Jumps in high-frequency data and technical trading rules performance

La présente thèse se compose de deux articles. Le premier article introduit une technique pour éliminer les fausses détections de sauts dans les données haute fréquence, grâce à un seuillage explicite des statistiques de test existantes. En utilisant notre nouvelle méthodologie, nous étudions la dynamique des sauts dans les cours des actions du Dow Jones sur la période allant de 2006 à 2008. Finalement, nous examinons le lien entre les sauts et l'arrivée d'information, en analysant les annonces Reuters et DJNS. Le deuxième article réexamine le succès historique apparent des stratégies d'analyse technique appliquées aux prix journaliers des actions du Dow Jones entre 1897 et 2010, et utilise la FDR comme nouvelle approche pour tenir compte du data snooping. Nos tests de persistance montrent que, même équipé de notre nouvelle technique de sélection, un investisseur n'aurait pas été en mesure de sélectionner à l'avance les futures stratégies génératrices de performance

Technical trading revisited: False discoveries, persistence tests, and transaction costs

We revisit the apparent historical success of technical trading rules on daily prices of the DJIA index from 1897 to 2011, and use the False Discovery Rate as a new approach to data snooping. The advantage of the FDR over existing methods is that it selects more outperforming rules which allows diversifying against model uncertainty. Persistence tests show that, even with the more powerful FDR technique, an investor would never have been able to select ex ante the future best-performing rules. Moreover, even in-sample, the performance is completely offset by the introduction of low transaction costs. Overall, our results seriously call into question the economic value of technical trading rules that has been reported for early periods

Technical trading revisited: false discoveries, persistence tests, and transaction costs

We revisit the apparent historical success of technical trading rules on daily prices of the DJIA from 1897 to 2008. We use the False Discovery Rate as a new approach to data snooping. The advantage of the FDR over existing methods is that it selects more outperforming rules and diversifies against model uncertainty. Persistence tests show that an investor would never have been able to select ex ante the future best-performing rules. Moreover, even the in-sample performance is completely offset by the introduction of transactions costs. Overall, our results seriously call into question the economic value of technical trading rules

Technical Trading Revisited: False Discoveries, Persistence Tests, and Transaction Costs

We revisit the apparent historical success of technical trading rules on daily prices of the DJIA from 1897 to 2008. We use the False Discovery Rate as a new approach to data snooping. The advantage of the FDR over existing methods is that it selects more outperforming rules and di- versies against model uncertainty. Persistence tests show that an investor would never have been able to select ex ante the future best-performing rules. Moreover, even the in-sample performance is completely oset by the introduction of transaction costs. Overall, our results seriously call into question the economic value of technical trading rules.Technical Trading, False Discovery Rate,Persistence, Transaction Costs.

High-frequency and high-dimensionality in Finance

The Thesis consists in two fundamental chapters: First, I analyze the presence of jumps in high-frequency financial series, with an extensive application to most liquid American equities. I develop a statistical test that formally treats the multiple testing issue and show, in substance, that discontinuities are much rarer events than previously thought. Second, I introduce a novel, scalable numerical pricing framework for American options under multi-factor models. I make use of adaptive sparse grids to alleviate the curse of dimensionality. My methodology offers a new direction for research in the pricing of derivative contracts with early-exercise features under models actually capable of fitting statistical properties of financial series

Symptomatologie et qualité de vie de patients transplantés rénaux de Suisse francophone ::une étude descriptive corrélationnelle

Introduction : Après une greffe rénale, les patients continuent à vivre avec des symptômes, pourtant peu étudiés jusqu’à présent en Suisse francophone. Méthode : Un devis descriptif corrélationnel transversal a été utilisé, afin d’explorer les relations entre les symptômes et le niveau de qualité de vie (QDV) de patients transplantés rénaux suivis au Centre de Transplantation d’Organes (CTO) du Centre Hospitalier Universitaire Vaudois (CHUV). Résultats : En moyenne, les symptômes les plus prévalents chez les participants (n = 76) étaient : manque d’énergie, sécheresse de la peau, difficultés d’endormissement, irritabilité, nervosité. Quatre-vingts pour cent des participants ont évalué leur QDV comme étant bonne, voire très bonne. Toutes les corrélations entre les symptômes et le niveau de QDV des participants étaient significatives et négatives. Les régressions ont révélé un lien persistant entre les symptômes et la dimension sociale de la QDV des participants. Conclusion : Malgré la transplantation, les patients expérimentent de nombreux symptômes, pouvant affecter leur QDV.Introduction : After a kidney transplant, patients continue to live with symptoms, although little studied so far in French-speaking Switzerland. Method : A cross-sectional correlational description of work was used to explore the relationship between symptoms and quality of life (QOL) of kidney transplant patients followed at the Organ Transplant Center of the Lausanne University Hospital. Results : On average, the most prevalent symptoms among participants (N = 76) were lack of energy, dry skin, difficulty falling asleep, irritability, nervousness. Eighty per cent of participants rated their QOL as good or very good. All correlations between symptoms and QOL level of participants were significant and negative. Regressions revealed a persistent link between symptoms and the social dimension of participants’ QOL. Conclusion : Despite transplantation, patients experience many symptoms, which can affect their QOL

Technical trading revisited: False discoveries, persistence tests, and transaction costs

a b s t r a c t We revisit the apparent historical success of technical trading rules on daily prices of the Dow Jones Industrial Average index from 1897 to 2011, and we use the false discovery rate (FDR) as a new approach to data snooping. The advantage of the FDR over existing methods is that it selects more outperforming rules, which allows diversifying against model uncertainty. Persistence tests show that, even with the more powerful FDR technique, an investor would never have been able to select ex ante the future best-performing rules. Moreover, even in-sample, the performance is completely offset by the introduction of low transaction costs. Overall, our results seriously call into question the economic value of technical trading rules that has been reported for early periods. & 2012 Elsevier B.V. All rights reserved. Introduction Whether technical trading rules can consistently generate profits, as opposed to just being lucky every now and then, is the subject of an ongoing debate. Practitioners have devoted significant resources to technical trading, which uses past price and volume data to infer future prices. A substantial segment of the investment industry employs indicators that include moving averages, support and resistance levels, and other filter rules. Technical indicators are as ubiquitous on professional information systems as on popular finance websites and online retail brokers. In spite of its popularity among practitioners, academics have long been skeptical about the merits of technical analysis. $ We would like to thank the editor and the referee for constructive criticism and numerous suggestions that have lead to substantial improvements over previous versions of the paper. We are grateful to M. Franscini-Scaillet for helping us to get the data on fund structure costs and futures trading costs via her industry contacts. We thank L. Barras, I