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134 multifractal model, 8 multifractality, 148 multiple assets, 278 near-singularity, 259 neutral point, see hedging noise trader, 349 nonstable distribution, 142 notional deposit, 26 official intervention, 129 Olsen & Associates (O&A), 4, 11, 18 open position (mark-to-market), 305 opening hours, see trading hours operator, 35 average, 55 backward shift, 77 causal, 54 comparison, 314 complex moving average, 75 conditional, 314 convolution, 51 crossover, 312 derivative, 55, 66 difference, 78 differential, 64 exponential moving average (EMA), 59 iterated, 59 homogeneous, 58 linear operator and kernels, 54 logic, 314 microscopic, 36, 76 moving average (MA), 61 moving correlation, 71 moving kurtosis, 71 moving norm, 63 moving skewness, 71 moving standard deviation, 63 moving variance, 63 mutation, 312 nonlinear, 58 regular time series, 77 tick frequency, 79 time translation, 77 time-translation invariant, 54 volatility, 68, 79 windowed Fourier transform, 74 optimization robust optimization, 317 option pricing, 3 out-of-sample, 222 outright forward rate, 22 outright forward transactions, 23 overlap method, 44 overlap-free, 50 overlapping returns, see return overshooting, 27 performance index, 32 periodicity, 160, see seasonality permanence hypothesis, 5 perpetuum mobile, 353 physical delivery, 31 portfolio pricing, 277 trading model portfolio, 338 post ex-ante testing, 264 prefiltcring technique, 249 price, 37, 38 bid-ask, 17 effective price, 40, 125 middle, 122 price formation, 3, 123 synthetic, 275 transaction, 1, 15 probability density function (pdf), 54 probability distribution, 54, 132 process, see model psychological time, 176 quadratic programming, 346 quote, see data random walk, see model rational expectations, 210 real market value, 210 realized volatility, see volatility regime shifts, 8 relaxation time, 352 return, 37, 40 deseasonalized, 197 mean, 48 nonoverlapping, 50 overlapping, 47 synthetic, 275 Reuters, 1,21 Reuters Instrument Code (RIC), 15 risk management, 3, 14,32, 277
risk profiles, 14 risk-sensitive measures, 305 RiskMetrics, 251 methodology, 251 volatility, 253 robustness, 58 rolling over, 13 rollover scheme, 29 root mean squared error (RMSE), 186 safety margins, 171 scaling laws, see stylized facts empirical, 177 scaling properties, 8 significance, 9 seasonality, 35, 44, 175 daily seasonality, 204 geographical seasonality, 181 ordinary seasonality, 214 seasonal heteroskedasticity, 175, 265 seasonal volatility, 174 weekly seasonality, 204 second position, 30 segmentation, 128 serial expiry contracts, 24 settlement rules, 12 Sharpe ratio, 305 short memory, 207 signal processing, 338 Singapore International Monetary Exchange, 24 skewness, 173 operator, 71 realized, 46 slippage, 32 speculative bubbles, 349 spot interest rates, 21 market, see market trading, 11 transaction, 23 spread average, 46, 172 bid-ask, 17, 19, 23, 40, 45, 91, 124, 125, 154, 170, 354 credit spread, 21 effective, 126 log, 45 quoted, 171 relative, 45 traded, 171 spurious persistence, 194 stability, 143 standard limit theory, 153 stochastic process, see model stock indices, 32 stock splits, 32 slop-loss deal, 301 stop-profit algorithm, 299 stringent filter, 302 structural change, 259 stylized facts, 2, 14, 121, 127 autocorrelation of return, 121 autocorrelation study, 161 bid-ask bounce, 124 bid-ask spread, 170 daily and weekly patterns, 122 deterministic volatility, 169 discreteness, 125 distribution of returns, 122 fat-tailed, 122 distributional issues, 121 distributional properties, 132 bounded distributions, 135 fat-tailed distributions, 135 thin-tailed distributions, 135 negative first-order autocorrelation of turns, 123 scaling laws, 122, 147 apparent scaling, 152 fat tails, 142 interquartile range, 150 limitations, 158 scaling properties, 121 seasonal heteroskedasticity, 122, 163 seasonal volatility, 163, 167 U-shaped, 167 seasonality, 121 subordinated process, 176 swap, 23 FX swap rates, 23 symmetry, 132 synthetic price, see price synthetic return, see return tail index, 6, 132, 135 statistics, 6 Taylor expansion, 62 technical analysis, 3, 14, 129 technological change, 8 temporal aggregation, 224 lest ex-ante test, 322 likelihood ratio, 7 Monte Carlo, 274
out-of-sample test, 249 ratio test, 192 tick, 1, 10 tick frequency, 37, 46 log, 46 tick time, 124 tick-by-tick, see data time horizon, 209, 210, 249, 307, 309 time scale, 8, 176 -scale, 255 !>-scale, see time scale, tf-time ?-time, 174, 176, 188 business, 174, 188, 225 tick time, 124 variety of time scales, 8 time stamp, 10, 15 trading horizon (trader class), 198 day trader, 199 intraday trader, 199 long-term trader, 199 market maker, 199 short-term trader, 199 trading hours, 174, 299, 327 trading model, 295 current price, 302 current return, 300 gearing calculator, 301 market constraints, 299 performance calculator, 297 performance measures, 304 Reff, 307 Xeff, 305 Sharpe ratio, 305 portfolios, 338 real-time trading models, 296, 310, 323 real-time trading strategics, 297 recommendation maker, 301 simulated trader, 297, 303 bookkeeper, 303 opportunity catcher, 303 stop-loss deal, 301 stop-loss detector, 302 stop-loss price, 302 stop-profit algorithm, 299 stop-profit control, 302 symmetry properties, 315 testing procedures, 317 trading hours, see trading hours transaction costs, see transaction transaction clock, 176 costs, 170,295,325,331,333 price, 1, 15 volume, 46, 176 trust capital, see filter uncertainty, 154 undershooting, 28 Value-at-Risk (VaR), 6, 250 variable activity, 176 direction change indicator, 47 price, see price realized covariance, see covariance realized skewness, see skewness return, see return spread, see spread tick frequency, see tick volatility, see volatility vehicle currency, 19, 172 volatility annualized, 41 coarse volatility, 211 conditional heteroskedasticity, 198 daily volatility, 158 deterministic volatility, 170 expected volatility, 96 fine volatility, 211 historical, 41 implied, 43 model, 43 patterns, 176 realized volatility, 37, 41, 197, 248 bias, 154, 159, 198 bias correction, 202 volatility clustering, 122, 161, 198, 228 volatility ratio, 47, 192 wavelet, 193 multiscaling approach, 193 signal-to-noise ratio, 193 wavelet transform, 159 wavelet variance, 160 weekend effect, 172 Whites variance-covariance matrix estimation, 224 yield curve, 25 zero-sum game, 353
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