This paper introduces an adaptive neuro-fuzzy inference system (ANFIS) for financial trading, which learns to predict price movements from training data consisting of intraday tick data sampled at high frequency. The empirical data used in our investigation are five-minute mid-price time series...

<heading id="h1" level="1" implicit="yes" format="display">Abstract</heading>I analyze the dynamic trading behavior of market participants by developing a bivariate modeling framework for describing the arrival process of buy and sell orders in a limit order book. The model contains an extended autoregressive conditional duration model with a flexible generalized...

Value-at-Risk (VaR) and Conditional-Value-at-Risk (CVaR) are popular risk measure in portfolio optimisation and market regulations. However, so far little research has been done on how these risk measures reduce the Basel III market risk capital requirements. This paper analyses the efficiency...

We analyze the impact of the real-estate/mortgage crisis on the dependence between the market for common stocks and returns on Real Estate Investment Trusts (REIT's), using a flexible mixed-copula approach. We find that the impact of the crisis on the levels of the tail dependence is very...