Out to subscribers soon!

Quantitative Finance Volume 3 Issue 4 (August 2003)

Table of Contents:

Testing the Gaussian copula hypothesis for financial assets dependences - Y
Malevergne and D Sornette
(For abstract see http://stacks.iop.org/1469-7688/3/231)

The zero-capital approach to portfolio enhancement and overlay management -
Roger J Bowden
(For abstract see http://stacks.iop.org/1469-7688/3/251)

GARCH model selection criteria - Heather Mitchell and Michael D McKenzie
(For abstract see http://stacks.iop.org/1469-7688/3/262)

Vol-Bond: an analytical solution - Roberto Baviera
(For abstract see http://stacks.iop.org/1469-7688/3/285)

One-state variable binomial models for European-/American-style geometric
Asian options - Min Dai
(For abstract see http://stacks.iop.org/1469-7688/3/288)

The emergence of temporal correlations in a study of global economic
interdependence - Eric J Friedman, Simon Johnson and A S Landsberg
(For abstract see http://stacks.iop.org/1469-7688/3/296)

Risk trading, network topology and banking regulation - Stefan Thurner,
Rudolf Hanel and Stefan Pichler
(For abstract see http://stacks.iop.org/1469-7688/3/306)

Market heterogeneities and the causal structure of volatility - Paul E Lynch
and Gilles O Zumbach
(For abstract see http://stacks.iop.org/1469-7688/3/320)

Value at risk linear exponent (VARLINEX) forecasts - John Knight, Stephen
Satchell and Guoqiang Wang
(For abstract see http://stacks.iop.org/1469-7688/3/332)

Stocks, bonds and the investment horizon: a test of time diversification on
the French market - Gilles Sanfilippo
(For abstract see http://stacks.iop.org/1469-7688/3/345)

ALSO

'Bringing economics into the laboratory' - Tim Chapman profiles Vernon
Smith, Nobel Laureate, Economic sciences. (2002)

'Breaking down barriers' - Steven Shreve describes quantitative finance as
an interdepartmental activity at Carnegie Mellon University.

'Innovations in trading strategies' - Izzy Nelken and the speakers at the
pre-conference summit of ICBI's Global Derivatives and Risk Management 2003
event, outline their presentations.

'Simple trend-following strategies in currency trading' - Jessica James
discusses how simple trading rules, applied systematically, can yield
intriguing results.

'Taking the pulse of the economy', Zbigniew Struzik draws parallels between
two complex systems: That of the heart, as observed through the rate of the
 heatbeat, and the economy, measured by the stock index record.

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For a limited time only, FREE featured articles include:

"Financial networks with electronic transactions: modelling, analysis and
computations" - Anna Nagurney and Ke Ke (http://stacks.iop.org/1469-7688/3/71)

"The US 2000-2002 market descent: how much longer and deeper?" - Didier
Sornette and Wei-Xing Zhou (http://stacks.iop.org/1469-7688/2/468)

"The power of patience: a behavioural regularity in limit-order placement" -
Ilija Zovko and J Doyne Farmer (http://stacks.iop.org/1469-7688/2/387)

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Kind regards

Jacob
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
Jacob Bettany
Publisher
Quantitative Finance

Tel: +44 (0) 117 930 1124
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