The estimation of P(S-n u) by simulation, where S, is the sum of independent. identically distributed random varibles Y-1,..., Y-n, is of importance in many applications. We propose two simulation estimators based upon the identity P(S-n u) = nP(S, u, M-n = Y-n), where M-n = max(Y-1,...,...

The research analyzes aspects of the spot forex intraday trading and the existing models based on macro fundamentals or describing market microstructure. Most of analysis is done on high frequency data, over an extensive period and on 70 currency pairs. A hybrid model based on microstructure...

Financial processes may possess long memory and their probability densities may display heavy tails. Many models have been developed to deal with this tail behaviour, which reflects the jumps in the sample paths. On the other hand, the presence of long memory, which contradicts the efficient...

One of the major points of contention in studying and modeling financial returns is whether or not the variance of the returns is finite or infinite (sometimes referred to as the Bachelier-Samuelson Gaussian world versus the Mandelbrot stable world). A different formulation of the question asks...

Both market advisors and researchers have often suggested multiyear rollover hedging as a way to increase producer returns. This study determines whether rollover hedging can increase expected returns for producers. For rollover hedging to increase expected returns, futures prices must follow a...

The efficient market hypothesis (EMH) is tested in the case of the AthensStock Exchange (ASE) after the introduction of the euro. The underlyingassumption is that stock prices would be more transparent; their performanceeasier to compare; the exchange rate risk eliminated and as a result we...