The growth rate of total factor productivity seems to have increased recently, at least in the United States. Higher US productivity growth may justify higher stock market valuations than in the past and thus herald an emerging New Economy. However, the size of the estimated growth rate of total...

Executing a basket of co-integrated assets is an important task facing investors. Here, we show how to do this accounting for the informational advantage gained from assets within and outside the basket, as well as for the permanent price impact of market orders (MOs) from all market...

• Demonstration of outstanding investment performance due to noise filtering of covariance matrices in optimum portfolio selection exercises. This demonstration is based on the out-of-sample simulation of rebalancing trading done daily, weekly, biweekly and monthly.• Exhibits of investment...

Alexander Izmailov, Ph.D (theoretical physics) and Brian Shay, Ph.D (mathematics) of Market Memory Trading, L.L.C. present, in a series of nine (9) white papers, aspects of a revolutionary advance in uncovering hidden dependencies via filtering noise from correlation matrices developed by the...

This dissertation deals with the impact of speculative behaviour on output patterns of the real economy. The impact may be twofold. Speculative behaviour occurs due to positive developments at the real economy and optimistic outlooks. Also, speculative behaviour may occur at other markets, like...