Download or read book Dynamic Models for Volatility and Heavy Tails written by Andrew C. Harvey and published by Cambridge University Press. This book was released on 2013-04-22 with total page 281 pages. Available in PDF, EPUB and Kindle. Book excerpt: The volatility of financial returns changes over time and, for the last thirty years, Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models have provided the principal means of analyzing, modeling and monitoring such changes. Taking into account that financial returns typically exhibit heavy tails - that is, extreme values can occur from time to time - Andrew Harvey's new book shows how a small but radical change in the way GARCH models are formulated leads to a resolution of many of the theoretical problems inherent in the statistical theory. The approach can also be applied to other aspects of volatility. The more general class of Dynamic Conditional Score models extends to robust modeling of outliers in the levels of time series and to the treatment of time-varying relationships. The statistical theory draws on basic principles of maximum likelihood estimation and, by doing so, leads to an elegant and unified treatment of nonlinear time-series modeling.

Download or read book Long Memory in Economics written by Gilles Teyssière and published by Springer Science & Business Media. This book was released on 2006-09-22 with total page 394 pages. Available in PDF, EPUB and Kindle. Book excerpt: Assembles three different strands of long memory analysis: statistical literature on the properties of, and tests for, LRD processes; mathematical literature on the stochastic processes involved; and models from economic theory providing plausible micro foundations for the occurrence of long memory in economics.

Download or read book Understanding Financial Risk Management written by Angelo Corelli and published by Emerald Group Publishing. This book was released on 2024-05-27 with total page 579 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial risk management is a topic of primary importance in financial markets. It is important to learn how to measure and control risk, how to be primed for the opportunity of compensative return, and how to avoid useless exposure.

Download or read book Experimental Econophysics written by Ji-Ping Huang and published by Springer. This book was released on 2014-08-05 with total page 204 pages. Available in PDF, EPUB and Kindle. Book excerpt: Experimental Econophysics describes the method of controlled human experiments, which is developed by physicists to study some problems in economics or finance, namely, stylized facts, fluctuation phenomena, herd behavior, contrarian behavior, hedge behavior, cooperation, business cycles, partial information, risk management, and stock prediction. Experimental econophysics together with empirical econophysics are two branches of the field of econophysics. The latter one has been extensively discussed in the existing books, while the former one has been seldom touched. In this book, the author will focus on the branch of experimental econophysics. Empirical econophysics is based on the analysis of data in real markets by using some statistical tools borrowed from traditional statistical physics. Differently, inspired by the role of controlled experiments and system modelling (for computer simulations and/or analytical theory) in developing modern physics, experimental econophysics specially relies on controlled human experiments in the laboratory (producing data for analysis) together with agent-based modelling (for computer simulations and/or analytical theory), with an aim at revealing the general cause-effect relationship between specific parameters and emergent properties of real economic/financial markets. This book covers the basic concepts, experimental methods, modelling approaches, and latest progress in the field of experimental econophysics.

Download or read book Self Organized Criticality Three Decades Later written by Subhrangshu Sekhar Manna and published by Frontiers Media SA. This book was released on 2022-01-28 with total page 143 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Complex Systems Approach to Economic Dynamics written by Abraham C.-L. Chian and published by Springer Science & Business Media. This book was released on 2007-07-13 with total page 109 pages. Available in PDF, EPUB and Kindle. Book excerpt: Economic Systems exhibit complex dynamics evidenced by large-amplitude and aperiodic fluctuations in economic variables, such as foreign exchange rates and stock market prices, indicating that these systems are driven far from the equilibrium. Characterization of the complex behavior of economic cycles, by identifying regular and irregular patterns and regime switching in economic time series, is the key for pattern recognition and forecasting of economic cycles. Statistical analysis of stock markets and foreign exchange markets has demonstrated the intermittent nature of economic time series. A nonlinear model of business cycles is able to simulate intermittency arising from order-chaos and chaos-chaos transitions. This monograph introduces new concepts of unstable periodic orbits and chaotic saddles which are unstable structures embedded in a chaotic attractor, responsible for economic intermittency.

Download or read book Financial Econometrics and Empirical Market Microstructure written by Anil K. Bera and published by Springer. This book was released on 2014-11-18 with total page 282 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the era of Big Data our society is given the unique opportunity to understand the inner dynamics and behavior of complex socio-economic systems. Advances in the availability of very large databases, in capabilities for massive data mining, as well as progress in complex systems theory, multi-agent simulation and computational social science open the possibility of modeling phenomena never before successfully achieved. This contributed volume from the Perm Winter School address the problems of the mechanisms and statistics of the socio-economics system evolution with a focus on financial markets powered by the high-frequency data analysis. ​

Download or read book Empirical Science of Financial Fluctuations written by Hideki Takayasu and published by Springer Science & Business Media. This book was released on 2013-03-14 with total page 360 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial fluctuations were generally neglected in classical ecnomics and their basic statistical properties have only recently been elucidated in the emerging field of econophysics, a new science that analyzes data using methods developed by statistical physics, such as chaos, fractals, and phase transitions. This volume is the proceedings of a workshop at which leading international researchers in this discipline discussed their most recent results and examined the validity of the empirical laws of econophysics. Topics include stock market prices and foreign exchange rates, income distribution, market anomalies, and risk management. The papers herein relate econophysics to other models, present new models, and illustrate the mechanisms by which financial fluctuations occur using actual financial data. Containing the most recent econophysics results, this volume will serve as an indispensable reference for economic theorists and practitioners alike.

