Forecasting Financial Markets: Exchange Rates, Interest Rates and Asset Management (Financial Economics and Quantitative Analysis Series) (Paperback)

~ Christian L. Dunis (Editor) "While the growth on theoretical research in market microstructure has been impressive, much work remains to be done on empirical testing..." (more)
Key Phrases: risk reversal prices, error feedback terms, quote arrivals, New York, Journal of Finance, Forecasting Financial Markets (more...)

Editorial Reviews

Product Description

Today s financial markets are characterised by a large number of participants, with different appetites for risk, different time horizons, different motivations and reactions to unexpected news. The mathematical techniques and models used in the forecasting of financial markets have therefore grown ever more sophisticated as traders, analysts and investors seek to gain an edge on their competitors. Written by leading international researchers and practitioners, this book focuses on three major themes of today s state of the art financial research: modelling with high frequency data, the information content of volatility markets, and applications of neural networks and genetic algorithms to financial time series. Forecasting Financial Markets includes empirical applications to present the very latest thinking on these complex techniques, 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

From the Publisher

In this remarkable compendium, Christian Dunis, the head of quantitative research and trading at one of the world's biggest banks, introduces market pros to Allan M. Malz, Aaron Low and W. M. van der Berg and their complex work, revealing the latest techniques and models for financial forecasting, including high frequency data, volatility, neural networks, and more.

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Product Details

• Paperback: 324 pages
• Publisher: Wiley (September 1996)
• Language: English
• ISBN-10: 0471966533
• ISBN-13: 978-0471966531
• Product Dimensions: 9.3 x 6.2 x 1 inches
• Shipping Weight: 1.6 pounds (View shipping rates and policies)
• Average Customer Review: No customer reviews yet. Be the first.
• Amazon.com Sales Rank: #2,405,754 in Books (See Bestsellers in Books)