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High-Frequency Trading and Probability Theory

Wang, Zhaodong; Zheng, Weian - World Scientific Publishing Co. Pte. Ltd.

out how to verify the efficiency of their technical arguments by ergodic theory of stationary stochastic processes, which …

Persistent link: https://www.econbiz.de/10011156390

Technical Analysis and Financial Asset Forecasting:From Simple Tools to Advanced Techniques

Chan, Raymond Hon Fu; Lee, Spike Tsz Ho; Wong, Wing-Keung - World Scientific Publishing Co. Pte. Ltd.

analysis, such as trend, trend Line, trend channel, Gann's Theory, moving averages, and Bollinger bands. It then introduces a … empirical mode decomposition in financial time series. The book also discusses the theory to test the performance of the …:</i></b><ul><li>Gann's Theory Unraveled</li><li>Bollinger Bands</li><li>Other Technical Analysis …

Persistent link: https://www.econbiz.de/10011156395

The strategy approval decision: A Sharpe ratio indifference curve approach

Bailey, David H.; López de Prado, Marcos; del Pozo, Eva - In: Algorithmic Finance 2 (2013) 1, pp. 99-109

The problem of capital allocation to a set of strategies could be partially avoided or at least greatly simplified with an appropriate strategy approval decision process. This paper proposes such a procedure. We begin by splitting the capital allocation problem into two sequential stages:...

Persistent link: https://www.econbiz.de/10010991427

Mixed fractional Brownian motion, short and long-term Dependence and economic conditions: the case of the S&P-500 Index

Dominique, C-René; Rivera-Solis, Luis Eduardo - Volkswirtschaftliche Fakultät, … - 2011

The Kolmogorov-Mandelbrot-van Ness Process is a zero mean Gaussian process indexed by the Hurst Parameter (H). When it models financial data, a controversy arises as to whether or not financial data exhibit short or long-range dependence. This paper argues that the Mixed Fractional Brownian is a...

Persistent link: https://www.econbiz.de/10009368160

Doves and hawks in economics revisited [An evolutionary quantum game theory-based analysis of financial crises]

Hanauske, Matthias; Kunz, Jennifer; Bernius, Steffen; … - Volkswirtschaftliche Fakultät, … - 2009

financial markets. Yet, evolutionary game theory predicts that under the condition of strategic dependence a certain degree of … strategies can emerge, which are not predicted by classical evolutionary game theory and where the total economic population uses …

Persistent link: https://www.econbiz.de/10005836565

Geometrical Considerations on Heston's Market Model

Dell'Era, Mario - Volkswirtschaftliche Fakultät, … - 2010

We propose to discuss a new technique to derive an good approximated solution for the price of a European call and put options, in a market model with stochastic volatility. In particular, the model that we have considered is the Heston's model. This allows arbitrary correlation between...

Persistent link: https://www.econbiz.de/10008541478

Using sentiment to predict GDP growth and stock returns

Guzman, Giselle C. - Volkswirtschaftliche Fakultät, … - 2008

This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...

Persistent link: https://www.econbiz.de/10009647230

Using sentiment surveys to predict GDP growth and stock returns

Guzman, Giselle C. - Volkswirtschaftliche Fakultät, … - 2008

Persistent link: https://www.econbiz.de/10009647399

Managing the financial risks of electricity producers using options

Pineda, S.; Conejo, A.J. - In: Energy Economics 34 (2012) 6, pp. 2216-2227

Electricity producers participating in electricity markets face risks pertaining to both selling prices and the availability of the production units. Among electricity derivatives, options represent an adequate instrument to manage these risks. In this paper, we propose a multi-stage stochastic...

Persistent link: https://www.econbiz.de/10010588010

Estabilidad política y tributación

Estrada, Fernando; Mutascu, Mihai; Tiwari, Aviral - Volkswirtschaftliche Fakultät, … - 2011

The present study is, in particular, an attempt to test the relationship between tax level and political stability by using some economic control variables and to see the relationship among government effectiveness, corruption, and GDP. For the purpose, we used the Vector Autoregression (VAR)...

Persistent link: https://www.econbiz.de/10009220107