Forecasting Financial Markets
Exchange Rates, Interest Rates and Asset Management
1st Edition
Published on 29. August 1996
Book
Hardback
328 pages
978-0-471-96653-1 (ISBN)
Description
Today s financial markets are characterised by a large number ofparticipants, with different appetites for risk, different timehorizons, different motivations and reactions to unexpected news.The mathematical techniques and models used in the forecasting offinancial markets have therefore grown ever more sophisticated astraders, analysts and investors seek to gain an edge on theircompetitors. Written by leading international researchers andpractitioners, this book focuses on three major themes of today sstate of the art financial research: modelling with high frequencydata, the information content of volatility markets, andapplications of neural networks and genetic algorithms to financialtime series. Forecasting Financial Markets includes empiricalapplications to present the very latest thinking on these complextechniques, 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
* 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
More details
Series
Language
English
Place of publication
New York
United States
Target group
Professional and scholarly
Product notice
sewn/stitched
Cloth over boards
Dimensions
Height: 235 mm
Width: 157 mm
Thickness: 24 mm
Weight
687 gr
ISBN-13
978-0-471-96653-1 (9780471966531)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Person
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.
Content
Partial table of contents:
MODELLING WITH HIGH FREQUENCY DATA.
Forecasting Foreign Exchange Rates Subject to De-Volatilization (B.Zhou).
Dynamic Strategies: A Correlation Study (E. Acar & P.Lequeux).
THE INFORMATIONAL CONTENT OF VOLATILITY MARKETS.
Using Option Prices to Estimate Realignment Probabilities in theEuropean Monetary System (A. Malz).
Efficiency Test with Overlapping Data: An Application to theCurrency Options Market (C. Dunis & A. Keller).
APPLICATIONS OF NEURAL NETWORKS AND GENETIC ALGORITHMS.
The Use of Error Feedback Terms in Neural Network Modelling ofFinancial Time Series ( A. Burgess & A. Refenes).
An Evolutionary Algorithm for Portfolio Selection within a DownsideFramework ( A. Loraschi & A. Tettamanzi).
Index.
MODELLING WITH HIGH FREQUENCY DATA.
Forecasting Foreign Exchange Rates Subject to De-Volatilization (B.Zhou).
Dynamic Strategies: A Correlation Study (E. Acar & P.Lequeux).
THE INFORMATIONAL CONTENT OF VOLATILITY MARKETS.
Using Option Prices to Estimate Realignment Probabilities in theEuropean Monetary System (A. Malz).
Efficiency Test with Overlapping Data: An Application to theCurrency Options Market (C. Dunis & A. Keller).
APPLICATIONS OF NEURAL NETWORKS AND GENETIC ALGORITHMS.
The Use of Error Feedback Terms in Neural Network Modelling ofFinancial Time Series ( A. Burgess & A. Refenes).
An Evolutionary Algorithm for Portfolio Selection within a DownsideFramework ( A. Loraschi & A. Tettamanzi).
Index.