Multiagent cooperation for solving global optimization problems: an extendible framework with example cooperation strategies

This paper proposes the use of multiagent cooperation for solving global optimization problems through the introduction of a new multiagent environment, MANGO. The strength of the environment lays in itsflexible structure based on communicating software agents that attempt to solve a problem cooperatively. This structure allows the execution of a wide range of global optimization algorithms described as a set of interacting operations. At one extreme, MANGO welcomes an individual non-cooperating agent, which is basically the traditional way of solving a global optimization problem. At the other extreme, autonomous agents existing in the environment cooperate as they see fit during run time. We explain the development and communication tools provided in the environment as well as examples of agent realizations and cooperation scenarios. We also show how the multiagent structure is more effective than having a single nonlinear optimization algorithm with randomly selected initial points

Empirical evidence on the capital asset pricing model (CAPM) in two Scandinavian stock exchanges

In the paper the Capital Asset Pricing Models of two Scandinavian Stock Markets are compared. With Finnish Stock data, a lower coefficient of determination is obtained than with Swedish Stock data. With Swedish data, the explanatory power of the squared beta and standard error components is markedly better. In so far as the sign of the regression coefficients is concerned, the Finnish models show a better correspondence with international evidence on the maifunctioning of the CAPM. With Swedish data, the coefficients are fairly close to those obtained with multiple factor models in the US-stock market. The finding suggests that the standard CAPM is unable to exhaustively represent the economic forces of capital asset pricing, especially in Sweden.CAPM Scandinavian stock markets

Portfolio efficiency of univariate time series models

In the paper we apply a Markowitz Super Criterion to test the Portfolio Efficiency of statistically acceptable time series models for Finnish and Swedish stock markets. We will use a subset of the time series models presented previously for the Finnish and Swedish daily price index data over the 1970-1987 time interval for all listed stocks in the Helsinki and Stockholm Stock Exchanges. The Portfolio Efficiency Test allows an evaluation and comparison of the economic implications of the predictability of stock prices in two neighbouring countries.portfolio efficiency expectational vs observational Pareto-frontiers

Arbitrage Pricing Models for two Scandinavian stock markets

This paper examines the Arbitrage Pricing Models (APM) for Finnish and Swedish data. The testing is based on weekly returns of portfolio-aggregated data, partly to achieve multivariate normality, partly to dampen outlier effects. Data of beta-ranked portfolios used elsewhere in testing the Capital Asset Pricing Model (CAPM) and the Arbitrage Pricing Theory (APT) are used here too and provides a convenient basis for dominance testing of CAPM and APT. Following Chen, the dominance relationship is analyzed by the Davidson-Mackinnon test and the Posterior Odds Ratio test. The tests indicate that APT dominates CAPM in both countries. The Finnish loadings turned out to be more volatile than the Swedish. Furthermore, the multiple factor model is seen to have relatively more power in Finnish than in Swedish conditions. The results are consistent with previous evidence, that the single factor model (CAPM) tends to be more powerful in explaining Swedish than Finnish stock returns. Since the testing is based on portfolio-aggregated weekly returns series, the results do not necessarily agree with those for daily returns at the individual asset level.dominance between APM and CAPM Davidson-Mackinnon test Scandinavian evidence

Portfolio efficiency of APT and CAPM in two Scandinavian stock exchanges

In the paper we apply a Markowian Super Criterion for testing the Portfolio Efficiency of the Arbitrage Pricing Theory (APT) and the Capital Asset Pricing Model (CAPM). The competing Capital Market Theories are tested with Finnish and Swedish weekly price index data over the 1970-1987 time frame. We demonstrate that the APT dominates the CAPM in both countries. The multifactor APT is more powerful in predicting Finnish than Swedish stock returns, whereas the contrary holds for the single factor CAPM. A considerable deviation between the expected Pareto frontier and the best expectational frontier of the APT is observed in both markets.portfolio efficiency dominance testing expectational vs observational Paretofrontiers international evidence

A rolling test of granger causality between the Finnish and Japanese security markets

In the paper we test the impact of the Japanese stock market on two financial asset groups, free and restricted shares, on the Finnish market in the early 90s. The causality is tested in the Granger sense. The research issue is particularly interesting, since the restrictions on foreign ownership were abolished by the end of 1992. The linkage between the Japanese and Finnish financial economies is seen to be stronger for free shares than for restricted. In particular, significant Granger causality between Japanese and Finnish free shares is observed at relatively long consecutive time intervals, whereas the Japanese impact on the restricted shares is only occasional. Thus, the decision to abolish the restrictions not only leads to increased international dependence in the future, but will also change the risk profile of the restricted shares.Granger causality international asset pricing restricted vs free shares