This study analyses daily data of the stock index futures markets of Turkey (BIST30) and four Eurozone countries - Italy (MIB30), France (CAC40), Spain (IBEX), Greece (ASE20) - spanning from March 2005to March 2012. Using the GARCH model and Granger methodology, the study shows that...

This study analyses daily data of the stock index futures markets of Turkey (BIST30) and four Eurozone countries - Italy (MIB30), France (CAC40), Spain (IBEX), Greece (ASE20) - spanning from March 2005to March 2012. Using the GARCH model and Granger methodology, the study shows that...

In this paper we conduct tests for two different trading rules, namely, the Dual Moving Average (DMA) model and the Channel Breakout (CHB) rule. These rules are tested across five futures contracts – the S&P 500, British Pound, US T-Bonds, COMEX Gold and Corn using daily data over the period...

In this paper we conduct tests for two different trading rules, namely, the Dual Moving Average (DMA) model and the Channel Breakout (CHB) rule. These rules are tested across five futures contracts – the S&P 500, British Pound, US T‐Bonds, COMEX Gold and Corn using daily data over the period...

The objective of the paper is to extend the results in Fournié, Lasry, Lions, Lebuchoux, and Touzi (1999), Cass and Fritz (2007) for continuous processes to jump processes based on the Bismut-Elworthy-Li (BEL) formula in Elworthy and Li (1994). We construct a jump process using a subordinated...

This article aims to extend evaluation of the classic multifactor model of Carhart (1997) for the case of global equity indices and to expand analysis performed in Sakowski et. al. (2015). Our intention is to test several modifications of these models to take into account different dynamics of...

This paper examines the performance of a näive equally weighted buy-and-hold portfolio and optimization-based commodity futures portfolios for various lookback and holding periods using data from January 1986 to December 2018. The application of Monte Carlo simulation-based mean-variance and...

This paper develops and implements an equilibrium model of systemic risk. The model derives a systemic risk measure, loss beta, in characterizing all too-big-to-fail banks using a capital insurance equilibrium. By constructing each bank's loss portfolio with a recent accounting approach, we...

This paper derives a robust online equity trading algorithm that achieves the greatest possible percentage of the final wealth of the best pairs rebalancing rule in hindsight. A pairs rebalancing rule chooses some pair of stocks in the market and then perpetually executes rebalancing trades so...