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Economics and Finance (R0)

Valeriy Zakamulin

Javier Giner

The Ultimate Moving Average Handbook

Bringing Science into the Art of Trend Following

&lt;p class="MsoNormal" style="margin-bottom: .0001pt; text-align: justify; line-height: 150%; mso-layout-grid-align: none; text-autospace: none;"&gt;&lt;strong&gt;&lt;span style="font-size: 10.0pt; line-height: 150%; font-family: TeXGyreTermesX-Bold; mso-bidi-font-family: TeXGyreTermesX-Bold;"&gt;1. Introduction.- Part I MOVING AVERAGES AND TREND-FOLLOWING TRADING RULES.- 2. Basics of Moving Averages.- 3. Trend-Following Trading Rules and Their Anatomy.- Part II QUANTITATIVE ASSESSMENT OF TRADING RULES.- 4. Quantifying Key Properties of Trend-Following Rules.- 5. &lt;span style="mso-spacerun: yes;"&gt;&amp;nbsp;&lt;/span&gt;Exploring Properties of Rules Based on Conventional Moving Averages.- 6. Uncovering the Optimal Trading Rule.- 7. Exploring How Negative Weights Impact Trading Rule Properties.- Part III EXOTIC MOVING AVERAGES AND DIGITAL FILTERS.- 8. Moving Averages with Enhanced Smoothness.- 9. &lt;span style="mso-spacerun: yes;"&gt;&amp;nbsp;&lt;/span&gt;Moving Averages With Reduced Lag Time.- 10. A Digital Signal Processing Approach to Moving Averages.- Part IV ADVANCED TOPICS.- 11. Optimal Trend Following Under General Persistent Return Process.- 12. Optimal Trend Following Rules in Two-State Regime-Switching Models.- 13 Profitability of Suboptimal Trend-Following Rules.- 14. Optimal Trading Frequency for Trend-Following Strategies.- Part V END OF PART IV.- 15 Summary and Conclusions.&lt;/span&gt;&lt;/strong&gt;&lt;/p&gt;

Evolutionary Economics and Social Complexity Science

This is the first book to present a new approach of institutional design as an evolutionary applied policy based on coherent conceptualization and methodology, and to study the actuality and implications of diversifying real/virtual community currencies. In contrast to a de facto standard theory, an institutional ecosystem can be composed of various institutions that continue to coexist with changing relative frequencies. In this view, diversified monetary institutions with local rules are feasible and realistic. Community currencies are worldwide attempts to redress such problems as financial instability, chronic stagnation, and decline of communities caused by globalization of the economy. Considering those alternative movements as a new type of policy, "evolutionist institutional design", this book clarifies the feasibility and significance of community currencies in the current era of globalization. The book also provides a better understanding than mainstream approaches of such platform institutions as money that determine fundamental means of cognition and action of interacting agents. Money is a symbolically generalized communication medium in the mesodomain that mediates between socioeconomic performance and patterns in the macrodomain and motives and cognitive frameworks in the microdomain. Conventional national systems of money and finance are platform institutions that determine basic replicators for a capitalistic market economy to evolve. In contrast, community currencies conveying both economic and social/cultural values are distinct platform institutions that are expected to endogenously change such basic replicators in outer and inner institutions for agents to a noncapitalistic market economy. These currencies are considered target institutions for "media design" in the framework of evolutionist institutional design.

