Publications

1. Non-Standard Errors (with Albert J. Menkveld and 341 other authors), Journal of Finance, forthcoming.
   
2. International Trade. Smarten up to talk the talk (with Levi Haas), The Manchester School, forthcoming.
   
3. BeVIXed: Trading Fear in the Volatility Complex (with Chakravarthy Varadarajan) Risks, 11(5), 86, 2023.
   
4. Bearing the Scars: Access to Growth and the Age of Knowledge. Histories (with Julia Wardley-Kershaw), Histories, 2(4), 405-425, 2022.
   
5. Economic Growth in the UK: Growth's Battle with Crisis (with Julia Wardley-Kershaw), Histories, 2(4), 374-404, 2022.
   
6. Economic Growth in the UK: The Inception (with Julia Wardley-Kershaw), World, 3(2), 162-174, 2022.
   
7. Perspectives on the Future of Growth (with Julia Wardley-Kershaw), World, 3(2), 299-312, 2022.
8. Evolution in Pecunia (with Rabah Amir, Igor V. Evstigneev, Thorsten Hens and Valeriya Potapova), Proceedings of the National Academy of Sciences of the United States of America (PNAS), 118(26), e2016514118, 2021.
9. Cryptocurrencies: Concept and Current Market Structure (with Octavian Nica and Karolina Piotrowska). In Handbook Cryptofinance: A New Currency for a New Economy (Goutte, S., Saadi, S., eds.), World Scientific, Chapter 1, 2021.
10. Cold play: Learning across bimatrix games (with Terje Lensberg), Journal of Economic Behavior & Organization, 185, 419-441, 2021.
11. Von Neumann-Gale Model, Market Frictions, and Capital Growth (with Esmaeil Babaei, Igor V. Evstigneev and Mikhail V. Zhitlukhin), Stochastics, 93(2), 279-310, 2021.
12. Log-optimal and rapid paths in von Neumann-Gale dynamical systems (with Esmaeil Babaei and Igor V. Evstigneev), Journal of Mathematical Analysis and Applications, 481(2), article 123489, 2020.
13. A Multidimensional Fatou Lemma for Conditional Expectations (with Esmaeil Babaei and Igor V. Evstigneev), Positivity, forthcoming.
14. Von Neumann-Gale Dynamics and Capital Growth in Financial Markets with Frictions (with Esmaeil Babaei, Igor V. Evstigneev and Mikhail V. Zhitlukhin) Mathematics and Financial Economics, 14(2), 283-305, 2020.
15. Behavioral Equilibrium and Evolutionary Dynamics in Asset Markets (with Igor V. Evstigneev, Thorsten Hens and Valeriya Potapova), Journal of Mathematical Economics, 91, 121-135, 2020.
16. Pricing defaulted Italian mortgages (with Michela Pelizza), Journal of Risk and Financial Management, 13(2), Article 31, 2020.
17. Escaping the Backtesting Illusion (with Thorsten Hens and Mathis-Hendrik Woesthoff), Journal of Portfolio Management, 46(4), 81-93, 2020.
18. Patience is a Virtue - In Value Investing (with Thorsten Hens) International Review of Finance, 20(4), 1019-1031, 2020.
19. The Resolution of Long-Run Risk (with Myroslav Pidkuyko and Raffaele Rossi), University of Manchester, 2019.
20. Herding in Smart-Beta Investment Products (with Eduard Krkoska) Journal of Risk and Financial Management, special issue `Risk Analysis and Portfolio Modelling', 12, Article 47, 2019.
21. Smart-Beta Herding and its Economic Risks: Riding the Dragon? (with Eduard Krkoska), University of Manchester, Fin Tech working paper no. 3, September 2018.
22. Front-Running and Market Quality: An Evolutionary Perspective on High Frequency Trading (with Terje Lensberg and Thorsten Hens). International Review of Finance, 18, 727-741, 2018.
23. Cryptocurrencies: Concept and Current Market Structure (with Octavian Nica and Karolina Piotrowska), University of Manchester, Fin Tech working paper no. 1, October 2017.
