traders face this sort of joint inference problem, the risk of selecting the wrong features can spill over and distort how … even if traders themselves are fully rational. Moreover, I show how modeling feature-selection risk leads to additional … predictions that are outside the scope of noise-trader risk. For instance, to discover pricing errors as quickly as possible, a …

The objective of this book is to set up an economic quantitative model for the assessment of financial market risk. The … Measurement of Market Risk reviews the probabilistic modelling of so-called risk factors, which represent the uncertainty of … financial markets, and discusses the issue of risk as the perception of uncertainty by individuals when faced with a decision …