Forecasting Financial Markets: Exchange Rates, Interest Rates and Asset Management - Rilegato

Dunis, Christian L.

 
9780471966531: Forecasting Financial Markets: Exchange Rates, Interest Rates and Asset Management
Rilegato
ISBN 10: 0471966533 ISBN 13: 9780471966531
Casa editrice: Wiley, 1996

Sinossi

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

Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.

Informazioni sull?autore

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.

Dalla quarta di copertina

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

Le informazioni nella sezione "Su questo libro" possono far riferimento a edizioni diverse di questo titolo.

Editore
Wiley
Data di pubblicazione
1996
Lingua
Inglese
ISBN 10 
0471966533
ISBN 13 
9780471966531
Rilegatura
Copertina rigida
Numero di pagine
328
Contatto del produttore
non disponibile
Persona responsabile
non disponibile