The present paper analyzes the forecastability and tradability of volatility on the large S&P500 index and the liquid SPY ETF, VIX index and VXX ETN. Even though there is already a huge array of literature on forecasting high frequency volatility, most publications only evaluate the forecast in...

Multi-population mortality forecasting has become an increasingly important area in actuarial science and demography, as a means to avoid long-run divergence in mortality projection. This paper aims to establish a unified state-space Bayesian framework to model, estimate and forecast mortality...

We calculate the Shannon entropy of a time series by using the probability density functions of the characteristic sizes of the long-range correlated clusters introduced in [A. Carbone, G. Castelli, H.E. Stanley, Phys. Rev. E 69 (2004) 026105]. We define three different measures of the entropy...

We develop a method for the multifractal characterization of nonstationary time series, which is based on a generalization of the detrended fluctuation analysis (DFA). We relate our multifractal DFA method to the standard partition function-based multifractal formalism, and prove that both...

We propose a modified time lag random matrix theory in order to study time lag cross-correlations in multiple time series. We apply the method to 48 world indices, one for each of 48 different countries. We find long-range power-law cross-correlations in the absolute values of returns that...