This is the first book to present a new approach of institutional design as an evolutionary applied policy based on coherent conceptualization and methodology, and to study the actuality and implications of diversifying real/virtual community currencies. In contrast to a de facto standard theory, an institutional ecosystem can be composed of various institutions that continue to coexist with changing relative frequencies. In this view, diversified monetary institutions with local rules are feasible and realistic. Community currencies are worldwide attempts to redress such problems as financial instability, chronic stagnation, and decline of communities caused by globalization of the economy. Considering those alternative movements as a new type of policy, “evolutionist institutional design”, this book clarifies the feasibility and significance of community currencies in the current era of globalization. The book also provides a better understanding than mainstream approaches of such platform institutions as money that determine fundamental means of cognition and action of interacting agents. Money is a symbolically generalized communication medium in the mesodomain that mediates between socioeconomic performance and patterns in the macrodomain and motives and cognitive frameworks in the microdomain. Conventional national systems of money and finance are platform institutions that determine basic replicators for a capitalistic market economy to evolve. In contrast, community currencies conveying both economic and social/cultural values are distinct platform institutions that are expected to endogenously change such basic replicators in outer and inner institutions for agents to a noncapitalistic market economy. These currencies are considered target institutions for “media design” in the framework of evolutionist institutional design.

An Evolutionist Institutional Design Approach

Community Currency

Classroom Companion: Economics

This textbook provides a comprehensive and accessible guide to solving heterogeneous agent models in Economics and Finance, building upon representative agent frameworks. Designed for advanced master's students, Ph.D. candidates, and researchers, it systematically introduces the numerical tools and methods required to solve these models, addressing both idiosyncratic and aggregate risk.

The book is structured in two parts, covering both discrete and continuous time frameworks. Part I focuses on discrete time, introducing foundational concepts such as stochastic optimal control theory and numerical dynamic programming. It covers key computational techniques, including value function iteration, the endogenous gridpoint method, and methods for handling inequality constraints. These tools are then extended to heterogeneous agent models, exploring their mechanics, the law of motion of the agents' distribution, stationary equilibria, transition dynamics, and aggregate risk. Notable models, such as Huggett (1993), Aiyagari (1994), and Krusell-Smith (1998), are thoroughly examined and solved with step-by-step numerical algorithms and visualizations.

Part II transitions to continuous time, enabling the incorporation of more sophisticated stochastic processes. Topics include dynamic programming in continuous time, diffusion and jump diffusion processes, and the numerical methods-such as finite upwind difference schemes-needed to solve these models.

With a step-by-step approach, this textbook bridges the gap between representative and heterogeneous agent models, providing clear visualizations, numerical algorithms, and solution techniques. Readers will gain not only the computational skills to implement these models but also the insight to select the appropriate framework for their research objectives.

This textbook provides a comprehensive and accessible guide to solving heterogeneous agent models in Economics and Finance, building upon representative agent frameworks. Designed for advanced master’s students, Ph.D. candidates, and researchers, it systematically introduces the numerical tools and methods required to solve these models, addressing both idiosyncratic and aggregate risk.The book is structured in two parts, covering both discrete and continuous time frameworks. Part I focuses on discrete time, introducing foundational concepts such as stochastic optimal control theory and numerical dynamic programming. It covers key computational techniques, including value function iteration, the endogenous gridpoint method, and methods for handling inequality constraints. These tools are then extended to heterogeneous agent models, exploring their mechanics, the law of motion of the agents’ distribution, stationary equilibria, transition dynamics, and aggregate risk. Notable models, such as Huggett (1993), Aiyagari (1994), and Krusell-Smith (1998), are thoroughly examined and solved with step-by-step numerical algorithms and visualizations.Part II transitions to continuous time, enabling the incorporation of more sophisticated stochastic processes. Topics include dynamic programming in continuous time, diffusion and jump diffusion processes, and the numerical methods—such as finite upwind difference schemes—needed to solve these models.With a step-by-step approach, this textbook bridges the gap between representative and heterogeneous agent models, providing clear visualizations, numerical algorithms, and solution techniques. Readers will gain not only the computational skills to implement these models but also the insight to select the appropriate framework for their research objectives.

