"We examine some basic data on the evolution of aggregate short interest, both during the dot-com era, and at other times in history. Total short interest moves in a countercyclical fashion. For example, short interest in NASDAQ stocks actually declines as the NASDAQ index approaches its peak....

Empirical evidence indicates that trades by institutional investors have sizable effects on asset prices, generating phenomena such as index effects, asset-class effects and others. It is difficult to explain such phenomena within standard representative-agent asset pricing models. In this...

The accuracy of parametric, non-parametric and semi-parametric methods in predicting the one-day-ahead Value-at-Risk (VaR) measure in three types of markets (stock exchanges, commodities and exchange rates) is investigated, both for long and short trading positions. The risk management...