Download or read book Handbook of Financial Markets Dynamics and Evolution written by Thorsten Hens and published by Elsevier. This book was released on 2009-06-12 with total page 607 pages. Available in PDF, EPUB and Kindle. Book excerpt: The models of portfolio selection and asset price dynamics in this volume seek to explain the market dynamics of asset prices. Presenting a range of analytical, empirical, and numerical techniques as well as several different modeling approaches, the authors depict the state of debate on the market selection hypothesis. By explicitly assuming the heterogeneity of investors, they present models that are descriptive and normative as well, making the volume useful for both finance theorists and financial practitioners. - Explains the market dynamics of asset prices, offering insights about asset management approaches - Assumes a heterogeneity of investors that yields descriptive and normative models of portfolio selections and asset pricing dynamics

Download or read book Quantitative Sociodynamics written by Dirk Helbing and published by Springer Science & Business Media. This book was released on 2010-11-15 with total page 351 pages. Available in PDF, EPUB and Kindle. Book excerpt: When I wrote the book Quantitative Sociodynamics, it was an early attempt to make methods from statistical physics and complex systems theory fruitful for the modeling and understanding of social phenomena. Unfortunately, the ?rst edition appeared at a quite prohibitive price. This was one reason to make these chapters available again by a new edition. The other reason is that, in the meantime, many of the methods discussed in this book are more and more used in a variety of different ?elds. Among the ideas worked out in this book are: 1 • a statistical theory of binary social interactions, • a mathematical formulation of social ?eld theory, which is the basis of social 2 force models, • a microscopic foundation of evolutionary game theory, based on what is known today as ‘proportional imitation rule’, a stochastic treatment of interactions in evolutionary game theory, and a model for the self-organization of behavioral 3 conventions in a coordination game. It, therefore, appeared reasonable to make this book available again, but at a more affordable price. To keep its original character, the translation of this book, which 1 D. Helbing, Interrelations between stochastic equations for systems with pair interactions. Ph- icaA 181, 29–52 (1992); D. Helbing, Boltzmann-like and Boltzmann-Fokker-Planck equations as a foundation of behavioral models. PhysicaA 196, 546–573 (1993). 2 D. Helbing, Boltzmann-like and Boltzmann-Fokker-Planck equations as a foundation of beh- ioral models. PhysicaA 196, 546–573 (1993); D.

Download or read book Proceedings of the First International Forum on Financial Mathematics and Financial Technology written by Zhiyong Zheng and published by Springer Nature. This book was released on 2021-02-08 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contains high-quality papers presented at the First International Forum on Financial Mathematics and Financial Technology. With the rapid development of FinTech, the in-depth integration between mathematics, finance and advanced technology is the general trend. This book focuses on selected aspects of the current and upcoming trends in FinTech. In detail, the included scientific papers focus on financial mathematics and FinTech, presenting the innovative mathematical models and state-of-the-art technologies such as deep learning, with the aim to improve our financial analysis and decision-making and enhance the quality of financial services and risk control. The variety of the papers delivers added value for both scholars and practitioners where they will find perfect integration of elegant mathematical models and up-to-date data mining technologies in financial market analysis.

Download or read book Discrete Time Series Processes and Applications in Finance written by Gilles Zumbach and published by Springer Science & Business Media. This book was released on 2012-09-26 with total page 326 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book surveys empirical properties of financial time series, discusses their mathematical basis, and describes uses in risk evaluation, option pricing or portfolio construction. The author introduces and assesses a range of processes against the benchmark.

Download or read book Theory of Financial Risk and Derivative Pricing written by Jean-Philippe Bouchaud and published by Cambridge University Press. This book was released on 2003-12-11 with total page 410 pages. Available in PDF, EPUB and Kindle. Book excerpt: Risk control and derivative pricing have become of major concern to financial institutions, and there is a real need for adequate statistical tools to measure and anticipate the amplitude of the potential moves of the financial markets. Summarising theoretical developments in the field, this 2003 second edition has been substantially expanded. Additional chapters now cover stochastic processes, Monte-Carlo methods, Black-Scholes theory, the theory of the yield curve, and Minority Game. There are discussions on aspects of data analysis, financial products, non-linear correlations, and herding, feedback and agent based models. This book has become a classic reference for graduate students and researchers working in econophysics and mathematical finance, and for quantitative analysts working on risk management, derivative pricing and quantitative trading strategies.

