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133 filter adaptive method, 98 afterjump algorithm, 105 artificial quote method, 118 ask quote, 110 bid quote, 110 bidask quote, 110 bidask spread, 110 buildup period, 87 credibility, 93, 114 data cleaning, 82 data filter, 82 decimal error, 113 domain error, 111 filter configuration, 113 filter parameters, 116 filtering algorithm, 89 credibility, 89 fulltick filtering window, 89 scalar filtering window, 89 univariate filter, 89 filtering hypothesis, 113 error hypothesis, 113 winning hypothesis, 113 forward premiums/discounts, 111 fullquote filtering window, 109 quote splitting, 110 highquality data, 100 historical mode, 115 historical operation, 87 interest rate, 111 level filter, 88, 91 level quote, 110 multivariate filtering, 100, 116 filtering sparse data, 116 next point interpolation, 96 pair filtering, 88, 93, 98 price, 111 realtime mode, 115 realtime operation, 87 repeated quotes, 100 scalar filtering window, 103 filter test, 104 the normal update, 104 scalar quote, 110 scalar window dismissing scalar quotes, 107 scaling factor, 113 second scalar window, 108 sensitivity analysis, 120 shortterm interestrate futures, 111 spread filter, 98 spread quoting, 98 strong filter, 116 time scale, 100 timing, 87 trust capital, 90, 104 univariate filtering, 113, 116 validity test, 110 weak (tolerant) filter, 116 finite variance, 132 first position, 30 forecasting, 248 forecast accuracy, 246, 262 forecast effectiveness, 264 forecast horizon, 264 forecast quality, 261 forecasting model, 249 multivariate forecasting, 249 realtime price forecasting system, 250 signal correlation, 263 forecasting signal, 263 real signal, 263 volatility forecast, 250 forecasting performance, 243 benchmark comparison, 245 direction quality, 245 realized potential, 245 foreign exchange (FX) market, see market forward discount, 23 forward interest rate, 25 forward points, 23 forward premium, 23 forward rate, 22, 25 fractal behavior, 8, 209 fractional noise process, 207 FXFX page, 16 GARCH, see model Gaussian distribution, 135, 155 genetic algorithm, 223, 317 adaptive clustering, 319 multimodal function, 318 sharing scheme, 319 genetic programming, 311 closure property, 312 function nodes, 312 syntactic restrictions, 313 terminal nodes, 312 tournament selection, 315 geographical components, 179 geometric mean, 170 goodnessoffit, 285 granularity, 171 HARCH, see model
INDEX heatwave component, 207 heatwave effect, 209, 214, 352 hedge funds, 17 hedging, 31 currency overlay, 343 currency risk, 209, 340 dynamic hedging, 340, 345 instruments, 24 neutral point, 343 ratio, 343 heterogeneity, 44 heterogeneous market hypothesis, see hypothesis heteroskedasticity, 35, 162 autoregressive conditional, 265 Hill estimator, 145 holiday halfday, 190 holidays, see market hyperbolic decline, 210 hypothesis heal wave hypothesis, 179 heterogeneous market hypothesis, 209,210, 224 island hypothesis, 179 meteor shower hypothesis, 179, 206 IGARCH, see model implied interest rate, 25 implied volatility, see volatility index •AMEX Stock Index, 283 Down Jones Index, 283 indicator, 257 antisymmetric, 315 cycle, 310 overbought and oversold, 310 symmetric, 315 timing, 310 trend following, 310 volatile indicator, 259 information set, 82, 249 instability, 259 institutional constraints, 14, 128 institutional framework, 127 institutional investors, 17 interbank interest rates, 21 interbank money market rates, 121 interpolation, see method intervention, 129 official, 129 intraday analysis, 127 movements, 174 prices, 174 statistics, 163 volatility, 174 intraweek analysis, 177 statistics, 163 volatility, 174 intrinsic time, see time scale, scale investment assets, 339 J. P. Morgan, 6 kernels, 52 Kronecker symbol, 260 kurtosis, 134. 205 operator, 71 lagged correlation, 211 leadlag, 20 leadlag correlation, 211 leptokurticity, 173 LIBOR, 25 LIFFE, 24,31 likelihood likelihoodratio test, 230 loglikelihood, 222 maximum likelihood, 223, 330 LjungBox, 334 long memory, 8, 198, 207 longterm regime, 259 mapping function, 261 marktomarkct, 305 market Asian stock, 52 bond,28 centralized, 11 decentralized (OTC), 11 derivative, 11 equity, 32 Eurofutures, 169 Eurodollar, 169 Eurolira, 24, 169 Euromark, 169 Euroyen, 24
Short Sterling, 169 foreign exchange (FX), 11,13 FX forward, 15 FX forwards, 14 FX futures, 14 FX spot, 13, 15 futures, 11,12 bond futures, 28 commodity futures, 31 Eurofutures, 24 individual equity futures, 33 geographical market, 214 German bond market, 131 heterogeneous market, 210 holidays, 190 homogeneous market, 210 interest rate futures, 23, 25 liquid, I market microstructure, 5 opening hours, 176 option, 11, 13, 33 overthecounter (OTC), 2, 12, 19, 21, 24 overthecounter interest rate, 23 participants, 10 anonymity, 10 spot, 11, 12 spot interest rate, 24 U.S. treasury bond market, 131 market activity, 175, 177, 183 market efficiency, 14, 45, 156, 249, see efficient markets market expectation, 130 market makers, 19 market microstructure effect, 197, 201 market risk, 158 marketdependent persistence, 206 Markov chain, 233 maturity, 22 maximum likelihood, see likelihood mean absolute error (MAE), 262 mean square error (MSE), 262 mean squared prediction errors (MSPE), 295 measure asymmetric effective returns, 307 rewardtovariability ratio, 305 risksensitive performance, 304 symmetric effective returns, 305 method distribution free measure, 262 interpolation, 37 linear, 54 previoustick, 37 nonparametric method, 262 overlapping, 44 panel regression, 47 polynomial, 25 polynomial interpolation, 26 microstructure, 2, 5, 14 Middle European Time (MET), 326 middle price, 122 misspecification, 222 mixture of distributions, 131 model ARCH, 221 capital asset pricing model (CAPM), 349 EMAHARCH, 237, 254 FIGARCH, 221,231 GARCH, 44, 146, 221, 222, 224, 328 ARGARCH, 328 diffusion process, 224 estimation problems, 226 jump process, 224 temporal aggregation, 224 HARCH, 146, 231,335 ARHARCH, 328 HARCH components, 236 IGARCH, 251 insample optimization, 263 intraweek market activity, 179 lagged adjustment model, 124 macroeconomic, 5 market activity, 175, 183 market maker bias, 154 market microstructure, 14 model initialization, 263 model structure, 256 moving average model, 295 multihorizon, 263 multicascade model, 148 multifractal model, 148 multivariate volatility model, 250 nonparametric conditional mean models, 295 Normal Inverse Gaussian (NIG) Levy process, 151 outofsample test, 263 purchasing power parity model, 249 QARCH, 232 random walk, 54, 147, 150, 152, 253, 331 risk premia, 249 structural model, 249 time series model, 249 trading, see trading model trading model, 295 volatility, 6 moment, 55, 132, 135, 137 finite second moment, 142 nonconverging fourth moment, 142 momenta, 257 Monte Carlo simulations, 145
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