We derive two risk adjusted performance measures for investors with risk averse preferences. Maximizing these measures is equivalent to maximizing the expected utility of an investor. The first measure, X(eff), is derivedassuming a constant risk aversion while the second measure, R(eff),is based...

In this paper we present both a new formulation of the HARCH process and a study of the forecasting accuracy of ARCH-type models for predicting short-term volatility. Using high frequency data, the market volatility is expressed in terms of partial volatilities which are formally exponential...

We perform a tail index estimation of financial asset returns in two markets: the foreign exchange market and the interbank market of cash interest rates. Thanks to the high-frequency of the data, we obtain good estimates of the tail indices and we are able to analyze their stability with time...

We discuss how maximum entropy methods may be applied to the reconstruction of Markov processes underlying empirical time series and compare this approach to usual frequency sampling. It is shown that, at least in low dimension, there exists a subset of the space of stochastic matrices for which...

We introduce an event based framework of directional changes and overshoots to map continuous financial data into the so-called Intrinsic Network - a state based discretisation of intrinsically dissected time series. Defining a method for state contraction of Intrinsic Network, we show that it...

We introduce an event based framework of directional changes and overshoots to map continuous financial data into the so-called Intrinsic Network - a state based discretisation of intrinsically dissected time series. Defining a method for state contraction of Intrinsic Network, we show that it...

We propose a model in which agents of a population interacting according to a network of contacts play games of coordination with each other and can also dynamically break and redirect links to neighbors if they are unsatisfied. As a result, there is co-evolution of strategies in the population...

Cooperation is a fundamental aspect of well-organized societies and public good games are a useful metaphor for modeling cooperative behavior in the presence of strong incentives to free ride. Usually, social agents interact to play a public good game through network structures. Here, we use...

The design of efficient large scale networks is a common problem in Operations Research. Some of those, such as electric power grids, transportation systems, communication networks, and others, must maintain their efficiency even after several failures, or malicious attacks. In this work, we...