We propose a prediction model based on the minority game in which traders continuously evaluate a complete set of trading strategies with different memory lengths using the strategies' past performance. Based on the chosen trading strategy they determine their prediction of the movement for the...

We simulate a series of daily returns from intraday price movements initiated by microstructure elements. Significant evidence is found that daily returns and daily return volatility exhibit first order autocorrelation, but trading volume and daily return volatility are not correlated, while...

Microarrays enable to measure the expression levels of tens of thousands of genes simultaneously. One important statistical question in such experiments is which of the several thousand genes are differentially expressed. Answering this question requires methods that can deal with multiple...