24. Cryptocurrencies: Economic Benefits and Risks (with Octavian Nica and Karolina Piotrowska), University of Manchester, Fin Tech working paper no. 2, October 2017.
25. Itchy Feet vs Cool Heads: Flow of Funds in an Agent-based Financial Market (with Jan Palczewski and Tongya Wang). Journal of Economic Dynamics & Control, 63, 53-68, 2016. (Software)
26. Evolutionary Behavioural Finance (with Igor V. Evstigneev and Thorsten Hens). In: The Handbook of Post Crisis Financial Modelling, Palgrave MacMillan, 2016.
27. Fragmentation and Stability of Markets (with Dan Ladley, Terje Lensberg and Jan Palczewski). Journal of Economic Behavior & Organization, 119, 466-481, 2015.
28. Costs and benefits of financial regulation: Short-selling bans and transaction taxes (with Terje Lensberg and Dan Ladley). Journal of Banking and Finance, 51, 103-118, 2015.
29. Dynamic Portfolio Optimization with Transaction Costs and State-dependent Drift (with Jan Palczewski, Rolf Poulsen and Huamao Wang). European Journal of Operational Research, 243, 921-931, 2015.
30. Hedging without Sweat: A Genetic Programming Approach (with Terje Lensberg). Quantitative Finance Letters, 1, 2013.
31. Asset Market Games of Survival: A Synthesis of Evolutionary and Dynamic Games (with Rabah Amir and Igor V. Evstigneev). Annals of Finance, 9, 121-144, 2013.
32. Introduction: behavioral and evolutionary finance (with Igor V. Evstigneev and William T. Ziemba). Annals of Finance, 9, 115-119, 2013.
33. Forecasting Customer Behaviour in a Multi-service Financial Organisation: A Profitability Perspective (with Alena Audzeyeva and Barbara Summers). International Journal of Forecasting, 28, 507-518, 2012.
34. Introduction to the special issue Stochastic Financial Economics, Volume 2 and Preface (with Sjur Flåm). Mathematics and Financial Economics, 5(4), 231-232 and 229, 2011.
35. Local Stability Analysis of a Stochastic Evolutionary Financial Market Model With a Risk-free Asset (with Igor V. Evstigneev and Thorsten Hens). Mathematics and Financial Economics, 5, 185-202, 2011 (Corrigendum).
36. Introduction to the special issue Stochastic Financial Economics, Volume 1 and Preface (with Sjur Flåm). Mathematics and Financial Economics, 5(3), 159-160 and 157, 2011.
37. An Evolutionary Explanation of the Value Premium Puzzle (with Thorsten Hens, Terje Lensberg and Peter Woehrmann). Journal of Evolutionary Economics, 21, 803-815, 2011.
38. Consumption Paths under Prospect Utility in an Optimal Growth Model (with Reto Foellmi and Rina Rosenblatt-Wisch). Journal of Economic Dynamics and Control, 35, 273-281, 2011.
39. Linearization and Local Stability of Random Dynamical Systems (with Igor V. Evstigneev and Sergey A. Pirogov). Proceedings of the American Mathematical Society, 139, 1061-1072, 2011.
40. Survival and Evolutionary Stability of the Kelly Rule (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.), Chapter 20, pp. 273-284, World Scientific, 2011.
41. Growing Wealth with Fixed-mix Strategies (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.), Chapter 29, pp. 427-455, World Scientific, 2011.
42. The Role of Country, Regional and Global Market Risks in the Dynamics of Latin American Yield Spreads (with Alena Audzeyeva). Journal of International Financial Markets, Institutions & Money, 20, 404-422, 2010.
43. From Discrete to Continuous Time Evolutionary Finance (with Jan Palczewski). Journal of Economic Dynamics and Control, 34, 913-931, 2010.
44. Market Selection of Constant Proportions Investment Strategies in Continuous Time (with Jan Palczewski). Journal of Mathematical Economics, 46, 248-266, 2010.
