NONLINEAR MODELLING OF HIGH FREQUENCY FINANCIAL TIME SERIES by Christian Dunis (Editor), Bin Zhou (Editor) ( 9780471974642 )

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Title:

NONLINEAR MODELLING OF HIGH FREQUENCY FINANCIAL TIME SERIES

By:

Christian Dunis (Editor), Bin Zhou (Editor)

Format:

Hardback

List price:

£105.00

Our price:

£94.50

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10% off

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£10.50

ISBN 10:

0471974641

ISBN 13:

9780471974642

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Publisher:

JOHN WILEY AND SONS LTD

Pub. date:

27 May, 1998

Series:

Wiley series in financial economics & quantitative analysis

Pages:

332

Description:

This text focuses on the issue of non-linear modelling of high frequency financial data. Non-linearity refers to situations in which there is a high degree of apparent randomness to the way in which a particular financial measure, price, interest rate, or exchange rate moves with time.

Synopsis:

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.

Illustrations:

illustrations

Publication:

Imprint:

John Wiley & Sons Ltd

Returns:

Returnable

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