After the stock market crash of October 19, 1987, interest in nonlinear dynamics, especially
deterministic chaotic dynamics, has increased in both the financial press and the academic …

When electrons are subject to a large external magnetic field, the conventional charge quantum
Hall effect 1 , 2 dictates that an electronic excitation gap is generated in the sample bulk, …

Chaos theory has touched on such fields as biology, cognitive science, and physics. By
providing a unified and complete explanation of new statistical methods that are useful for testing …

Hedge fund strategies typically generate option-like returns. Linear-factor models using
benchmark asset indices have difficulty explaining them. Following the suggestions in Glosten …

Following a review of the data and methodological difficulties in applying conventional
models used for traditional asset class indexes to hedge funds, this article argues against the …

This article estimates autoregressive conditionally heteroscedastic (ARCH) and generalized
ARCH (GARCH) models for five foreign currencies, using 10 years of daily data, a variety of …

… This paper updates the results of Fung and Hsieh (1997b) by adding two more years of
data. Between 1989 and 1997, the observable portfolio returned, on average, 15.5% per year, …

We use a comprehensive data set of funds‐of‐funds to investigate performance, risk, and
capital formation in the hedge fund industry from 1995 to 2004. While the average fund‐of‐…

The purpose of this article is to investigate whether daily changes in five major foreign
exchange rates contain any nonlinearities. Although the data contain no linear correlation, …

Using daily and monthly stock returns we find no convincing evidence that Federal Reserve
margin requirements have served to dampen stock market volatility. The contrary conclusion…