Modelling and Forecasting Financial Data: Techniques of Nonlinear Dynamics: 2 - Rilegato

Rilegato

ISBN 10: 0792376803 ISBN 13: 9780792376804

Casa editrice: Kluwer Academic Publishers, 2002

Riassunto

The contributors to this volume assert that dynamical systems theory and related nonlinear methods have had a major impact on the analysis of time series data from complex systems. Contemporary developments in mathematical methods of state-space reconstruction, time-delay embedding and surrogate data analysis, coupled with readily accessible and powerful computational facilities used in gathering and processing massive quantities of high-frequency data, have provided theorists and practitioners with opportunities for exploratory data analysis, modelling, forecasting and control. This book brings together an accessible set of chapters that deal with the application of nonlinear dynamics and associated algorithms to the study of economies and markets as complex systems. To make such methods readily useful in practice, the contributors have agreed to make available to readers upon request all computer programs used to implement the methods discussed in their respective chapters.

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Recensione

"This book is truly a multidisciplinary effort, with contributors including economists, electrical engineers, physicists, mathematicians, and statisticians (myself and Jianming Yé). Although there are many books on nonlinear dynamic techniques, Modelling and Forecasting Financial Data is distinguished by its concerted efforts on practical relevance in financial and economic applications."
(Z.-Q. John Lu, National Institute of Standards and Technology in Technometrics, 46:1 (February 2004)

Contenuti

List of Figures. List of Tables. Preface. Contributing Authors. Introduction; A.S. Soofi, Liangyue Cao. Part I: Embedding Theory: Time-Delay Phase Space Reconstruction and Detection of Nonlinear Dynamics. 1. Embedding Theory: Introduction and Applications to Time Series Analysis; F. Strozzi, J.M. Zaldivar. 2. Determining Minimum Embedding Dimension; Liangyue Cao. 3. Mutual Infomation and Relevant Variables for Predictions; B. Pompe. Part. II: Methods of Nonlinear Modelling and Forecasting. 4. State Space Local Linear Prediction; D. Kugiumtzis. 5. Local Polynomial Prediction and Volatility Estimation in Financial Time Series; Zhan-Qian Lu. 6. Kalman Filtering of Time Series Data; D.M. Walker. 7. Radial Basis Functions Networks; A. Braga, et al. 8. Nonlinear Prediction of Time Series Using Wavelet Network Method; Liangyue Cao. Part III: Modelling and Predicting Multivariate and Input-Output Time Series. 9. Nonlinear Modelling and Prediction of Multivariate Financial Time Series; Liangyue Cao. 10. Analysis of Economic Time Series Using NARMAX Polynomial Models; L.A. Aquirre, A. Aguirre. 11. Modeling dynamical systems by Error Correction Neural Networks; H.-G. Zimmermann, et al. Part IV: Problems in Modelling and Prediction. 12. Surrogate Data Test on Time Series; D. Kugiumtzis. 13. Validation of Selected Global Models; C. Letellier. 14. Testing Stationarity in Time Series; A. Witt, J. Kurths. 15. Analysis of Economic Delayed-Feedbak Dynamics; H.U. Voss, J. Kurths. 16. Global Modeling and Differential Embedding; J. Maquet, et al. 17. Estimation of Rules Underlying Fluctuating Data; S. Siegert, et al. 18. Nonlinear Noise Reduction; R. Hegger, et al. 19. Optimal Model Size; Jianming Ye. 20. Influence of Measured Time Series in the Reconstruction of Nonlinear Multivariable Dynamics; C. Letellier, L.A. Aguirre. Part. V: Applications in Economics and Finance. 21. Nonlinear Forecasting of Noisy Financial Data; A.S. Soofi, L. Cao. 22. Canonical Variate Analysis and its Applications to Financial Data; B. Pilgram, et al. Index.

Dettagli dell'edizione

• Editore: Kluwer Academic Publishers
• Data di pubblicazione: 2002
• Lingua: Inglese
• ISBN 10: 0792376803
• ISBN 13: 9780792376804
• Rilegatura: Copertina rigida
• Numero di pagine: 516
• Redattore: Soofi Abdol S., Liangyue Cao
• Contatto del produttore: non disponibile
• Persona responsabile: CMN Printpool Inh. Mathis Neumann; https://www.also.com/ec/cms5/en_6000/6000/index.jsp; ; Friedrich-Karl-Str. 9; Hamburg; Germania