Using data from July 1997 to July 2007, we examine if the FTSE index is affected by the past behavior of the DOW, DAX, NIKKEI, Hang Seng and Shanghai indices. We compare three different methods of estimating regression parameters. The results show that the FTSE lagged variable and the NIKKEI and DOW past performance are good indicators of the future performance of the FTSE. The models produce d...

The relationship between volatility and risk has been one of the main factors underlying the interest in volatility modelling. An important question for international diversification is whether shocks in one market influence, or have spillovers into, returns and volatility in other markets. This paper tests for the existence of volatility spillovers among the S&P 500, FTSE 100 and Nikkei 225 st...

In this paper we explore the specific role of randomness in financial markets, inspired by the beneficial role of noise in many physical systems and in previous applications to complex socio-economic systems. After a short introduction, we study the performance of some of the most used trading strategies in predicting the dynamics of financial markets for different international stock exchange ...

UNLABELLED The FtsEX protein complex has recently been proposed to play a major role in coordinating peptidoglycan (PG) remodeling by hydrolases with the division of bacterial cells. According to this model, cytoplasmic FtsE ATPase interacts with the FtsZ divisome and FtsX integral membrane protein and powers allosteric activation of an extracellular hydrolase interacting with FtsX. In the majo...

We present a new analysis of the FTSE and SP500 stock index log return series and provide evidence that they are not stationary. We then discover two time-varying linear combinations of the FTSE and SP500 series that are stationary and hence declare the two series to be costationary. The stationary combinations are themselves worthy of study using classical time series methods. The existence of...

We employ the Barberis, Shleifer and Wurgler (2004) methodology to investigate the impact of changes to the FTSE 100 index on return comovement over the 1992-2002 period. For FTSE stock inclusions the average increase in the beta coe¢ cient is 0.38 in univariate regressions for weekly returns and 0.60 in bivariate regressions that control for the return on non-FTSE stocks. Stocks deleted from t...