Multifractal Volatility Book
Score: 4
From 1 Ratings

Multifractal Volatility

  • Author : Laurent E. Calvet
  • Publisher : Academic Press
  • Release Date : 2008-10-13
  • Genre: Business & Economics
  • Pages : 272
  • ISBN 10 : 0080559964

Multifractal Volatility Excerpt :

Calvet and Fisher present a powerful, new technique for volatility forecasting that draws on insights from the use of multifractals in the natural sciences and mathematics and provides a unified treatment of the use of multifractal techniques in finance. A large existing literature (e.g., Engle, 1982; Rossi, 1995) models volatility as an average of past shocks, possibly with a noise component. This approach often has difficulty capturing sharp discontinuities and large changes in financial volatility. Their research has shown the advantages of modelling volatility as subject to abrupt regime changes of heterogeneous durations. Using the intuition that some economic phenomena are long-lasting while others are more transient, they permit regimes to have varying degrees of persistence. By drawing on insights from the use of multifractals in the natural sciences and mathematics, they show how to construct high-dimensional regime-switching models that are easy to estimate, and substantially outperform some of the best traditional forecasting models such as GARCH. The goal of Multifractal Volatility is to popularize the approach by presenting these exciting new developments to a wider audience. They emphasize both theoretical and empirical applications, beginning with a style that is easily accessible and intuitive in early chapters, and extending to the most rigorous continuous-time and equilibrium pricing formulations in final chapters. Presents a powerful new technique for forecasting volatility Leads the reader intuitively from existing volatility techniques to the frontier of research in this field by top scholars at major universities The first comprehensive book on multifractal techniques in finance, a cutting-edge field of research

Research on Volatility and Contagion Effect in Stock Market Book

Research on Volatility and Contagion Effect in Stock Market

  • Author : Dexiang Mei
  • Publisher : Scientific Research Publishing, Inc. USA
  • Release Date : 2020-12-06
  • Genre: Art
  • Pages : 131
  • ISBN 10 : 9781649970534

Research on Volatility and Contagion Effect in Stock Market Excerpt :

The volatility has been one of the cores of the financial theory research, in addition to the stock markets is an important part of modern financial markets. Research on volatility and contagion effect in stock market is an important part of the theory of financial markets research. This book in-cludes the following four parts.

The Oxford Handbook of Computational Economics and Finance Book

The Oxford Handbook of Computational Economics and Finance

  • Author : Shu-Heng Chen
  • Publisher : Oxford University Press
  • Release Date : 2018-01-12
  • Genre: Business & Economics
  • Pages : 784
  • ISBN 10 : 9780190877507

The Oxford Handbook of Computational Economics and Finance Excerpt :

The Oxford Handbook of Computational Economics and Finance provides a survey of both the foundations of and recent advances in the frontiers of analysis and action. It is both historically and interdisciplinarily rich and also tightly connected to the rise of digital society. It begins with the conventional view of computational economics, including recent algorithmic development in computing rational expectations, volatility, and general equilibrium. It then moves from traditional computing in economics and finance to recent developments in natural computing, including applications of nature-inspired intelligence, genetic programming, swarm intelligence, and fuzzy logic. Also examined are recent developments of network and agent-based computing in economics. How these approaches are applied is examined in chapters on such subjects as trading robots and automated markets. The last part deals with the epistemology of simulation in its trinity form with the integration of simulation, computation, and dynamics. Distinctive is the focus on natural computationalism and the examination of the implications of intelligent machines for the future of computational economics and finance. Not merely individual robots, but whole integrated systems are extending their "immigration" to the world of Homo sapiens, or symbiogenesis.

Multifractal Based Network Traffic Modeling Book

Multifractal Based Network Traffic Modeling

  • Author : Murali Krishna P
  • Publisher : Springer Science & Business Media
  • Release Date : 2012-12-06
  • Genre: Technology & Engineering
  • Pages : 210
  • ISBN 10 : 9781461504993

Multifractal Based Network Traffic Modeling Excerpt :

This helpful book provides an overview of existing broadband traffic modelling based on the Poisson process and its variants. It also offers very good coverage of models based on self-similar processes. The authors have focused throughout on the problem of broadband traffic modelling.

Theory of Financial Risk and Derivative Pricing Book
Score: 5
From 2 Ratings

Theory of Financial Risk and Derivative Pricing

  • Author : Jean-Philippe Bouchaud
  • Publisher : Cambridge University Press
  • Release Date : 2003-12-11
  • Genre: Business & Economics
  • Pages : 379
  • ISBN 10 : 0521819164

Theory of Financial Risk and Derivative Pricing Excerpt :

This 2003 book summarizes theoretical developments in statistical tools to measure financial markets, for students and professionals in econophysics and analytical markets.

