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Sinopsis
This thesis presents a new strategy that unites qualitative and quantitative mass data in form of text news and tick-by-tick asset prices to forecast the risk of upcoming volatility shocks. Holger Kömm embeds the proposed strategy in a monitoring system, using first, a sequence of competing estimators to compute the unobservable volatility; second, a new two-state Markov switching mixture model for autoregressive and zero-inflated time-series to identify structural breaks in a latent data generation process and third, a selection of competing pattern recognition algorithms to classify the potential information embedded in unexpected, but public observable text data in shock and nonshock information. The monitor is trained, tested, and evaluated on a two year survey on the prime standard assets listed in the indices DAX, MDAX, SDAX and TecDAX.
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Acerca del autor
Dr. Holger Kömm is research associate at the chair of statistics and quantitative methods in the economics & business department of the Catholic University Eichstätt-Ingolstadt.
De la contraportada
This thesis presents a new strategy that unites qualitative and quantitative mass data in form of text news and tick-by-tick asset prices to forecast the risk of upcoming volatility shocks. Holger Kömm embeds the proposed strategy in a monitoring system, using first, a sequence of competing estimators to compute the unobservable volatility; second, a new two-state Markov switching mixture model for autoregressive and zero-inflated time-series to identify structural breaks in a latent data generation process and third, a selection of competing pattern recognition algorithms to classify the potential information embedded in unexpected, but public observable text data in shock and nonshock information. The monitor is trained, tested, and evaluated on a two year survey on the prime standard assets listed in the indices DAX, MDAX, SDAX and TecDAX.
Contents
•Integrated Volatility
•Zero-inflated Data Generation Processes
•Algorithmic Text Forecasting
Target Groups
•Teachers and students of economic science with a focus on financial econometrics<
•Executives and consultants in the field of business informatics and advanced statistics
About the Author
Dr. Holger Kömm is research associate at the chair of statistics and quantitative methods in the economics & business department of the Catholic University Eichstätt-Ingolstadt.
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Forecasting High-Frequency Volatility Shocks: An Analytical Real-Time Monitoring System
Publicado por
Springer Gabler, 2016
ISBN 10: 3658125950
ISBN 13: 9783658125950
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Condición: Good. This is an ex-library book and may have the usual library/used-book markings inside.This book has soft covers. In good all round condition. Library sticker on front cover. Please note the Image in this listing is a stock photo and may not match the covers of the actual item,400grams, ISBN:9783658125950. Nº de ref. del artículo: 3706581
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Forecasting High-Frequency Volatility Shocks
Publicado por
Springer Fachmedien Wiesbaden Feb 2016, 2016
ISBN 10: 3658125950
ISBN 13: 9783658125950
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Taschenbuch. Condición: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -This thesis presents a new strategy that unites qualitative and quantitative mass data in form of text news and tick-by-tick asset prices to forecast the risk of upcoming volatility shocks. Holger Kömm embeds the proposed strategy in a monitoring system, using first, a sequence of competing estimators to compute the unobservable volatility; second, a new two-state Markov switching mixture model for autoregressive and zero-inflated time-series to identify structural breaks in a latent data generation process and third, a selection of competing pattern recognition algorithms to classify the potential information embedded in unexpected, but public observable text data in shock and nonshock information. The monitor is trained, tested, and evaluated on a two year survey on the prime standard assets listed in the indices DAX, MDAX, SDAX and TecDAX. 204 pp. Englisch. Nº de ref. del artículo: 9783658125950
Cantidad disponible: 2 disponibles
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Forecasting High-Frequency Volatility Shocks : An Analytical Real-Time Monitoring System
Publicado por
Springer Fachmedien Wiesbaden, 2016
ISBN 10: 3658125950
ISBN 13: 9783658125950
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Librería: AHA-BUCH GmbH, Einbeck, Alemania
Calificación del vendedor: 5 de 5 estrellas
Taschenbuch. Condición: Neu. Druck auf Anfrage Neuware - Printed after ordering - This thesis presents a new strategy that unites qualitative and quantitative mass data in form of text news and tick-by-tick asset prices to forecast the risk of upcoming volatility shocks. Holger Kömm embeds the proposed strategy in a monitoring system, using first, a sequence of competing estimators to compute the unobservable volatility; second, a new two-state Markov switching mixture model for autoregressive and zero-inflated time-series to identify structural breaks in a latent data generation process and third, a selection of competing pattern recognition algorithms to classify the potential information embedded in unexpected, but public observable text data in shock and nonshock information. The monitor is trained, tested, and evaluated on a two year survey on the prime standard assets listed in the indices DAX, MDAX, SDAX and TecDAX. Nº de ref. del artículo: 9783658125950
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Forecasting High-Frequency Volatility Shocks: An Analytical Real-Time Monitoring System
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Forecasting High-Frequency Volatility Shocks
Publicado por
Springer Fachmedien Wiesbaden, 2016
ISBN 10: 3658125950
ISBN 13: 9783658125950
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Librería: moluna, Greven, Alemania
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Condición: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Dr. Holger Koemm is research associate at the chair of statistics and quantitative methods in the economics & business department of the Catholic University Eichstaett-Ingolstadt. Integrated Volatility.- Zero-inflated Data Generation Pr. Nº de ref. del artículo: 112604445
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Forecasting High-Frequency Volatility Shocks: An Analytical Real-Time Monitoring System
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Forecasting High-Frequency Volatility Shocks: An Analytical Real-Time Monitoring System
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Forecasting High-Frequency Volatility Shocks: An Analytical Real-Time Monitoring System
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Springer Gabler 2016-03-11, 2016
ISBN 10: 3658125950
ISBN 13: 9783658125950
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Forecasting High-frequency Volatility Shocks: An Analytical Real-time Monitoring System
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Paperback. Condición: Brand New. 204 pages. 8.00x5.75x0.50 inches. In Stock. Nº de ref. del artículo: x-3658125950
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Forecasting High-Frequency Volatility Shocks
Publicado por
Springer Fachmedien Wiesbaden, Springer Fachmedien Wiesbaden Feb 2016, 2016
ISBN 10: 3658125950
ISBN 13: 9783658125950
Nuevo
Taschenbuch
Librería: buchversandmimpf2000, Emtmannsberg, BAYE, Alemania
Calificación del vendedor: 5 de 5 estrellas
Taschenbuch. Condición: Neu. Neuware -This thesis presents a new strategy that unites qualitative and quantitative mass data in form of text news and tick-by-tick asset prices to forecast the risk of upcoming volatility shocks. Holger Kömm embeds the proposed strategy in a monitoring system, using first, a sequence of competing estimators to compute the unobservable volatility; second, a new two-state Markov switching mixture model for autoregressive and zero-inflated time-series to identify structural breaks in a latent data generation process and third, a selection of competing pattern recognition algorithms to classify the potential information embedded in unexpected, but public observable text data in shock and nonshock information. The monitor is trained, tested, and evaluated on a two year survey on the prime standard assets listed in the indices DAX, MDAX, SDAX and TecDAX.Springer Gabler in Springer Science + Business Media, Tiergartenstr. 15-17, 69121 Heidelberg 204 pp. Englisch. Nº de ref. del artículo: 9783658125950
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