Modelling and Forecasting Financial Data: Techniques of Nonlinear Dynamics

✍ Scribed by Abdol S. Soofi, Liangyue Cao (auth.), Abdol S. Soofi, Liangyue Cao (eds.)

• Publisher: Springer US
• Year: 2002
• Tongue: English
• Leaves: 495
• Series: Studies in Computational Finance 2
• Edition: 1
• Category: Library

✦ 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.

✦ Table of Contents

Front Matter....Pages i-xxviii
Introduction....Pages 1-8
Front Matter....Pages 9-9
Embedding Theory: Introduction and Applications to Time Series Analysis....Pages 11-42
Determining Minimum Embedding Dimension from Scalar Time Series....Pages 43-60
Mutual Information and Relevant Variables for Predictions....Pages 61-92
Front Matter....Pages 93-93
State Space Local Linear Prediction....Pages 95-113
Local Polynomial Prediction and Volatility Estimation in Financial Time Series....Pages 115-135
Kalman Filtering of Time Series Data....Pages 137-157
Radial Basis Functions Networks....Pages 159-178
Nonlinear Prediction of Time Series Using Wavelet Network Method....Pages 179-195
Front Matter....Pages 197-197
Nonlinear Modelling and Prediction of Multivariate Financial Time Series....Pages 199-211
Analysis of Economic Time Series Using Narmax Polynomial Models....Pages 213-235
Modeling Dynamical Systems by Error Correction Neural Networks....Pages 237-263
Front Matter....Pages 265-265
Surrogate Data Test on Time Series....Pages 267-282
Validation of Selected Global Models....Pages 283-302
Testing Stationarity in Time Series....Pages 303-325
Analysis of Economic Delayed-Feedback Dynamics....Pages 327-349
Global Modeling and Differential Embedding....Pages 351-374
Estimation of Deterministic and Stochastic Rules Underlying Fluctuating Data....Pages 375-399
Nonlinear Noise Reduction....Pages 401-416
Optimal Model Size....Pages 417-428
Front Matter....Pages 265-265
Influence of Measured Time Series in the Reconstruction of Nonlinear Multivariable Dynamics....Pages 429-451
Front Matter....Pages 453-453
Nonlinear Forecasting of Noisy Financial Data....Pages 455-465
Canonical Variate Analysis and Its Applications to Financial Data....Pages 467-481
Back Matter....Pages 483-488

✦ Subjects

Econometrics; Economic Theory; Finance/Investment/Banking; Financial Economics