Liquid markets generate hundreds or thousands of ticks (the minimum change in price a
security can have, either up or down) every business day. Data vendors such as Reuters …

… Ramo Gençay’s research is supported by the Natural Sciences and Engineering Research
… arc be equal to the radius R. A radian is the size of the angle 6 formed by such an R-length …

… by applying the wavelet transform to r mt and r nt individually yielding the wavelet … r mt and
r nt for level j is given by Cov ( w m j , w n j ) and unbiased estimation is provided in Gençay …

… Let the sample of observations be denoted by r t , t=1,2,…,n where n is the sample size. Let
us assume that r t follows a martingale process with r t =μ t +ϵ t where ϵ t has a distribution …

We estimate a generalized option pricing formula that has a functional shape similar to the
usual Black–Scholes formula by a feedforward neural network model. This functional shape is …

… The linear benchmark model is r t =α+∑ i=1 p β i r t−i +ϵ t . The linear model with buy–sell
signals is r t =α+∑ i=1 p β i r t−i +∞ i=1 p η i s n 1 ,n 2 t−i +ϵ t . Rules A and B refer to the (n 1 , …

This paper investigates the predictability of spot foreign exchange rate returns from past buy-sell
signals of the simple technical trading rules by using the nearest neighbors and the …

… Let the sample of observations be denoted by r t , t=1,2,…,n, where n is the sample size. Let
us assume that r t follows a martingale process with r t =μ t +ϵ t , where ϵ has a distribution …

In this paper we propose a new approach to estimating the systematic risk (the beta of an
asset) in a capital asset pricing model (CAPM). The proposed method is based on a wavelet …

We study the effectiveness of cross validation, Bayesian regularization, early stopping, and
bagging to mitigate overfitting and improving generalization for pricing and hedging …