Modelling and Forecasting Financial Data: Techniques of Nonlinear Dynamics: 2 (Studies in Computational Finance, 2) - Hardcover

Hardcover

ISBN 10: 0792376803 ISBN 13: 9780792376804

Publisher: Springer, 2002

Synopsis

Modelling and Forecasting Financial Data brings together a coherent and accessible set of chapters on recent research results on this topic. To make such methods readily useful in practice, the contributors to this volume have agreed to make available to readers upon request all computer programs used to implement the methods discussed in their respective chapters.
Modelling and Forecasting Financial Data is a valuable resource for researchers and graduate students studying complex systems in finance, biology, and physics, as well as those applying such methods to nonlinear time series analysis and signal processing.

About this title

Review

"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)

Synopsis

Over the last decade, dynamical systems theory and related nonlinear methods have had a major impact on the analysis of time series data from complex systems. Recent 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 unparalleled opportunities for exploratory data analysis, modelling, forecasting, and control. Until now, research exploring the application of nonlinear dynamics and associated algorithms to the study of economies and markets as complex systems is sparse and fragmentary at best."Modelling and Forecasting Financial Data" brings together a coherent and accessible set of chapters on recent research results on this topic. To make such methods readily useful in practice, the contributors to this volume have agreed to make available to readers upon request all computer programs used to implement the methods discussed in their respective chapters.

"Modelling and Forecasting Financial Data" is a valuable resource for researchers and graduate students studying complex systems in finance, biology, and physics, as well as those applying such methods to nonlinear time series analysis and signal processing.

Edition details

• Publisher: Springer
• Publication date: 2002
• Language: English
• ISBN 10: 0792376803
• ISBN 13: 9780792376804
• Binding: Hardcover
• Number of pages: 516
• Editor: Soofi Abdol S., Liangyue Cao