This discussion paper resulted in a publication in the <I>Journal of Economic Dynamics & Control</I>. Volume 33(11), pp. 1912-1928.<P> This paper formalizes the idea that more hedging instruments may destabilize markets when traders are heterogeneous and adapt their behavior according to experience based...</p></i>

The equity premium is a key parameter in asset allocation policies. There is a vigorous debate in the literature regarding the actual measurement of the equity premium, its size and the determinants of its variation. This study aims to take stock of this literature by means of a meta-analysis....

When analysing the volatility related to high frequency financial data, mostly non-parametric approaches based on realised or bipower variation are applied. This article instead starts from a continuous time diffusion model and derives a parametric analog at high frequency for it, allowing...

Regarding the asymmetric and leptokurtic behavior of financial data, we propose a new contagion test in the quantile regression framework that is robust to model misspecification. Unlike conventional correlation-based tests, the proposed quantile contagion test allows us to investigate the stock...

This discussion paper resulted in a publication in <A href="http://journals.cambridge.org/action/displayAbstract?fromPage=online&aid=8239378&fulltextType=RA&fileId=S026996481000032X">'Probability in the Engineering and Informational Sciences'</A>, 25(2), 157-69.<p>A version of the classical secretary problem is studied, in which one is interested in selecting one of the <I>b</I> best out of a group of <I>n</I> differently ranked persons who are...</i></i></p></a>

In this paper we study Markov Decision Process (MDP) problems with the restriction that at decision epochs only a finite number of given Markovian decision rules may be applied. The elements of the finite set of allowed decision rules should be mixed to improve the performance. The set of...

The use of various moving average (MA) rules remains popular with financial market practitioners. These rules have recently become the focus of a number empirical studies, but there have been very few studies of financial market models where some agents employ technical trading rules of the type...

This discussion paper led to a publication in 'Social Choice and Welfare', 2005, 24, 439-454.<P> Many economic and social situations can be represented by a digraph. Both axiomatic and iterativemethods to determine the strength or power of all the nodes in a digraph have been proposed inthe...</p>

See also the publication in 'Journal of Mathematical Economics', 2008, 44, 1114-1125. <P> In this paper we describe the extreme points of two closely related polytopes that are assigned to a digraph. The first polytope is the set of all sharing vectors (elements from the unit simplex) such that...</p>

The first three factors resulting from a principal components analysis of term structure data are in the literature typically interpreted as driving the level, slope and curvature of the term structure. Using slight generalisations of theorems from total positivity, we present sufficient...