Index

A

Accuracy, 250, 252, 254, 257–61
Active strategies, 174–81
Adverse selection, 313, 336
Agricultural commodity market, 382–3, 387
Akaike information criterion (AIC), 252–4, 335
Algorithm, definition, 438
Annualized cumulative gain (ACG), 255–61
Artificial neural networks (ANN), 249–61
benchmarking, 249–50, 257
forecasting accuracy, 250, 252, 254, 257–61
modelling procedure, 251–4
results, 255–61
Asset allocation, 113–20, 126, 377–8, 398–404
Asset pricing models, 112, 120, 155, 169, 171, 288
Asset returns, 153, 157–64
Asymmetric information, 312–13
Asymmetry:
in financial time series, 153–4
of stock returns, 154–5
Autocorrelation, 113, 288–9, 349
Autoregressive ...

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