Advances in Quantitative Asset Management contains selected articles which, for the most part, were presented at the `Forecasting Financial Markets' Conference. `Forecasting Financial Markets' is an international conference on quantitative finance which is held in London in May every year. Since...

The aim of this paper is to present a method able to graphically describe the amount of structure in a time series. In the following, 'structure' is defined as the extent to which a time series is either trending or mean-reverting (that is showing pockets of positive as well as negative...

It is well known that volatilities and correlations of international stock markets tend to increase in times of financial instability. A dynamic rebalancing scheme is proposed where the underlying market volatility functions as a timing device and portfolio is only rebalanced when the underlying...

The purpose of this paper is twofold. Firstly, to assess the merit of estimating probability density functions rather than level or classification estimations on a one-day-ahead forecasting task of the EUR|USD time series. This is implemented using a Gaussian mixture model neural network,...

The motivation for this paper is to determine the potential economic value of advanced modelling methods for devising trading decision tools for 10-year Government bonds. Two advanced methods are used: time-varying parameter models with the implementation of state space modelling using a Kalman...

Almost all relevant literature has characterized implied volatility as a biased predictor of realized volatility. This paper provides new time series techniques to assess the validity of this finding within a foreign exchange market context. We begin with the empirical observation that the...