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widely used in finance since it is about decision taking in a random environment. Option replication, portfolio construction, intraday trading are typical applications of stochas…
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High frequency (or ultra high frequency) data cannot be used as continuous regularly sampled time series to build estimators of: volatility, traded volumes, correlations, etc...
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A market anomaly (or market inefficiency) is a price and/or rate of return distortion on a financial market that seems to contradict the efficient-market hypothesis, as conceived by Fama (1970) in his…
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Financial ratio analysis
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An active management portfolio strategy that rebalances the percentage of assets held in various categories in order to take advantage of market pricing anomalies or strong market sectors.