Fractal Geometry and Dynamical Systems in Pure and Applied Mathematics II Book

Fractal Geometry and Dynamical Systems in Pure and Applied Mathematics II

  • Author : David Carfi
  • Publisher : American Mathematical Soc.
  • Release Date : 2013-10-24
  • Genre: Mathematics
  • Pages : 372
  • ISBN 10 : 9780821891483

Fractal Geometry and Dynamical Systems in Pure and Applied Mathematics II Excerpt :

This volume contains the proceedings from three conferences: the PISRS 2011 International Conference on Analysis, Fractal Geometry, Dynamical Systems and Economics, held November 8-12, 2011 in Messina, Italy; the AMS Special Session on Fractal Geometry in Pure and Applied Mathematics, in memory of Benoît Mandelbrot, held January 4-7, 2012, in Boston, MA; and the AMS Special Session on Geometry and Analysis on Fractal Spaces, held March 3-4, 2012, in Honolulu, HI. Articles in this volume cover fractal geometry and various aspects of dynamical systems in applied mathematics and the applications to other sciences. Also included are articles discussing a variety of connections between these subjects and various areas of physics, engineering, computer science, technology, economics and finance, as well as of mathematics (including probability theory in relation with statistical physics and heat kernel estimates, geometric measure theory, partial differential equations in relation with condensed matter physics, global analysis on non-smooth spaces, the theory of billiards, harmonic analysis and spectral geometry). The companion volume (Contemporary Mathematics, Volume 600) focuses on the more mathematical aspects of fractal geometry and dynamical systems.

Macroeconometrics and Time Series Analysis Book

Macroeconometrics and Time Series Analysis

  • Author : Steven Durlauf
  • Publisher : Springer
  • Release Date : 2016-04-30
  • Genre: Business & Economics
  • Pages : 406
  • ISBN 10 : 9780230280830

Macroeconometrics and Time Series Analysis Excerpt :

Specially selected from The New Palgrave Dictionary of Economics 2nd edition, each article within this compendium covers the fundamental themes within the discipline and is written by a leading practitioner in the field. A handy reference tool.

Frontiers of Fractal Analysis Book

Frontiers of Fractal Analysis

  • Author : Santo Banerjee
  • Publisher : CRC Press
  • Release Date : 2022-07-07
  • Genre: Mathematics
  • Pages : 182
  • ISBN 10 : 9781000625875

Frontiers of Fractal Analysis Excerpt :

The history of describing natural objects using geometry is as old as the advent of science itself, in which traditional shapes are the basis of our intuitive understanding of geometry. However, nature is not restricted to such Euclidean objects which are only characterized typically by integer dimensions. Hence, the conventional geometric approach cannot meet the requirements of solving or analysing nonlinear problems which are related with natural phenomena, therefore, the fractal theory has been born, which aims to understand complexity and provide an innovative way to recognize irregularity and complex systems. Although the concepts of fractal geometry have found wide applications in many forefront areas of science, engineering and societal issues, they also have interesting implications of a more practical nature for the older classical areas of science. Since its discovery, there has been a surge of research activities in using this powerful concept in almost every branch of scientific disciplines to gain deep insights into many unresolved problems. This book includes eight chapters which focus on gathering cutting-edge research and proposing application of fractals features in both traditional scientific disciplines and in applied fields.

Dynamical Systems with Applications using MATLAB   Book

Dynamical Systems with Applications using MATLAB

  • Author : Stephen Lynch
  • Publisher : Springer
  • Release Date : 2014-07-22
  • Genre: Mathematics
  • Pages : 514
  • ISBN 10 : 9783319068206

Dynamical Systems with Applications using MATLAB Excerpt :

This textbook, now in its second edition, provides a broad introduction to both continuous and discrete dynamical systems, the theory of which is motivated by examples from a wide range of disciplines. It emphasizes applications and simulation utilizing MATLAB®, Simulink®, the Image Processing Toolbox® and the Symbolic Math toolbox®, including MuPAD. Features new to the second edition include · sections on series solutions of ordinary differential equations, perturbation methods, normal forms, Gröbner bases, and chaos synchronization; · chapters on image processing and binary oscillator computing; · hundreds of new illustrations, examples, and exercises with solutions; and · over eighty up-to-date MATLAB program files and Simulink model files available online. These files were voted MATLAB Central Pick of the Week in July 2013. The hands-on approach of Dynamical Systems with Applications using MATLAB, Second Edition, has minimal prerequisites, only requiring familiarity with ordinary differential equations. It will appeal to advanced undergraduate and graduate students, applied mathematicians, engineers, and researchers in a broad range of disciplines such as population dynamics, biology, chemistry, computing, economics, nonlinear optics, neural networks, and physics. Praise for the first edition Summing up, it can be said that this text allows the reader to have an easy and quick start to the huge field of dynamical systems theory. MATLAB/SIMULINK facilitate this approach under the aspect of learning by doing. —OR News/Operations Research Spectrum The MATLAB programs are kept as simple as possible and the author's experience has shown that this method of teaching using MATLAB works well with computer laboratory classes of small sizes.... I recommend ‘Dynamical Systems with Applications using MATLAB’ as a good handbook for a diverse readership: graduates and professionals in mathematics, physics, science and engineering. —Mathematica

The New Palgrave Dictionary of Economics Book
Score: 5
From 1 Ratings

The New Palgrave Dictionary of Economics

  • Author : Anonim
  • Publisher : Springer
  • Release Date : 2016-05-18
  • Genre: Law
  • Pages : 7300
  • ISBN 10 : 9781349588022

The New Palgrave Dictionary of Economics Excerpt :

The award-winning The New Palgrave Dictionary of Economics, 2nd edition is now available as a dynamic online resource. Consisting of over 1,900 articles written by leading figures in the field including Nobel prize winners, this is the definitive scholarly reference work for a new generation of economists. Regularly updated! This product is a subscription based product.

