Price is the most visible signal produced by competition and interaction among a complex ecology of entities in a system called financial markets. This thesis deals with statistical analysis and model identification based on such signals. We approach this problem at various levels of...

In this thesis we use nonlinear and linear estimation techniques to model two common investment strategies: hedge funds and technical analysis. Our models provide transparent and low-cost alternatives to these two nontransparent, and in some cases prohibitively costly, financial approaches. In...