Abstract. Definitions from the theory of point processes are recalled. Models of intensity function paramaterization and maximum likelihood estimation from data are explored. Closed-form log-likelihood expressions are given for the Hawkes (unidimensional andmultidimensional)process, Autoregressive Conditional Duration(ACD), and Log-ACD models. The Autoregressive Conditional Intensity model is a...

In this paper we propose an approach to modelling non-linear conditionally heteroscedastic time series characterised by asymmetries in both the conditional mean and variance. This is achieved by combining a TAR model for the conditional mean with a Changing Parameters Volatility (CPV) model for the conditional variance. Empirical results are given for the daily returns of the S&P 500, NASDAQ co...

OBJECTIVE To examine the relation between coins ingested by children and the Dow Jones Industrial Average. DESIGN Observational study. Main outcome measures Total value of coins ingested and number of incidents of coins versus other objects swallowed, measured before and after the stock market crash of October 2008. RESULTS Eighteen objects, including 11 coins, were ingested (NASDAQ (numism...

We examine some basic data on the evolution of aggregate short interest, both during the dot-com era, and at other times in history. Total short interest moves in a countercyclical fashion. For example, short interest in NASDAQ stocks actually declines as the NASDAQ index approaches its peak. Moreover, this decline does not seem to reflect a substitution away from outright short-selling and tow...