Ramond flux and of the moduli fluctuations, while the particles become very heavy in the string frame. We find that the masses and the charges satisfy the sea-saw like dual relations which become time-independent in the four-dimensional Einstein frame.Comment: 17 pages, 2 figures, revtex4, v3: comments adde

Moduli fixing and T-duality in Type II brane gas models

We consider a compactification with a six-dimensional torus in the type II brane gas models. We show that the dilaton and the scale of each cycle of the internal space are fixed in the presence of NS5-brane and Kaluza-Klein monopoles as well as D-branes with the gauge fields. We can construct various models that lead to fixed moduli by using T-duality transformations.Comment: Revtex, v4: the dependence of the number of D-brane and KK5-monopole included in section 5, comments added, v3: 6 pages, Comments and References added, v2: 5 pages, References adde

Integrable Cosmological Models From Higher Dimensional Einstein Equations

We consider the cosmological models for the higher dimensional spacetime which includes the curvatures of our space as well as the curvatures of the internal space. We find that the condition for the integrability of the cosmological equations is that the total space-time dimensions are D=10 or D=11 which is exactly the conditions for superstrings or M-theory. We obtain analytic solutions with generic initial conditions in the four dimensional Einstein frame and study the accelerating universe when both our space and the internal space have negative curvatures.Comment: 10 pages, 2 figures, added reference, corrected typos(v2), explanation improved and references and acknowledgments added, accepted for publication in PRD(v3