Multifractal Detrended Analysis Method and Its Application in Financial Markets Book

Multifractal Detrended Analysis Method and Its Application in Financial Markets

  • Author : Guangxi Cao
  • Publisher : Springer
  • Release Date : 2018-02-18
  • Genre: Business & Economics
  • Pages : 255
  • ISBN 10 : 9789811079160

Multifractal Detrended Analysis Method and Its Application in Financial Markets Excerpt :

This book collects high-quality papers on the latest fundamental advances in the state of Econophysics and Management Science, providing insights that address problems concerning the international economy, social development and economic security. This book applies the multi-fractal detrended class method, and improves the method with different filters. The authors apply those methods to a variety of areas: financial markets, energy markets, gold market and so on. This book is arguably a systematic research and summary of various kinds of multi-fractal detrended methods. Furthermore, it puts forward some investment suggestions on a healthy development of financial markets.

Advances in Pacific Basin Business  Economics and Finance Book

Advances in Pacific Basin Business Economics and Finance

  • Author : Cheng-Few Lee
  • Publisher : Emerald Group Publishing
  • Release Date : 2020-09-09
  • Genre: Business & Economics
  • Pages : 256
  • ISBN 10 : 9781838673635

Advances in Pacific Basin Business Economics and Finance Excerpt :

Advances in Pacific Basin Business, Economics, and Finance is an annual publication designed to focus on interdisciplinary research in finance, economics, accounting and management among Pacific Rim countries.

Multifractals and Chronic Diseases of the Central Nervous System Book

Multifractals and Chronic Diseases of the Central Nervous System

  • Author : Dipak Ghosh
  • Publisher : Springer
  • Release Date : 2019-01-24
  • Genre: Medical
  • Pages : 182
  • ISBN 10 : 9789811335525

Multifractals and Chronic Diseases of the Central Nervous System Excerpt :

This book primarily focuses on the study of various neurological disorders, including Parkinson’s (PD), Huntington (HD), Epilepsy, Alzheimer’s and Motor Neuron Diseases (MND) from a new perspective by analyzing the physiological signals associated with them using non-linear dynamics. The development of nonlinear methods has significantly helped to study complex nonlinear systems in detail by providing accurate and reliable information. The book provides a brief introduction to the central nervous system and its various disorders, their effects on health and quality of life, and their respective courses of treatment, followed by different bioelectrical signals like those detected by Electroencephalography (EEG), Electrocardiography (ECG), and Electromyography (EMG). In turn, the book discusses a range of nonlinear techniques, fractals, multifractals, and Higuchi’s Fractal Dimension (HFD), with mathematical examples and procedures. A review of studies conducted to date on neurological disorders like epilepsy, dementia, Parkinson’s, Huntington, Alzheimer’s, and Motor Neuron Diseases, which incorporate linear and nonlinear techniques, is also provided. The book subsequently presents new findings on neurological disorders of the central nervous system, namely Parkinson’s disease and Huntington’s disease, by analyzing their gait characteristics using a nonlinear fractal based technique: Multifractal Detrended Fluctuation Analysis (MFDFA). In closing, the book elaborates on several parameters that can be obtained from cross-correlation studies of ECG and blood pressure, and can be used as markers for neurological disorders.

The Kolmogorov Legacy in Physics Book

The Kolmogorov Legacy in Physics

  • Author : Angelo Vulpiani
  • Publisher : Springer
  • Release Date : 2003-12-12
  • Genre: Science
  • Pages : 247
  • ISBN 10 : 9783540396680

The Kolmogorov Legacy in Physics Excerpt :

The present volume, published at the occasion of his 100th birthday anniversary, is a collection of articles that reviews the impact of Kolomogorov's work in the physical sciences and provides an introduction to the modern developments that have been triggered in this way to encompass recent applications in biology, chemistry, information sciences and finance.

Missing Data Methods Book

Missing Data Methods

  • Author : David M. Drukker
  • Publisher : Emerald Group Publishing
  • Release Date : 2011-11-30
  • Genre: Business & Economics
  • Pages : 290
  • ISBN 10 : 9781780525273

Missing Data Methods Excerpt :

Part of the "Advances in Econometrics" series, this title contains chapters covering topics such as: Missing-Data Imputation in Nonstationary Panel Data Models; Markov Switching Models in Empirical Finance; Bayesian Analysis of Multivariate Sample Selection Models Using Gaussian Copulas; and, Consistent Estimation and Orthogonality.