Nonlinear Modelling of High Frequency Financial Time Series / Edition 1

Nonlinear Modelling of High Frequency Financial Time Series / Edition 1

by Christian L. Dunis
     
 

ISBN-10: 0471974641

ISBN-13: 9780471974642

Pub. Date: 07/16/1998

Publisher: Wiley

Nonlinear Modelling of High Frequency Financial Time Series Edited by Christian Dunis and Bin Zhou In the competitive and risky environment of today's financial markets, daily prices and models based upon low frequency price series data do not provide the level of accuracy required by traders and a growing number of risk managers. To improve results, more and more

…  See more details below

Overview

Nonlinear Modelling of High Frequency Financial Time Series Edited by Christian Dunis and Bin Zhou In the competitive and risky environment of today's financial markets, daily prices and models based upon low frequency price series data do not provide the level of accuracy required by traders and a growing number of risk managers. To improve results, more and more researchers and practitioners are turning to high frequency data. Nonlinear Modelling of High Frequency Financial Time Series presents the latest developments and views of leading international researchers and market practitioners, in modelling high frequency data in finance. Combining both nonlinear modelling and intraday data for financial markets, the editors provide a fascinating foray into this extremely popular discipline. This book evolves around four major themes. The first introductory section focuses on high frequency financial data. The second part examines the exact nature of the time series considered: several linearity tests are presented and applied and their modelling implications assessed. The third and fourth parts are dedicated to modelling and forecasting these financial time series.

Read More

Product Details

ISBN-13:
9780471974642
Publisher:
Wiley
Publication date:
07/16/1998
Series:
Financial Economics and Quantitative Analysis Series
Pages:
332
Product dimensions:
6.00(w) x 9.00(h) x 0.88(d)

Table of Contents

HIGH FREQUENCY MODELS IN FINANCE: MOTIVATIONS AND THEORETICAL ISSUES.

Modelling with High Frequency Data: A Growing Interest for Financial Economists and Fund Managers (M. Gavridis).

High Frequency Foreign Exchange Rates: Price Behavior Analysis and 'True Price' Models (J. Moody & L. Wu).

DETECTING NONLINEARITIES IN HIGH FREQUENCY DATA: EMPIRICAL TESTS AND MODELLING IMPLICATIONS.

Testing Linearity with Information-Theoretic Statistics and the Bootstrap (F. Acosta).

Testing for Linearity: A Frequency Domain Approach (J. Drunat, et al.).

Stochastic or Chaotic Dynamics in High Frequency Financial Data (D. Guégan & L. Mercier).

F-consistency, De-volatization and Normalization of High Frequency Financial Data (B. Zhou).

PARAMETRIC MODELS FOR NONLINEAR FINANCIAL TIME SERIES.

High Frequency Financial Time Series Data: Some Stylized Facts and Models of Stochastic Volatility (E. Ghysels, et al.).

Modelling Short-term Volatility with GARCH and HARCH Models (M. Dacorogna, et al.).

High Frequency Switching Regimes: A Continuous-time Threshold Process (R. Dacco' & S. Satchell).

Modelling Burst Phenomena: Bilinear and Autoregressive Exponential Models (J. Drunat, et al.).

NON-PARAMETRIC MODELS FOR NONLINEAR FINANCIAL TIME SERIES.

Application of Neural Networks to Forecast High Frequency Data: Foreign Exchange (P. Bolland, et al.).

An Application of Genetic Algorithms to High Frequency Trading Models: A Case Study (C. Dunis, et al.).

High Frequency Exchange Rate Forecasting by the Nearest Neighbours Method (H. Alexandre, et al.).

Index.

Read More

Customer Reviews

Average Review:

Write a Review

and post it to your social network

     

Most Helpful Customer Reviews

See all customer reviews >