© 2002

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

About this book


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.


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

Industry Sectors
Finance, Business & Banking


"This book is truly a multidisciplinary effort, with contributors including economists, electrical engineers, physicists, mathematicians, and statisticians (myself and Jianming Yé). Although there are many books on nonlinear dynamic techniques, Modelling and Forecasting Financial Data is distinguished by its concerted efforts on practical relevance in financial and economic applications."
(Z.-Q. John Lu, National Institute of Standards and Technology in Technometrics, 46:1 (February 2004)