Numerical Solutions and Applications in Economics and Finance

Mastering Heterogeneous Agent Models

Feel confident buying and selling stocks in any type of market Trading stocks, bonds, currencies, and commodities can be a rewarding way to grow your wealth, but success depends on knowing when to buy and when to sell. Trading For Dummies, 6th Edition is your friendly guide that focuses mostly on position trading, a strategy that involves analyzing a company's performance, studying trends and key indicators, and holding stocks longer than day traders to benefit from long-term capital gains. You'll get access to sample stock charts that show you how to spot opportunities, along with position trading tips and techniques you can put to work right away. Learn how to build detailed watch lists, identify strong candidates for your portfolio, and analyze trends and indicators using fresh approaches. This book covers due diligence strategies and helps you build a more aggressive portfolio with confidence. Inside: <ul> <li>Discover how position trading differs from day trading and swing trading and why that matters for you</li> <li>Build effective watch lists to carefully track and identify the strongest stock candidates for your portfolio</li> <li>Explore practical techniques for reading stock charts and spotting trends before you decide to buy or sell</li> <li>Get actionable tips on analyzing key indicators and performing thorough due diligence on your potential trades</li> <li>Find strategies for managing risk and making confident, smart decisions in both up and down markets</li> <li>Understand how AI makes an impact</li> </ul> Whether you're just getting started or looking to sharpen your trading skills, this Dummies guide gives you the tools and confidence to trade wisely. From building watch lists to reading stock charts, you'll have what you need. Time to make your move!

Trading For Dummies

Economics, Law, and Institutions in Asia Pacific

This book states that inequality has become one of central policy issues across the world. The authors study trends of inequality in earnings, income, and wealth across households in Japan, using the National Survey of Family Income and Expenditure (NSFIE) from 1984 to 2014. Inequality in earnings, income, and wealth all increased during the last three decades. Changes in earnings and income inequality were mostly driven by demographic aging and a shift of the population to the elderly, who tend to have higher inequality. The wealth inequality rose not only in the aggregate but also among the young, and this is due to a major increase in the fraction of households who own zero or very low wealth across all age groups, rather than an increase in the concentration of wealth in the top as in some other countries such as the USA. Critical factors in understanding inequality trends in Japan that we identified are aging demographics, changes in the household structure, and macroeconomic trends of the past decades including the financial bubble period and a decades-long slow-down thereafter.

This book states that inequality has become one of central policy issues across the world. We study trends of inequality in earnings, income, and wealth across households in Japan, using the National Survey of Family Income and Expenditure (NSFIE) from 1984 to 2014. Inequality in earnings, income, and wealth all increased during the last three decades. Changes in earnings and income inequality were mostly driven by demographic aging and a shift of the population to the elderly, who tend to have higher inequality. The wealth inequality rose not only in the aggregate but also among the young, and this is due to a major increase in the fraction of households who own zero or very low wealth across all age groups, rather than an increase in the concentration of wealth in the top as in some other countries such as the USA. Critical factors in understanding inequality trends in Japan that we identified are aging demographics, changes in the household structure, and macroeconomic trends of the past decades including the financial bubble period and a decades-long slow-down thereafter.

