Forecasting Financial Markets

Partial table of contents: MODELLING WITH HIGH FREQUENCY DATA. Forecasting Foreign Exchange Rates Subject to De-Volatilization (B. Zhou). Dynamic Strategies: A Correlation Study (E. Acar & P. Lequeux). THE INFORMATIONAL CONTENT OF VOLATILITY MARKETS. Using Option Prices to Estimate Realignment Probabilities in the European Monetary System (A. Malz). Efficiency Test with Overlapping Data: An Application to the Currency Options Market (C. Dunis & A. Keller). APPLICATIONS OF NEURAL NETWORKS AND GENETIC ALGORITHMS. The Use of Error Feedback Terms in Neural Network Modelling of Financial Time Series ( A. Burgess & A. Refenes). An Evolutionary Algorithm for Portfolio Selection within a Downside Framework ( A. Loraschi & A. Tettamanzi). Index.

Christian Dunis is Executive Vice President, Global Head of Markets Research at Banque Nationale de Paris, France. BNP's Markets Research Group covers foreign exchange and fixed income strategies, quantitative market research and quantitative trading. Its 23-strong research staff is spread between London, Paris and Singapore.