Concept

Spéculation sur séance

Publications associées (35)

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An Algorithm for Testing the Efficient Market Hypothesis

Ioana Andreea Boboc

The objective of this research is to examine the efficiency of EUR/USD market through the application of a trading system. The system uses a genetic algorithm based on technical analysis indicators such as Exponential Moving Average (EMA), Moving Average C ...

Public Library of Science2013

DBToaster: Higher-order Delta Processing for Dynamic, Frequently Fresh Views

Christoph Koch, Amir Shaikhha, Milos Nikolic, Daniel Lupei, Andres Nötzli, Yanif Ahmad

Applications ranging from algorithmic trading to scientific data analysis require realtime analytics based on views over databases receiving thousands of updates each second. Such views have to be kept fresh at millisecond latencies. At the same time, thes ...

2013

A Robust Meta-Game for Climate Negotiations

Marc Vielle, Frédéric Louis François Babonneau, Alain Haurie

This paper deals with an application of the robust equilibrium concept in game theory to the assessment of the possible international agreement on climate that could be achieved in the conference of the parties negotiations organized by the UNFCCC. It is s ...

Springer Verlag2013

Demystifying Rational Financial Decision-Making

Anjali Devi Vanapilli Nursimulu

Is the human brain wired for wealth? The setting is the high-velocity financial environment. Undoubtedly, the development of sophisticated derivative instruments has improved the allocation of risk across economies, highlighting the nexus between banking a ...

EPFL2011

Agile Views in a Dynamic Data Management System

Christoph Koch, Yanif Ahmad

This paper calls for a new breed of lightweight systems - dynamic data management systems (DDMS). In a nutshell, a DDMS manages large dynamic data structures with agile, frequently fresh views, and provides a facility for monitoring these views and trigger ...

2011

Does information drive trading in option strategies?

Rüdiger Fahlenbrach

We study trading in option strategies in the FTSE-100 index market. Trades in option strategies represent around 37% of the total number of trades and over 75% of the total trading volume in our sample. We find some evidence that order flow in volatility-s ...

Elsevier2010

Mutual fund portfolio choice in the presence of dynamic ﬂows

Julien Hugonnier

We analyze the implications of dynamic flows on a mutual fund's portfolio decisions. In our model, myopic investors dynamically allocate capital between a riskless asset and an actively managed fund which charges fraction-of-fund fees. The presence of dyna ...

2010

An Extension of ETF Arbitrage to Sector Trading Using ANN

Utkarsh Upadhyay, Ramnik Arora

We design and deploy a trading strategy that mirrors the Exchange Traded Fund (ETF) arbitrage technique for sector trading. Artiﬁcial Neural Networks (ANNs) are used to capture pricing relationships within a sector using intra-day trade data. The fair pric ...

2009

How to evaluate the robustness of airlines schedules

Niklaus Eggenberg

Airlines schedules are built such as to maximize expected profit. Such schedules turn out to be more sensitive to delays and are hence unstable. The trend has thus evolved towards robust schedules, trading off between sensitivity with respect to disruption ...

2009

Concurrency and dynamic protocol update for group communication middleware

Olivier Rütti

The last three decades have seen computers invading our society: computers are now present at work to improve productivity and at home to enlarge the scope of our hobbies and to communicate. Furthermore, computers have been involved in many critical system ...

EPFL2009