Among analysts, technical trading rules are widely used for forecasting security returns. Recent literature provides edivende that these rules may provide positive profits after accounting for transaction costs. This would be contrary to the theory of the efficient market hypothesis which states...

The Diagnostic Care Group (DCG) model is applied to data from the Massachusetts Group Insurance Commission from fiscal years 1994-1995 and used to assess the extent of biased selection between one fee-for-service (FFS) plan, one preferred provider organization, and several health maintenance...

We study the dynamics of the spread between U.S. corporate and Treasury bonds. We focus on Aaa and Baa corporate yield indices and estimate nonparametrically the dynamics of the spreads assuming that they follow a univariate diffusion process.

We consider density pointwise estimation in the i.i.d. case and look for bewst attainable asumptotic rates of convergence. The problem is adaptive, which means that the regularity parameter, b, describing the class of densities, varies in a set B.

We analyse high-frequency data by means of the duration between successive ticks and volume of capital durations. It allows to introduce trading activity and coactivity measures, which may or may not also be volume weighted. Some applications on particular stocks of the PAris Bourse are provided.