45. Risk Minimization in Stochastic Volatility Models: Model Risk and Empirical Performance (with Rolf Poulsen and C.-O. Ewald). Quantitative Finance, 9, 693-704, 2009.
46. Do Stylised Facts of Order Book Markets need Strategic Behaviour? (with Dan Ladley). Journal of Economic Dynamics and Control, 33, 817-831, 2009.
47. (Un)anticipated Technological Change in an Endogenous Growth Model (with Bruce A. Conway and Rina Rosenblatt-Wisch). Studies in Nonlinear Dynamics and Econometrics, 13(1), Article 3, 2009.
48. Evolutionary Finance (with Igor V. Evstigneev and Thorsten Hens). In Handbook of Financial Markets: Dynamics and Evolution (Thorsten Hens and Klaus R. Schenk-Hoppé, eds.), Chapter 9, pp. 507-566, North-Holland, 2009.
49. Handbook of Financial Markets: Dynamics and Evolution, editor (with Thorsten Hens), volume in the Handbooks in Finance series (edited by William T. Ziemba), North-Holland, 2009.
50. Globally Evolutionarily Stable Portfolio Rules (with Igor V. Evstigneev and Thorsten Hens). Journal of Economic Theory, 140, 197-228, 2008.
51. Stochastic Equilibria in von Neumann-Gale Dynamical Systems (with Igor V. Evstigneev). Transactions of the American Mathematical Society, 360, 3345-3364, 2008.
52. The Joy of Volatility (with Michael A.H. Dempster and Igor V. Evstigneev). Quantitative Finance, 8, 1-3, 2008.
53. Pure and Randomized Equilibria in the Stochastic von Neumann-Gale Model (with Igor V. Evstigneev). Journal of Mathematical Economics, 43, 871-887, 2007.
54. The Great Capitol Hill Baby Sitting Co-op: Anecdote or Evidence for the Optimum Quantity of Money? (with Thorsten Hens and Bodo Vogt). Journal of Money, Credit and Banking, 39, 1305-1333, 2007.
55. Volatility-induced Financial Growth (with Michael A.H. Dempster and Igor V. Evstigneev). Quantitative Finance, 7, 151-160, 2007.
56. On the Evolution of Investment Strategies and the Kelly Rule - A Darwinian Approach (with Terje Lensberg). Review of Finance, 11, 25-50, 2007.
57. The von Neumann-Gale Model and its Stochastic Generalizations (with Igor V. Evstigneev). In Handbook on Optimal Growth 1. Discrete Time (Rose-Anne Dana, Cuong Le Van, Tapan Mitra and Kazuo Nishimura, eds.), Chapter 12, pp. 337-379, Springer, 2006.
58. Evolutionary Stable Stock Markets (with Igor V. Evstigneev and Thorsten Hens). Economic Theory, 27, 449-468, 2006.
59. Markets Do Not Select For a Liquidity Preference as Behavior Towards Risk (with Thorsten Hens). Journal of Economic Dynamics and Control, 30, 279-292, 2006.
60. Market Selection and Survival of Investment Strategies (with Rabah Amir, Igor V. Evstigneev and Thorsten Hens). Journal of Mathematical Economics, 41, 105-122, 2005.
61. Evolutionary Stability of Portfolio Rules in Incomplete Markets (with Thorsten Hens). Journal of Mathematical Economics, 41, 43-66, 2005.
62. Evolutionary Finance: Introduction to the Special Issue (with Thorsten Hens). Journal of Mathematical Economics, 41, 1-5, 2005.
63. Poverty Traps and Business Cycles in a Stochastic Overlapping Generations Economy with S-shaped Law of Motion. Journal of Macroeconomics, 27, 275-288, 2005.
64. The Evolutionary Virtue of Diversification. Finance Letters, 2(6), 2004.
65. Resuscitating the Cobweb Cycle. Journal of Forecasting, 23, 621-624, 2004.
66. Survival of the Fittest on Wall Street (with Thorsten Hens). In Institutioneller Wandel, Marktprozesse und dynamische Wirtschaftspolitik (Proceedings of the VI. Buchenbach Workshop) (M. Lehmann-Waffenschmidt et al., eds.), Metropolis, Marburg, 339-367, 2004.
