The most accurate and detailed time series models ever published, describing the behavior over time of stock, commodity and currency prices. Forty time series are investigated, including prices for stocks in New York and London, agricultural futures in Chicago, London, and Sydney, spot bullion and metal contracts in London and currency futures in Chicago. These prices are used to construct statistical models and to explore the benefits from relevant forecasts. Uses comprehensive and new models for price behavior.
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7 of 7 people found the following review helpful:
5.0 out of 5 stars
Rigorous but practical survey of time-series for traders.,
By A Customer
The first edition was published in 1986. It is EXCELLENT.Taylor rigorously studies the use of nonlinear time-series (Box-Jenkins) methods to trade a variety of financial markets, including individual stocks, stock indices, currencies, metals, and agricultural commodities, finding that there is a small trend component in most markets that can be profitably traded. Taylor performed testing of time series back in the early 1980s, when computer power and financial data was much scarcer and more expensive. I am excited to see what he has come up with, now that computers and data are a zillion times cheaper.
6 of 6 people found the following review helpful:
5.0 out of 5 stars
Classic text in financial time series.,
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This review is from: Modelling Financial Times Series (Hardcover)
This is a classic text in the modelling of financial time series. This book may be THE classic text in financial time series. The fact that it has been reprinted is great. In graduate school I tried to track down a copy of this book and couldn't. I am happy to have it available now. Anyone interested in financial time series should have a copy of this book on their shelf. If you are just getting started in financial time series, this is the place to start. I would recommend reading this book before reading Tsay's "Analysis of Financial Time Series". Tsay's book is oriented more as a chapter for each general topic which may not be related to the previous topic. Taylor's book has more thought focused on less topics.If I were to limit my budget to $100 for books on financial time series, I would buy this book and Taylor's newer book "Asset Price Dynamics, Volatility, and Prediction" (a great buy at around $30) over Tsay's book.
4 of 4 people found the following review helpful:
5.0 out of 5 stars
Modelling Financial Time series,
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This review is from: Modelling Financial Time Series (Paperback)
This is (still) an excellent book, ahead of its time when published in 1986. One of the issues he dealt with was the possible modifications to option pricing models (black-scholes type) that could be made to account for trending markets. This was before the crash of '87 and the subsequent wide-spread adoption of skewed volatility smiles and risk-reversals into option pricing.This book is probably out of print permanently, but the author is working on a new book, the provisional title of which is "Asset Price Dynamics and Prediction" Target Date of March 2004. The chapters are loosely based on subjects covered in Modelling Financial Time series. Chapter headings for Modelling Financial Time series: 1. Introduction
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Key Phrases - Statistically Improbable Phrases (SIPs):
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rescaled returns, product process formula, strict white noise, calibration contracts, modelling financial time series, optimal linear forecast, finite kurtosis, random walk tests, spurious autocorrelation, random walk forecasts, currency series, autocorrelation variances, conditional standard deviation, autocorrelation estimates, squared returns, linear forecasts, estimated spectral density, relative mean square errors, several lags, linear trend model, theoretical autocorrelations, equilibrium expected returns, uncorrelated process, calendar effects, simulated prices Key Phrases - Capitalized Phrases (CAPs): (learn more)
Basil Blackwell, Financial Times, Treasury Bond, Treasury Bills, Stocks Allied, Dow Jones Industrial Average, New York, Series Lag, Random Walk Hypothesis, Futures Series Browse Sample Pages:
Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
rescaled returns, product process formula, strict white noise, calibration contracts, modelling financial time series, optimal linear forecast, finite kurtosis, random walk tests, spurious autocorrelation, random walk forecasts, currency series, autocorrelation variances, conditional standard deviation, autocorrelation estimates, squared returns, linear forecasts, estimated spectral density, relative mean square errors, several lags, linear trend model, theoretical autocorrelations, equilibrium expected returns, uncorrelated process, calendar effects, simulated prices Key Phrases - Capitalized Phrases (CAPs): (learn more)
Basil Blackwell, Financial Times, Treasury Bond, Treasury Bills, Stocks Allied, Dow Jones Industrial Average, New York, Series Lag, Random Walk Hypothesis, Futures Series Browse Sample Pages:
Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
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