By examining the conditional probabilities of price movements in a popular US stock over different high-frequency intra-day timespans, varying levels of trend predictability are identified. This study demonstrates the existence of predictable short-term trends in the market; understanding the...

<Para ID="Par1">Starting from a likelihood function and a prior information represented by a belief function, a closed form expression is provided for the lower envelope of the set of all the possible “posterior probabilities” in finite spaces. The same problem, removing the hypothesis of finiteness for the...</para>

The properties of wind persistence are an essential parameter in carrying out a complete analysis of possible sites for a wind farm. This parameter can be defined as a measure of the mean duration of wind speed within a given interval of values for a concrete site. In this study the persistence...

Wind speed persistence is a measure of the mean wind speed duration over a given period of time at any location. This definition implies that wind speed persistence means a positive serial correlation in time series. The wind speed persistence provides useful information about the general...

There are several established methodologies for generating synthetic populations. These include deterministic reweighting, conditional probability (Monte Carlo simulation) and simulated annealing. However, each of these approaches is limited by, for example, the level of geography to which it...

The daily Hang Seng index in the Hong Kong stock market has been analyzed in this paper. Two kinds of sign sequences as given conditions have been used to predict the future price movements. One is the parameter of multifractal spectrum Δf based on the indexes recorded in every minute, and the...

Cross impact analysis (CIA) consists of a set of related methodologies that predict the occurrence probability of a specific event and that also predict the conditional probability of a first event given a second event. The conditional probability can be interpreted as the impact of the second...

The concept of conditional probability is fundamental because econometrics regression models are probabilistic. Here, we consider the conditional probabilities to a certain vector, which would be possible to define more generally to the standard deviation ?.

We study the risk of holding credit default swaps (CDS) in the trading book. In particular, we compare the Value at Risk (VaR) of a CDS position to the VaR for investing in the respective firm's equity. Our sample consists of CDS – stock price pairs for 86 actively traded firms over the period...