This work deals with the problem of investors' irrational behavior and financial products' misperception. The theoretical analysis of the mechanisms driving wrong evaluations of investment performances is explored. The study is supported by the application of Monte Carlo simulations to the...

Since 1973 currency market has been dominated by US-Dollar cycles, the so called long swings. The long swinging behaviour of the dollar has been confirmed also by its strong depreciation against the Euro, registered in the last three years. Periods of steady appreciation followed by period of...

As outlined by many authors, the methods to compute the Value at Risk (VaR) based on the classical approach do not take into account the very large price variations observed in financial markets. The historical method is subject to event risk, and it may miss some fundamental evolution of the...

Classical methods for computing the value-at-risk(VaR) do not account for the large price variations observed in financial markets. The historical method is subject to event risk and may miss some fundamental market evolution relevant to VaR; the variance/covariance method tends to underestimate...

 Hidden Markov Models can be considered an extension of mixture models, allowing fordependent observations. In a hierarchical Bayesian framework, we show how ReversibleJump Markov Chain Monte Carlo techniques can be used to estimate the parameters of amodel, as well as the number of regimes. We...