Intro -- Title page -- Copyright -- Notes on Contributors -- Editors -- List of Contributors -- Preface -- Chapter 1 Trends and Trades -- 1.1 Introduction -- 1.2 A trend-based trading strategy -- 1.3 CUSUM timing -- 1.4 Example: Random walk on ticks -- 1.5 CUSUM strategy Monte Carlo -- 1.6 The...

Equity returns are addressed by a new General Auto-Regressive Asset Model (GARAM). In this model, two stochastic processes are employed to represent the return magnitude and return sign. Empirical auto-covariance and cross-covariance functions of the return magnitude and return sign are key...