network without compromising prediction accuracy. We evaluate its performance by predicting the daily volatility and closing …

and volatility regimes. Using cointegrated price data, it is shown that increasing the number of assets in a portfolio … supports the proftability of the HFRA in an up-trend and reduces the potential loss of the HFRA in a down-trend in a high-volatility … environment. For low-volatility regimes, although increasing portfolio size marginally enhances the HFRA's proftability, the …

This book focuses on modelling financial information flows and information-based asset pricing framework. After … introducing the fundamental properties of the framework, it presents a short information-theoretic perspective with a view to … quantifying the information content of financial signals, and links the present framework with the literature on asymmetric …