The article investigates the use of adaptive learning algorithms in constructing dynamic portfolios replicating the return characteristics of a given hedge fund. The emphasis is on out of sample conditional predictive capabilites as necessary to serve as a valuable risk management tool, rather...

This study compares the volatility and density prediction performance of alternative GARCH models with different conditional distribution specifications. The conditional residuals are specified as normal, skewed-t or compound Poisson (jump) distribution based upon a non-linear and asymmetric...

Measures of the severity of macroeconomic scenarios have been widely used in the literature, but a consistent methodology for their calculation has not been developed yet. Against this background, we provide a general method for calculating the joint probability of observing a macroeconomic...

We show that OTC markets model with several assets (with market makers or not) have a unique steady state. Our proof is based on Rhon's version of Miranda's theorem which is a generalization of the intermediate value theorem. In addition, we provide a method for computing this steady state

This paper studies and connects market organization and activity in the US collateralized interbank market using an assumption-neutral approach. We apply cluster analysis to aggregate activity factors suggested by prior studies to support two market organizations: three-tier and core-periphery....

We develop an empirically-based simulation study to test policies designed to control systemic risk. We consider preventive policies targeting capital requirements and mitigation policies targeting default resolution. We find that capital buffers reduce both defaults and losses. The loss...

Over the last few years, quantitative investing and trading systems have become increasingly popular as investors, disappointed by the performance of active investment managers, have looked for alternatives. However, the authors suggest that caution is in order as most quantitative systems are...

In investment appraisal, uncertainty can be managed through intervals or fuzzy numbers because the arithmetical properties and the extension principle are well established and can be successfully applied in a rigorous way. We apply interval and fuzzy numbers to the Average Internal Rate of...

We propose new methods for estimating the bid-ask spread from observed transaction prices alone. Our methods are based on the empirical characteristic function instead of the sample autocovariance function like the method of Roll (1984). As in Roll (1984), we have a closed form expression for...

Integrated Trend Analysis is an attempt to study and analysis the diverse forces which affect the price of a security with the help of Triple Trend Oscillator (TTO). TTO is a trend following oscillator devised to identify the exact technical strength of a stock or indices over multiple...