In this article we present an introduction to various Filtering algorithms and some of their applications to the world of Quantitative Finance. We shall first mention the fundamental case of Gaussian noises where we obtain the well-known Kalman Filter. Because of common nonlinearities, we will...

This article uses graph theory to provide novel evidence regarding market integration, a favorable condition for systemic risk to appear in. Relying on daily futures returns covering a 12-year period, we examine cross- and intermarket linkages, both within the commodity complex and between...

Since the end of the eighties, the European electric sector has been progressively liberalised. This phenomenon has given a growing part to the financial markets in the valuation and the control of the firm's activities. With the privatisation, the management's efficiency has become the main...

This article presents and compares two different Kalman filters. These methods provide a very interesting way to cope with the presence of non-observable variables, which is a frequent problem in finance. They are also very fast even in the presence of a large information volume. The first...

Examines the movements of the crude oil futures prices' curve in Great Britain. Relationship between the spot price and futures prices for different delivery dates; Problems in identifying the crude oil prices' movements; Factors that affect the movements of crude oil prices.

Whereas the spatial integration has already been examined in commodity markets, empirical tests on temporal integration have never been carried out. Relying on the “preferred habitat” theory, which is applied to the crude oil market, this article investigates whether this market is segmented...