Forecasting Financial Markets

Exchange Rates, Interest Rates and Asset Management

AvChristian Dunis,Dunis

Inbunden, Engelska, 1996

Del i serien Financial Economics and Quantitative Analysis Series

1 579 kr

Beställningsvara. Skickas inom 5-8 vardagar. Fri frakt över 249 kr.

Beskrivning

Today s financial markets are characterised by a large number ofparticipants, with different appetites for risk, different timehorizons, different motivations and reactions to unexpected news.The mathematical techniques and models used in the forecasting offinancial markets have therefore grown ever more sophisticated astraders, analysts and investors seek to gain an edge on theircompetitors. Written by leading international researchers andpractitioners, this book focuses on three major themes of today sstate of the art financial research: modelling with high frequencydata, the information content of volatility markets, andapplications of neural networks and genetic algorithms to financialtime series. Forecasting Financial Markets includes empiricalapplications to present the very latest thinking on these complextechniques, including:* High frequency exchange rates * Intraday volatility * Autocorrelation and variance ratio tests * Conditional volatility * GARCH processes * Chaotic systems * Nonlinearity * Stochastic and EXPAR models * Artificial neural networks * Genetic algorithms

Produktinformation

Utgivningsdatum:1996-08-29
Mått:156 x 233 x 24 mm
Vikt:624 g
Format:Inbunden
Språk:Engelska
Serie:Financial Economics and Quantitative Analysis Series
Antal sidor:328
Förlag:John Wiley & Sons Inc
ISBN:9780471966531

Utforska kategorier

Mikroekonomi inom Ekonomi och Ledarskap
Finansiering inom Ekonomi och Ledarskap

Mer om författaren

Christian Dunis is Executive Vice President, Global Head of Markets Research at Banque Nationale de Paris, France. BNP's Markets Research Group covers foreign exchange and fixed income strategies, quantitative market research and quantitative trading. Its 23-strong research staff is spread between London, Paris and Singapore.

Innehållsförteckning

Partial table of contents: MODELLING WITH HIGH FREQUENCY DATA. Forecasting Foreign Exchange Rates Subject to De-Volatilization (B.Zhou). Dynamic Strategies: A Correlation Study (E. Acar & P.Lequeux). THE INFORMATIONAL CONTENT OF VOLATILITY MARKETS. Using Option Prices to Estimate Realignment Probabilities in theEuropean Monetary System (A. Malz). Efficiency Test with Overlapping Data: An Application to theCurrency Options Market (C. Dunis & A. Keller). APPLICATIONS OF NEURAL NETWORKS AND GENETIC ALGORITHMS. The Use of Error Feedback Terms in Neural Network Modelling ofFinancial Time Series ( A. Burgess & A. Refenes). An Evolutionary Algorithm for Portfolio Selection within a DownsideFramework ( A. Loraschi & A. Tettamanzi). Index.