Financial bubbles arise when the underlying asset's market price deviates from its fundamental value. Unlike other bubble tests that use time series data and assume a reduced-form process, we infer existence of nonparametrically using option data. Under no-arbitrage acknowledging constraints, can partially identify asset cross section European prices. In empirical analysis, obtain interval esti...

A new clockfeedthrough compensation scheme for switchedcurrent systems is proposed. The circuit cancels both the signal dependent and the constant clockfeedthrough term. It is shown that this concept can be used to derive various sample-and-hold circuits, depending on the desired clock frequency, accuracy, and power dissipation.

In this study a Multi-Objective Evolutionary System is used to predict the future tendency of assets price. Therefore, a framework using a Multi-Objective Genetic Algorithm (GA) in its core to optimize a set of Trading or Investment Strategies (TSs) was developed. The investigated framework is used to determine potential buy, sell or hold conditions in stock markets, aiming to yield high return...

In 1948, W. Hoeffding introduced a large class of unbiased estimators called U -statistics, defined as the average value of a real-valued m-variate function h calculated at all possible sets of m points from a random sample. In the present paper, we investigate the corresponding robust analogue which we call U -quantile-statistics. We are concerned with the asymptotic behavior of the sample p-q...

Cryptocurrencies such as Bitcoin (BTC) have seen a surge in value the recent past and appeared useful investment opportunity for traders. However, their short term profitability using algorithmic trading strategies remains unanswered. In this work, we focus on of BTC against euro yen an eight-year period seven algorithms over periods length 15 30 days. We use classical buy hold (BH) benchmark s...

We explored the application of a machine learning method, Logitboost, to automatically calibrate a trading model using different versions of the same technical analysis indicators. This approach takes advantage of boosting’s feature selection capability to select an optimal combination of technical indicators and design a new set of trading rules. We tested this approach with high frequency dat...

The Risk and Return Characteristics of the Buy Write Strategy on the Russell 2000 Index Using data from January 18, 1996 to November 16, 2006, we construct and evaluate returns on a buy-write strategy on the Russell 2000 index. The results demonstrate that the strategy has consistently outperformed the Russell 2000 index on a risk adjusted basis, when implemented with one month to expiration ca...