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Modelling and Forecasting Financial Data

Techniques of Nonlinear Dynamics

  • Abdol S. Soofi
  • Liangyue Cao

Part of the Studies in Computational Finance book series (SICF, volume 2)

Table of contents

  1. Front Matter
    Pages i-xxviii
  2. Introduction

    1. Abdol S. Soofi, Liangyue Cao
      Pages 1-8
  3. Embedding Theory: Time-Delay Phase Space Reconstruction and Detection of Nonlinear Dynamics

  4. Methods of Nonlinear Modelling and Forecasting

    1. Front Matter
      Pages 93-93
    2. D. Kugiumtzis
      Pages 95-113
    3. David M. Walker
      Pages 137-157
    4. A. Braga, A. C. Carvalho, T. Ludermir, M. de Almeida, E. Lacerda
      Pages 159-178
  5. Modelling and Predicting Multivariate and Input-Output Time Series

    1. Front Matter
      Pages 197-197
    2. Luis Antonio Aguirre, Antonio Aguirre
      Pages 213-235
    3. Hans-Georg Zimmermann, Ralph Neuneier, Ralph Grothmann
      Pages 237-263
  6. Problems in Modelling and Prediction

    1. Front Matter
      Pages 265-265
    2. D. Kugiumtzis
      Pages 267-282
    3. C. Letellier, O. Ménard, L. A. Aguirre
      Pages 283-302
    4. Annette Witt, Jürgen Kurths
      Pages 303-325
    5. Henning U. Voss, Jürgen Kurths
      Pages 327-349
    6. J. Maquet, C. Letellier, G. Gouesbet
      Pages 351-374
    7. S. Siegert, R. Friedrich, Ch. Renner, J. Peinke
      Pages 375-399
    8. Rainer Hegger, Holger Kantz, Thomas Schreiber
      Pages 401-416
    9. Jianming Ye
      Pages 417-428
  7. Applications in Economics and Finance

    1. Front Matter
      Pages 453-453
    2. Abdol S. Soofi, Liangyue Cao
      Pages 455-465
    3. Berndt Pilgram, Peter Verhoeven, Alistair Mees, Michael McAleer
      Pages 467-481
  8. Back Matter
    Pages 483-488

About this book

Introduction

Modelling and Forecasting Financial Data brings together a coherent and accessible set of chapters on recent research results on this topic. To make such methods readily useful in practice, the contributors to this volume have agreed to make available to readers upon request all computer programs used to implement the methods discussed in their respective chapters.
Modelling and Forecasting Financial Data is a valuable resource for researchers and graduate students studying complex systems in finance, biology, and physics, as well as those applying such methods to nonlinear time series analysis and signal processing.

Keywords

Finance calculus complex systems data analysis dynamical systems dynamics economics forecasting modeling nonlinear dynamics time series time series analysis volatility

Editors and affiliations

  • Abdol S. Soofi
    • 1
  • Liangyue Cao
    • 2
  1. 1.Department of EconomicsUniversity of Wisconsin-PlattevilleUSA
  2. 2.Department of MathematicsUniversity of Western AustraliaAustralia

Bibliographic information

  • DOI https://doi.org/10.1007/978-1-4615-0931-8
  • Copyright Information Kluwer Academic Publishers 2002
  • Publisher Name Springer, Boston, MA
  • eBook Packages Springer Book Archive
  • Print ISBN 978-1-4613-5310-2
  • Online ISBN 978-1-4615-0931-8
  • Series Print ISSN 1567-8288
  • Buy this book on publisher's site