long memory

February 10, 2010

here is a website dedicated to long memory issue in various domain of research interest.  interesting articles includes under others, fractional, multifractionality. D Farmer a main contributor. an good illustration of HMM from model to metamodel: Rama Cont wrote a very readable overview of time series analysis here,  here is someone recently updated on this issue (interesting point maybe now calendar effect weakened in recent year). he coauthored with J.P. Bauchaud who run Capital Fund Management (largest french hedge fund). here is a ’93 interview on CFM with founder J.P. Anguliar, and ’09 story on his death, moral of the story: in long term gliding will kill you. CFM’s research archive here, particularly the random matrix theory in ’99 and ’07. see also this one. French risk manager has a distinctive taste for risk see this coppula in finance, correlation is only matters in extreme negative value, therefore the conventional mean-variance method is inadequate, see matlab toolbox.

work of Andrei Leonidov: market mill dependence, non-gaussian dependant pattern, long memory, non-Markovian nature.

well, work of benoit mandelbrot, and his yale website.

Ian Kaplan (his guy worked in Prediction for a while) digged out and digested Hurst’s original paper here. quote – ‘when comes to wavelet, i’m the guy with a hammer to whom every problem is a nail’

Dynamics approach, Joint PDF approach:

1) robust structure without predictability

2) the variation of certain speculative price

3) conditional probability as a measure of volatility clustering

4) price clustering and discreteness:is there chaos behind noise

5) conditional dynamics driving financial market

A Dias: using copula model short term dynamics in high frequency.

dependent structure paper

there is this whole fund industry which focused on fee, and there is this whole prop trading shops preaching ‘make money with us’ and rack up margins see this.


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