In the current financial crisis, promoting rapid developments of gold industry, ensuring healthy operations of national economy, and actively developing the gold futures market are very important. Functioning of the gold futures market will determine the gold market maturity and integrity. Risk transfer is one of the two basic functions of futures market. The risk transfer function is realized ...

Most methods for decision-theoretic online learning are based on the Hedge algorithm, which takes a parameter called the learning rate. In most previous analyses the learning rate was carefully tuned to obtain optimal worst-case performance, leading to suboptimal performance on easy instances, for example when there exists an action that is significantly better than all others. We propose a new...

We measure dynamic risk exposure of hedge funds to various risk factors during different market volatility conditions using the regime-switching beta model. We find that in the high-volatility regime (when the market is rolling-down) most of the strategies are negatively and significantly exposed to the Large-Small and Credit Spread risk factors. This suggests that liquidity risk and credit ris...

In this paper, we present a machine learning approach that detects hedge cues and their scope in biomedical texts. Identifying hedged information in texts is a kind of semantic filtering of texts and it is important since it could extract speculative information from factual information. In order to deal with the semantic analysis problem, various evidential features are proposed and integrated...

We extend the regular model checking framework so that it can handle systems with arbitrary width tree-like structures. Configurations of a system are represented by trees of arbitrary arities, sets of configurations are represented by regular hedge automata, and the dynamics of a system is modeled by a regular hedge transducer. We consider the problem of computing the transitive closure T + of...

H edge funds often make headlines because of spectacular losses or spectacular gains. In September 2006, a large hedge fund, Amaranth, reported losses of more than $6 billion apparently incurred in only one month, representing a negative return over that month of roughly 66 percent. Earlier in the year, newspapers focused on the $1.4 billion compensation in 2005 of hedge fund manager Boone Pick...

During the recent financial crisis, more than 30% of hedge fund managers used their discretion to restrict investor liquidity through the use of “gates” or “side pockets.” Using a database of hedge fund investor interests, this paper is the first to empirically examine the determinants of these discretionary liquidity restrictions (DLRs) and their consequences for hedge fund investors. We find ...

In this paper we study the possible role of managed futures in portfolios of stocks, bonds, and hedge funds. We find that allocating to managed futures allows investors to achieve a very substantial degree of overall risk reduction at, in terms of expected return, relatively limited costs. Apart from their lower expected return, managed futures appear to be more effective diversifiers than hedg...

This paper compares the performance of artificial neural networks (ANNs) with that of the modified Black model in both pricing and hedging Short Sterling options. Using high frequency data, standard and hybrid ANNs are trained to generate option prices. The hybrid ANN is significantly superior to both the modified Black model and the standard ANN in pricing call and put options. Hedge ratios fo...