Distributions of Earnings, Income and Wealth

Dimensions of Inequality in Japan

Every year, Wall Street rediscovers its superstitions. The Super Bowl predicts the market. Hemlines forecast recessions. Mercury slips into retrograde and traders flinch. A swimsuit cover moves billions. These indicators travel through financial media, trading desks, and investor newsletters with the authority of received wisdom - and almost none of them survive a rigorous test.
In Market Myths and Mathematical Realities, Luigi Pascal Rondanini - a treasury consultant and trader with thirty-nine years of market experience - puts fourteen of the most persistent market indicators on the dissection table and runs the numbers the way they should have been run all along. Using hypothesis testing, Bayesian analysis, Monte Carlo simulation, and compounded after-tax backtesting, he examines each indicator against the same ten-question framework: Does it have a track record? Is the pattern statistically significant? Does a causal mechanism exist? Can you actually trade it after costs and taxes?
The results are unsparing. Some indicators collapse at the first significance test - pure data mining dressed as insight. Others show genuine historical patterns that have since arbitraged away as markets adapted and capital flooded in. A few stubbornly survive scrutiny in ways that demand explanation. One - the Halloween Effect, the "Sell in May and Go Away" seasonal pattern - passes approximately seven to eight of the ten criteria, with more than two hundred years of supporting evidence across the majority of markets tested globally. Even this survivor comes with serious implementation caveats. None deliver the easy money their believers promise.
The book is structured for three audiences simultaneously. Casual readers follow the main analysis through each chapter - written in plain language with clear verdicts. Quantitatively sophisticated readers go deeper in dedicated "Professional Deep Dive" sections covering statistical methodology, regression analysis, and formal significance testing. Academic readers will find 603 footnotes anchoring every empirical claim to primary data sources including CRSP, S&amp;P Dow Jones Indices, the Fama-French Data Library, and peer-reviewed literature in the Journal of Finance, the American Economic Review, and beyond.
The indicators examined include: The Super Bowl Indicator, The Hemline Index, The Sports Illustrated Swimsuit Issue Indicator, The Hindenburg Omen, The January Effect, The Presidential Election Cycle, Sell in May and Go Away, Financial Astrology, Lunar Cycle Trading, Mercury Retrograde, The Santa Claus Rally, The Magazine Cover Indicator, The Day of the Week Effect - and more.
The deeper lesson running beneath each chapter is not cynicism but calibration. Markets are complex adaptive systems where successful strategies can undermine themselves through adoption, where patterns can be simultaneously real and unexploitable, and where the gap between statistical significance and economic significance swallows most anomalies whole. Understanding why myths persist - and why even experienced investors remain susceptible - is as valuable as the verdicts themselves.
Rigorous enough for the quant. Readable enough for the curious investor. Before you trade on a hunch, do the math.

Market Myths and Mathematical Realities

SpringerBriefs in Regional Science

This book analyzes regional business cycles in Latin America. The authors explain the nature of regional business cycles and discuss different sources of regional economic fluctuations such as technology changes, natural disasters, or supply and demand shocks. Presenting case studies on Brazil, Chile and Mexico, the authors examine the co-movement of regional business cycles as well as the differing responses of regional economies to external shocks due to regional characteristics such as availability of natural resources, and the degree of integration into national and global markets. This short book appealto students and scholars as well as policy makers interested in regional growth processes in developing countries.

This book analyzes regional business cycles in Latin America. The authors explain the nature of regional business cycles and discuss different sources of regional economic fluctuations such as technology changes, natural disasters, or supply and demand shocks. Presenting case studies on Brazil, Chile and Mexico, the authors examine the co-movement of regional business cycles as well as the differing responses of regional economies to external shocks due to regional characteristics such as availability of natural resources, and the degree of integration into national and global markets. This short book appealto students and scholars as well as policy makers interested in regional growth processes in developing countries.

A Sub-National Analysis of Economic Fluctuations

Regional Business Cycles in Mexico, Brazil, and Chile

This book examines the political economy of terrorism from a quantitative perspective. With a particular focus on India, it explores the different forms of terrorism, including contested sovereignty, revolutionary change, and secessionist movements. By evaluating terrorist activity in India over the last 20 years and comparing it with other areas that have seen political violence, the key drivers of terrorism are highlighted. The policy and economic responses to terrorism are then evaluated to consider the effectiveness of both deterrence-based and grievance-removing approaches to reducing terrorism.
This book presents a detailed and considered analysis of the causes and responses to terrorism. It will be relevant to students, researchers, and policymakers interested in political economy.
Vani Kant Borooah is Emeritus Professor of Economics at the University of Ulster.

