Editorial Reviews
Book Description
Nonlinear Modelling of High Frequency Financial Time Series Edited by Christian Dunis and Bin Zhou In the competitive and risky environment of today's financial markets, daily prices and models based upon low frequency price series data do not provide the level of accuracy required by traders and a growing number of risk managers. To improve results, more and more researchers and practitioners are turning to high frequency data. Nonlinear Modelling of High Frequency Financial Time Series presents the latest developments and views of leading international researchers and market practitioners, in modelling high frequency data in finance. Combining both nonlinear modelling and intraday data for financial markets, the editors provide a fascinating foray into this extremely popular discipline. This book evolves around four major themes. The first introductory section focuses on high frequency financial data. The second part examines the exact nature of the time series considered: several linearity tests are presented and applied and their modelling implications assessed. The third and fourth parts are dedicated to modelling and forecasting these financial time series.
The publisher, John Wiley & Sons
The mathematical techniques and models used in the forecasting of financial markets is growing more sophisticated than ever. This book focuses on the specific and highly topical issue of non-linear modelling high frequency financial data. It examines the exact nature of the time series considered and then models and forecasts these series by discriminating between the use of parametric and nonparametric (nonlinear) models. This book explores non-linearity as it refers to situations in which there is a high degree of apparent randomness to the way a particular financial measure--price, interest rate, exchange rate--moves with time.
Nonlinear Modelling of High Frequency Financial Time Series (Financial Economics and Quantitative Analysis Series)
Nonlinear Modelling of High Frequency Financial Time Series (Financial Economics and Quantitative Analysis Series),Christian L. Dunis,Bin Zhou,John Wiley & Sons,0471974641,Accounting - General,Business & Economics,Business / Economics / Finance,Business/Economics,Econometric models,Econometrics,Finance,Financial Economics (General),Time-series analysis,Business & Economics / Finance,Mathematical modelling
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