Applying a technical analysis trading system based on the moving average crossover rule for companies listed on the Bucharest Stock Exchange does not produce significant profits, but leads to consistent excess returns and lower risk versus the benchmark buy and hold strategy for a potential...

Speed matters: we show that an investor's optimal trading strategy is significantly different when he observes news faster than others versus when he does not, holding the precision of his signals constant. When the investor has fast access to news, his trades are much more sensitive to news,...

This paper presents a model of an order-driven market where fully strategic, symmetrically informed liquidity traders dynamically choose between limit and market orders, trading off execution price and waiting costs. In equilibrium, the bid and ask prices depend only on the numbers of buy and...

We discuss the application of a new test for nonlinearity for economic time series. We apply the test for several monthly unemployment series from the developed economies. We find nonlinearities in the unemployment for most of the European economies, but not for US, UK or Japan.

The multifractal spectrum of a time series can be ascertained with a number of techniques, some based on wavelets, others based on the much newer (multifractal) detrended fluctuation analysis (MF-DFA). We test for the presence of multifractality in daily data on selected exchange rates from...

In this paper we discuss the credit policy and how it affected the macroeconomic dynamics in Romania. We estimate a regression on quarterly data in which economic growth is the dependant variable and foreign direct investments and domestic credit are the explanatory variable. We found...

I use the Bayesian approach in order to derive an estimation of Okun coefficient for Romania. The data used is at quarterly frequency and it consists in the unemployment rate and GDP between 2000 and 2009. I use three different priors, a normal one, a beta prior and a uniform prior for the...

It is well-known that economic and financial time series are characterized by nonlinearities. The literature does not agree, however, on the actual causes of such nonlinearities. In this paper, I investigate whether dynamics at different frequencies present different degree of nonlinearity, and...

I compare the two alternative paradigms of business cycles for the case of the Romanian economy, namely the mainstream view that business cycles are driven by stochastic shocks and the nonlinear view, known as the endogenous business cycles theory, which states that business cycles are driven by...

The monthly data of the industrial production in Romania after the structural discontinuity occurring at the end of 1989 show an under-damped oscillatory behavior that suggests an evolution of second order systems excited by a step function. Since this behavior is well described in control...