Download or read book Financial Economics and Econometrics written by Nikiforos T. Laopodis and published by Routledge. This book was released on 2021-12-14 with total page 787 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Economics and Econometrics provides an overview of the core topics in theoretical and empirical finance, with an emphasis on applications and interpreting results. Structured in five parts, the book covers financial data and univariate models; asset returns; interest rates, yields and spreads; volatility and correlation; and corporate finance and policy. Each chapter begins with a theory in financial economics, followed by econometric methodologies which have been used to explore the theory. Next, the chapter presents empirical evidence and discusses seminal papers on the topic. Boxes offer insights on how an idea can be applied to other disciplines such as management, marketing and medicine, showing the relevance of the material beyond finance. Readers are supported with plenty of worked examples and intuitive explanations throughout the book, while key takeaways, ‘test your knowledge’ and ‘test your intuition’ features at the end of each chapter also aid student learning. Digital supplements including PowerPoint slides, computer codes supplements, an Instructor’s Manual and Solutions Manual are available for instructors. This textbook is suitable for upper-level undergraduate and graduate courses on financial economics, financial econometrics, empirical finance and related quantitative areas.

Download or read book Financial Risk Forecasting written by Jon Danielsson and published by John Wiley & Sons. This book was released on 2011-04-20 with total page 307 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Risk Forecasting is a complete introduction to practical quantitative risk management, with a focus on market risk. Derived from the authors teaching notes and years spent training practitioners in risk management techniques, it brings together the three key disciplines of finance, statistics and modeling (programming), to provide a thorough grounding in risk management techniques. Written by renowned risk expert Jon Danielsson, the book begins with an introduction to financial markets and market prices, volatility clusters, fat tails and nonlinear dependence. It then goes on to present volatility forecasting with both univatiate and multivatiate methods, discussing the various methods used by industry, with a special focus on the GARCH family of models. The evaluation of the quality of forecasts is discussed in detail. Next, the main concepts in risk and models to forecast risk are discussed, especially volatility, value-at-risk and expected shortfall. The focus is both on risk in basic assets such as stocks and foreign exchange, but also calculations of risk in bonds and options, with analytical methods such as delta-normal VaR and duration-normal VaR and Monte Carlo simulation. The book then moves on to the evaluation of risk models with methods like backtesting, followed by a discussion on stress testing. The book concludes by focussing on the forecasting of risk in very large and uncommon events with extreme value theory and considering the underlying assumptions behind almost every risk model in practical use – that risk is exogenous – and what happens when those assumptions are violated. Every method presented brings together theoretical discussion and derivation of key equations and a discussion of issues in practical implementation. Each method is implemented in both MATLAB and R, two of the most commonly used mathematical programming languages for risk forecasting with which the reader can implement the models illustrated in the book. The book includes four appendices. The first introduces basic concepts in statistics and financial time series referred to throughout the book. The second and third introduce R and MATLAB, providing a discussion of the basic implementation of the software packages. And the final looks at the concept of maximum likelihood, especially issues in implementation and testing. The book is accompanied by a website - www.financialriskforecasting.com – which features downloadable code as used in the book.

Download or read book Risks written by Mogens Steffensen and published by MDPI. This book was released on 2021-06-03 with total page 170 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a collection of feature articles published in Risks in 2020. They were all written by experts in their respective fields. In these articles, they all develop and present new aspects and insights that can help us to understand and cope with the different and ever-changing aspects of risks. In some of the feature articles the probabilistic risk modeling is the central focus, whereas impact and innovation, in the context of financial economics and actuarial science, is somewhat retained and left for future research. In other articles it is the other way around. Ideas and perceptions in financial markets are the driving force of the research but they do not necessarily rely on innovation in the underlying risk models. Together, they are state-of-the-art, expert-led, up-to-date contributions, demonstrating what Risks is and what Risks has to offer: articles that focus on the central aspects of insurance and financial risk management, that detail progress and paths of further development in understanding and dealing with...risks. Asking the same type of questions (which risk allocation and mitigation should be provided, and why?) creates value from three different perspectives: the normative perspective of market regulator; the existential perspective of the financial institution; the phenomenological perspective of the individual consumer or policy holder.

Download or read book Handbook Of Financial Econometrics Mathematics Statistics And Machine Learning In 4 Volumes written by Cheng Few Lee and published by World Scientific. This book was released on 2020-07-30 with total page 5053 pages. Available in PDF, EPUB and Kindle. Book excerpt: This four-volume handbook covers important concepts and tools used in the fields of financial econometrics, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance, international finance, options and futures, risk management, and in stress testing for financial institutions. This handbook discusses a variety of econometric methods, including single equation multiple regression, simultaneous equation regression, and panel data analysis, among others. It also covers statistical distributions, such as the binomial and log normal distributions, in light of their applications to portfolio theory and asset management in addition to their use in research regarding options and futures contracts.In both theory and methodology, we need to rely upon mathematics, which includes linear algebra, geometry, differential equations, Stochastic differential equation (Ito calculus), optimization, constrained optimization, and others. These forms of mathematics have been used to derive capital market line, security market line (capital asset pricing model), option pricing model, portfolio analysis, and others.In recent times, an increased importance has been given to computer technology in financial research. Different computer languages and programming techniques are important tools for empirical research in finance. Hence, simulation, machine learning, big data, and financial payments are explored in this handbook.Led by Distinguished Professor Cheng Few Lee from Rutgers University, this multi-volume work integrates theoretical, methodological, and practical issues based on his years of academic and industry experience.