67. Financial Markets and Stochastic Growth (with Leonard J. Mirman). Review of International Economics 11, 219-236, 2003.
68. Exponential Growth of Fixed-Mix Strategies in Stationary Asset Markets (with Michael A.H. Dempster and Igor V. Evstigneev). Finance and Stochastics 7, 263-276, 2003.
69. An Application of Evolutionary Finance to Firms Listed in the Swiss Market Index (with Thorsten Hens and Martin Stalder). Swiss Journal of Economics and Statistics 138, 465-488, 2002.
70. Sample-Path Stability of Non-Stationary Dynamic Economic Systems. Annals of Operations Research 114, 263-280, 2002.
71. From Rags to Riches: On Constant Proportions Investment Strategies (with Igor V. Evstigneev). International Journal of Theoretical and Applied Finance 5, 563-574, 2002.
72. Market Selection of Financial Trading Strategies: Global Stability (with Igor V. Evstigneev and Thorsten Hens). Mathematical Finance 12, 329-339, 2002.
73. Is There a Golden Rule for the Stochastic Solow Growth Model? Macroeconomic Dynamics 6, 457-475, 2002.
74. Economic Growth and Business Cycles: A Critical Comment on Detrending Time Series. Studies in Nonlinear Dynamics and Econometrics 5, 75-86, 2001.
75. Random Fixed Points in a Stochastic Solow Growth Model (with Björn Schmalfuss). Journal of Mathematical Economics 36, 19-30, 2001.
76. Random Dynamical Systems in Economics. Stochastics and Dynamics 1, 63-83, 2001.
77. An Evolutionary Model of Bertrand Oligopoly (with Carlos Alós-Ferrer and Ana B. Ania). Games and Economic Behavior 33, 1-19, 2000.
78. The Evolution of Walrasian Behavior in Oligopolies. Journal of Mathematical Economics 33, 35-55, 2000.
79. Bounds on Sample Paths of Stochastic Nonlinear Systems - A Lyapunov Function Approach. In IUTAM Symposium on Nonlinearity and Stochastic Structural Dynamics (Chennai 1999) (R. N. Iyengar and S. Narayanan, eds.), pages 249-260, Kluwer Academic Publishers, Dordrecht, 2001.
80. Random Attractors - A Brief Introduction and Some Applications. ZAMM - Journal of Applied Mathematics and Mechanics 79 Suppl. 3, S831-S834, 1999.
81. The Stochastic Brusselator: Parametric Noise Destroys Hopf Bifurcation (with Ludwig Arnold and Gabriele Bleckert). In Stochastic Dynamics (H. Crauel and V. M. Gundlach, eds.), Chapter 4, pages 71-92, Springer-Verlag, New York, 1999.
82. Random Attractors - General Properties, Existence and Applications to Stochastic Bifurcation Theory. Discrete and Continuous Dynamical Systems 4, 99-130, 1998.
83. Toward an understanding of stochastic Hopf bifurcation: A case study (with Ludwig Arnold and N. Sri Namachchivaya) International Journal of Bifurcation and Chaos in Applied Science and Engineering 6, 1947-1975, 1996.
84. Deterministic and stochastic Duffing-van der Pol oscillators are non-explosive. ZAMP - Journal of Applied Mathematics and Physics 47, 740-759, 1996.
85. Stochastic bifurcation: Concept and examples (with Volker M. Gundlach) Proceedings of the International Conference on Nonlinearity, Bifurcation, and Chaos: The Doors to the Future (J. Awrejcewicz and C.-H. Lamarque, eds.), 28-33, 1996.
86. Stochastic Hopf bifurcation: an example. International Journal of Non-linear Mechanics 31, 685-692, 1996.
87. Bifurcation scenarios of the noisy Duffing-van der Pol oscillator. Nonlinear Dynamics 11, 255-274, 1996.

Qualification Work

1. The stochastic Duffing-van der Pol equation. PhD. thesis, Department of Mathematics, University of Bremen, 1996.
2. Bifurkations-Szenarien des stochastischen Duffing-van der Pol Oszillators (German). MSc dissertation, Department of Mathematics, University of Bremen, 1993.