Cointegration is an extremely powerful statistical tool that, in a sense, generalizes correlation
to non-stationary time series. Cointegration allows simple estimation methods such as least …

Irritable bowel syndrome with diarrhoea (IBS‐D) and functional diarrhoea (FDr) are the two
major functional bowel disorders characterized by diarrhoea. In spite of their high prevalence…

This paper presents several applications of cointegration based trading strategies: a classic
index tracking strategy, a long-short equity market neutral strategy and a number of …

This paper examines, from a market efficiency perspective, the performance of a simple
dynamic equity indexing strategy based on cointegration. A consistent ‘abnormal’ return in …

Complex and lengthy endoscopic examinations like endoscopic ultrasonography and/or
endoscopic retrograde cholangiopancreatography benefit from deep sedation, due to an …

With institutional investors increasingly involved in alternative investments, portfolio optimisation
within a large universe of hedge funds has become a key area for research. This paper …

Equity hedge funds are thought to effectively operate market timing by implementing switching
strategies conditional on market circumstances. In this paper we use only the reported …

Background & Aims: Gastroesophageal reflux disease (GERD) is a common condition
present in daily practice with a wide range of clinical phenotypes. In this line, respiratory …

In the field of optimisation models for passive investments, we propose a general portfolio
construction model based on principal component analysis. The portfolio is designed to …

The general portfolio construction model described here is designed to replicate the first
principal component of a group of stocks instead of a traditional benchmark, thus capturing only …