Related papers: Revisiting the Epps effect using volume time avera…
When multiple measures are collected repeatedly over time, redundancy typically exists among responses. The envelope method was recently proposed to reduce the dimension of responses without loss of information in regression with…
Expectation propagation (EP) is a family of algorithms for performing approximate inference in probabilistic models. The updates of EP involve the evaluation of moments -- expectations of certain functions -- which can be estimated from…
In its semi-strong form, the Efficient Market Hypothesis (EMH) implies that technical analysis will not reveal any hidden statistical trends via intermarket data analysis. If technical analysis on intermarket data reveals trends which can…
We address the problem of estimating the mixing time $t_{\mathsf{mix}}$ of an arbitrary ergodic finite-state Markov chain from a single trajectory of length $m$. The reversible case was addressed by Hsu et al. [2019], who left the general…
The ability to generate samples of the random effects from their conditional distributions is fundamental for inference in mixed effects models. Random walk Metropolis is widely used to conduct such sampling, but such a method can converge…
We shortly review the statistical properties of the escape times, or hitting times, for stock price returns by using different models which describe the stock market evolution. We compare the probability function (PF) of these escape times…
A non-Bayesian time-varying model is developed by introducing the concept of the degree of market efficiency that varies over time. This model may be seen as a reflection of the idea that continuous technological progress alters the trading…
The Expected Value of Sample Information (EVSI) is used to calculate the economic value of a new research strategy. While this value would be important to both researchers and funders, there are very few practical applications of the EVSI.…
This study investigates empirically whether the degree of stock market efficiency is related to the prediction power of future price change using the indices of twenty seven stock markets. Efficiency refers to weak-form efficient market…
In finance, one usually deals not with prices but with growth rates $R$, defined as the difference in logarithm between two consecutive prices. Here we consider not the trading volume, but rather the volume growth rate $\tilde R$, the…
We numerically test the method of non-sequential recursive pair substitutions to estimate the entropy of an ergodic source. We compare its performance with other classical methods to estimate the entropy (empirical frequencies, return…
This thesis applies entropy as a model independent measure to address three research questions concerning financial time series. In the first study we apply transfer entropy to drawdowns and drawups in foreign exchange rates, to study their…
We investigate intra-day foreign exchange (FX) time series using the inverse statistic analysis developed in [1,2]. Specifically, we study the time-averaged distributions of waiting times needed to obtain a certain increase (decrease)…
We consider the consumption-based asset pricing model, derive a new modified basic pricing equation, and present its successive approximations using the Taylor series expansions of the investor's utility during the averaging time interval.…
Power spectrum densities for the number of tick quotes per minute (market activity) on three currency markets (USD/JPY, EUR/USD, and JPY/EUR) for periods from January 1999 to December 2000 are analyzed. We find some peaks on the power…
We use a new method of studying the Hurst exponent with time and scale dependency. This new approach allow us to recover the major events affecting worldwide markets (such as the September 11th terrorist attack) and analyze the way those…
The total duration of drawdowns is shown to provide a moment-free, unbiased, efficient and robust estimator of Sharpe ratios both for Gaussian and heavy-tailed price returns. We then use this quantity to infer an analytic expression of the…
The paper [12] examines a concept of equilibrium policies instead of optimal controls in stochastic optimization to analyze a mean-variance portfolio selection problem. We follow the same approach in order to investigate the Merton…
Data augmentation improves the convergence of iterative algorithms, such as the EM algorithm and Gibbs sampler by introducing carefully designed latent variables. In this article, we first propose a data augmentation scheme for the…
We study the statistical properties of the recurrence intervals $\tau$ between successive trading volumes exceeding a certain threshold $q$. The recurrence interval analysis is carried out for the 20 liquid Chinese stocks covering a period…