Forecasting Financial Markets: Exchange Rates, Interest Rates and Asset Management (Financial Economics and Quantitative Analysis Series) - Tapa dura

Dunis, Christian L.

 
9780471966531: Forecasting Financial Markets: Exchange Rates, Interest Rates and Asset Management (Financial Economics and Quantitative Analysis Series)
Tapa dura
ISBN 10: 0471966533 ISBN 13: 9780471966531
Editorial: Wiley, 1996

Sinopsis

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

"Sinopsis" puede pertenecer a otra edición de este libro.

Acerca del autor

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.

De la contraportada

Today? s financial markets are characterised by a large number of participants, with different appetites for risk, different time horizons, different motivations and reactions to unexpected news. The mathematical techniques and models used in the forecasting of financial markets have therefore grown ever more sophisticated as traders, analysts and investors seek to gain an edge on their competitors. Written by leading international researchers and practitioners, this book focuses on three major themes of today? s state of the art financial research: modelling with high frequency data, the information content of volatility markets, and applications of neural networks and genetic algorithms to financial time series. Forecasting Financial Markets includes empirical applications to present the very latest thinking on these complex techniques, 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

"Sobre este título" puede pertenecer a otra edición de este libro.

Editorial
Wiley
Año de publicación
1996
Idioma
Inglés
ISBN 10 
0471966533
ISBN 13 
9780471966531
Encuadernación
Tapa dura
Número de páginas
328
Contacto del fabricante
no disponible
Persona responsable
no disponible