We investigate the “compass rose” patterns introduced by Crack and Ledoit (J. Finance 51(2)(1996) 751) as revealed in phase portraits (delay plots) of stock returns. The structures observed in these diagrams have been attributed mainly to price clustering and discreteness and the tick size....

The minority game (MG) model introduced recently provides promising insights into the understanding of the evolution of prices, indices and rates in the financial markets. In this paper we perform a time series analysis of the model employing tools from statistics, dynamical systems theory and...

We propose a statistical identification procedure for recursive structural vector autoregressive (VAR) models that present a nonlinear dependence (at least) at the contemporaneous level. By applying and adapting results from the literature on causal discovery with continuous additive noise...

In this dissertation three different economic issues have been analyzed. The firstissue is whether monetary policy rules can improve forecasting accuracy of inflation.The second is whether the preference of a central bank is symmetry or not. The last issueis whether the behavior of aggregate...