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Mutual Funds
Risk Management
Experimental Finance
Online Articles
Books and Articles
Finance Notes
Rigged Online
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Books and Articles by Ross M. Miller


Mutual Funds

"Measuring the True Cost of Active Management by Mutual Funds," Journal of Investment Management, First Quarter 2007.

"Stansky's Monster: A Critical Examination of Fidelity Magellan's 'Frankenfund,'" unpublished working paper available at 

Experimental Economics and Behavioral Finance

"Intertemporal Competitive Equilibrium: An Empirical Study of Speculation," Quarterly Journal of Economics, November 1977 (with Charles R. Plott and Vernon L. Smith), reprinted in Vernon L. Smith, Papers in Experimental Economics, Cambridge University Press, 1991 and Charles R. Plott, Market Institutions and Price Discovery, Edward Elgar, 2001.

"Product Quality Signaling in Experimental Markets," Econometrica, July 1985 (with Charles R. Plott), reprinted in Charles R. Plott, Information, Finance, and General Equilibrium, Edward Elgar, 2001.

"Product Quality, Consumer Information, and ‘Lemons’ in Experimental Markets," in Empirical Approaches to Consumer Economics, P. M. Ippolito and D. T. Scheffman, eds., United States Federal Trade Commission, 1986 (with Michael Lynch, Charles Plott, and Russell Porter).

"Comments on Papers by Palfrey and Romer and by Holt and Sherman," in Empirical Approaches to Consumer Economics, P. M. Ippolito and D. T. Scheffman, eds., United States Federal Trade Commission, 1986.

"Product Quality, Informational Efficiency and Regulations in Experimental Markets," in Research in Experimental Economics, Volume 4, 1991 (with Michael Lynch, Charles R. Plott, and Russell Porter), reprinted in Charles R. Plott, Information, Finance, and General Equilibrium, Edward Elgar, 2001.

"Money Illusion Revisited: Linking Inflation to Asset Return Correlations," Journal of Portfolio Management, Spring 1999 (with Evan Schulman).

"Can Markets Learn to Avoid Bubbles?" Journal of Psychology and Financial Markets, Vol. 3, No. 1, 2002.

Paving Wall Street: Experimental Economics and the Quest for the Perfect Market, John Wiley & Sons, 2002.


Smart Markets

"Markets as Logic Programs," in Artificial Intelligence in Economics and Management, L. Pau, ed., North-Holland Publishing Company, 1986.

"On Distributing the Intelligence of Economic Processes," in Economics and Artificial Intelligence, J. L. Roos, ed., Pergamon Press, 1987.

"Market Automation: Self-Regulation in a Distributed Environment," Proceedings of the 1988 ACM Conference .

"The Design of Decentralized Auction Mechanisms that Coordinate Continuous Trade in Synthetic Securities," Journal of Economic Dynamics and Control, May 1990.

"Smart Electronic Markets: From Practice to Theory, " Journal of Economic Dynamics and Control, June-July 1996.


Risk Management Topics (including Enron)

"Six Degrees of Enron,"  HTML version of a talk presented on November 17 at the 2002 Texas Book Festival in Austin, Texas. 

"A Framework for Risk Management in Diversified Financial Companies," Proceedings of the Fischer Black Memorial Conference on Corporate Risk Management, UCLA Anderson School of Management, March 29-30, 1996 (with David P. Greene).

"Refining Ratings," Risk, August 1998, reprinted in David Shimko, ed., Credit Risk: Models and Management, Risk Books, 1999 and also in Michael K. Ong, Internal Credit Risk Models, Risk Books, 1999 (an earlier version is available online as "A Nonparametric Test for Credit Rating Refinements").

"Training the Portfolio" , Risk, Special Report on Enterprise-Wide Risk Management, November 1999 (an unabridged version is available online as "Treynor-Black Revisited: A New Application to Enterprise-Wide Portfolio Optimization," ) .

"Numbers That Didn't Add Up," Financial World, September 2002 (an unabridged version is available online as "Another Chapter in the Continuing Story: Enron and the Banks").

What Went Wrong at Enron, John Wiley & Sons, 2002 (with Peter C. Fusaro).


Computational Finance

Computer-Aided Financial Analysis, Addison-Wesley Publishing Company, 1990.

"Computer-Aided Financial Analysis: An Implementation of the Black-Scholes Model," The Mathematica Journal, Summer 1990.

"An Intelligent Approach to Financial Valuation," Proceedings of the First International Conference on Artificial Intelligence Applications on Wall Street, IEEE Press, 1991.

"Option Valuation," in Economic and Financial Modeling with Mathematica, Hal R. Varian, ed., TELOS/Springer-Verlag, 1993.


Computer Modeling and Artificial Intelligence

"Oligopoly: A Multi-Purpose Computer Simulation Game," Simulation and Games, December 1981.

"Analyzing Government Policies," Byte, October 1985 (with Alexander Kelso).

"Novice's Guide to Editing Lisp," AI Expert, February 1987.

"Economic Modeling," Encyclopedia of Microcomputers, Marcel Dekker, 1990.

"Economic Modeling and Artificial Intelligence," in Artificial Intelligence in Capital Markets, Roy A. Freedman et. al., eds., Probus, 1995.


Selected Early Working Papers

"Incentives and the Optimally Imperfect Information Structure," Caltech Social Science Working Paper 383, July 1981.

"Signaling, Taxation, and the Suppression of Information," Boston University School of Management Working Paper 2/82, January 1982.

"Artificial Intelligence/Expert Systems: Financial Management By Rule-Based Systems," Strategic Computing and Telecommunications in the Public Sector, Kennedy School of Government, Harvard University, 1986 (with Mary M. O'Keeffe) order here.