|  | Dunis, Christian L. / Zhou, Bin (Hrsg.)
Nonlinear Modelling of High Frequency Financial Time Series
Financial Economics and Quantitative Analysis Series
 1. Auflage Mai 1998
135,- Euro
1998. XXXII, 300 Seiten, Hardcover
ISBN 978-0-471-97464-2 - John Wiley & Sons
Preis inkl. Mehrwertsteuer zzgl. Versandkosten.
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| Kurzbeschreibung
This book focuses on the specific and highly-topical issue of nonlinear modeling of high frequency financial data. Topics are progressively developed-first focusing on the features of high frequency financial data, then examining the exact nature of the time series considered, and finally modeling and forecasting these financial time series, distinguishing between the use of linear and nonlinear models.
Aus dem Inhalt
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.
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