The interdependence of Japan’s Nikkei (JN), Taiwan Weighted (TW), Singapore Strait Times (SST), Korea Composite (KC) and Hang Seng (HS) SPIs is tested on 2739 daily observations for July 8, 1990 to July 6, 2000.

Hedge Fund returns are often highly serially correlated mainly due to illiquidity exposures given that investments in such securities tend to be inactively traded and associated market prices are not always readily available. Following that, observed returns of such alternative investments tend...

This paper presents a review of the main theories on hedging with futures contracts, and the various estimation methods used to estimate the optimum hedge ratio. The most widely used approach to hedging in the extensive literature in this field of research is unquestionably that based on the...

The fuzzy transform (F-transform), introduced by I. Perfilieva, is a powerful tool for the construction of fuzzy approximation models; it is based on generalized fuzzy partitions and it is obtained by minimizing a quadratic (L₂-norm) functional. In this paper we describe an analogous...

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...

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...

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 investigate the concept of network momentum, a novel trading signal derived from momentum spillover across assets. Initially observed within the confines of pairwise economic and fundamental ties, such as the stock-bond connection of the same company and stocks linked through supply-demand...