A Quantitative Analysis for India

The Political Economy of Terrorism

Lecture Notes in Economics and Mathematical Systems

This textbook provides a comprehensive introduction to computational methods for analyzing dynamic economic systems, bridging the gap between theory and real-world applications.The book covers a wide range of topics in both microeconomic and macroeconomic dynamics, offering clear explanations of complex concepts through practical examples and case studies. It introduces fundamental tools like differential equations and applies them to key models, including the Solow-Swan and Ramsey growth models, Walrasian tâtonnement, as well as dynamic labor market and epidemic models. Readers will gain hands-on experience using popular tools such as R and Python, with step-by-step instructions for building, simulating, and visualizing economic models.The text stands out for its practical approach, equipping readers with the computational skills necessary to model real-world economic processes. By integrating theoretical insights with applied exercises, the book ensures that readers not only understand the underlying economic dynamics but also know how to implement and interpret these models.This book will be a key resource for both undergraduate and graduate students, as well as professionals seeking to apply computational methods to economic analysis. It is an indispensable guide for anyone aiming to deepen their understanding of dynamic economic modeling in both academic and professional contexts.

Theory and Applications

Computational Modeling of Economic Dynamics

Dynamic Pricing: Economics, Algorithms and Market Design

Crafting Strategies for Market Dominance

Options and Derivatives Mastery

Dieses Buch bietet eine prägnante und zugleich rigorose Einführung in die Wahrscheinlichkeitstheorie. Aus den möglichen Zugängen zum Thema wurde der modernste Ansatz auf Grundlage der Maßtheorie gewählt: Dieser Ansatz erfordert ein höheres Maß an mathematischer Abstraktion und Komplexität, ist jedoch unerlässlich, um fortgeschrittene Themen wie Stochastische Prozesse, Stochastische Differentialrechnung und Statistische Inferenz zu verstehen. Der vorliegende Text resultiert aus den Erfahrungen, die im Rahmen von Kursen für Wahrscheinlichkeitstheorie und angewandte Mathematik im Mathematikstudium an der Universität Bologna gewonnen wurden. Dieses Buch richtet sich an Studierende im zweiten oder dritten Jahr ihres Studiums in Mathematik, Physik oder einer anderen Naturwissenschaft und setzt Kenntnisse mehrdimensionaler Differential- und Integralrechnung voraus. Die vier Kapitel behandeln folgende Themen: Maße und Wahrscheinlichkeitsräume, Zufallsvariablen, Folgen von Zufallsvariablen und Grenzwertsätze, Erwartungswert und bedingte Verteilung. Außerdem&nbsp;beinhaltet dieses Buch&nbsp;eine umfangreiche Sammlung gelöster Übungen.

Zufallsvariablen und Verteilungen

Elementare Wahrscheinlichkeitstheorie I

This book explains the US mortgage market in plain language first, then the mathematics, then the AI now taking over the work. It follows eight people through the life of one loan - Jack the borrower, Maya the loan officer, Priya the servicer, Benny the dealer, Elena the investor, Peter the quant, Melissa the examiner, and Simon the retail saver - and every formula arrives attached to whoever uses it.

Nine chapters carry one thirty-year payment stream from a kitchen table to a trading desk. The early chapters build the mortgage: amortization, underwriting and credit, pooling, the prepayment conventions (SMM, CPR, PSA), and why the 2007 loans defaulted together. The middle chapters add the desk's machinery: SOFR discounting, DV01 and key rate durations, Itô's lemma and short-rate models, the prepayment option as a receiver swaption, and option-adjusted spread.

Machine learning runs alongside from the first chapter: each chapter before the last ends its theory with a bridge from the classical method to the learned one, from loan-level feature vectors and survival networks to neural SDEs. The last chapter puts it to work where it pays - hybrid models that keep an explainable baseline and learn only the residual, neural pricing surrogates that compute OAS and DV01 in real time, GPU numerics - and covers the governance a model validator will demand before any of it runs with money behind it.

Every chapter ends with a retail window, because agency MBS is probably already in your bond fund. Key results are measured on Fannie Mae's loan-level data, and every function the book names is in mortgagekit, its open-source Python companion.

Mortgage Markets in the Age of AI

The Ultimate Moving Average Handbook

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