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Modelling and Forecasting Financial Data

Techniques of Nonlinear Dynamics

  • Book
  • © 2002

Overview

Editors:
  1. Abdol S. Soofi

    1. Department of Economics, University of Wisconsin-Platteville, USA

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    You can also search for this editor in PubMed   Google Scholar

  2. Liangyue Cao

    1. Department of Mathematics, University of Western Australia, Australia

    View editor publications

    You can also search for this editor in PubMed   Google Scholar

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

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Table of contents (23 chapters)

  1. Front Matter

    Pages i-xxviii
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  2. Introduction

    1. Introduction

      • Abdol S. Soofi, Liangyue Cao
      Pages 1-8

  3. Embedding Theory: Time-Delay Phase Space Reconstruction and Detection of Nonlinear Dynamics

    1. Front Matter

      Pages 9-9
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    2. Embedding Theory: Introduction and Applications to Time Series Analysis

      • F. Strozzi, J. M. Zaldivar
      Pages 11-42

    3. Determining Minimum Embedding Dimension from Scalar Time Series

      • Liangyue Cao
      Pages 43-60

    4. Mutual Information and Relevant Variables for Predictions

      • Bernd Pompe
      Pages 61-92

  4. Methods of Nonlinear Modelling and Forecasting

    1. Front Matter

      Pages 93-93
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    2. State Space Local Linear Prediction

      • D. Kugiumtzis
      Pages 95-113

    3. Local Polynomial Prediction and Volatility Estimation in Financial Time Series

      • Zhan-Qian Lu
      Pages 115-135

    4. Kalman Filtering of Time Series Data

      • David M. Walker
      Pages 137-157

    5. Radial Basis Functions Networks

      • A. Braga, A. C. Carvalho, T. Ludermir, M. de Almeida, E. Lacerda
      Pages 159-178

    6. Nonlinear Prediction of Time Series Using Wavelet Network Method

      • Liangyue Cao
      Pages 179-195

  5. Modelling and Predicting Multivariate and Input-Output Time Series

    1. Front Matter

      Pages 197-197
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    2. Nonlinear Modelling and Prediction of Multivariate Financial Time Series

      • Liangyue Cao
      Pages 199-211

    3. Analysis of Economic Time Series Using Narmax Polynomial Models

      • Luis Antonio Aguirre, Antonio Aguirre
      Pages 213-235

    4. Modeling Dynamical Systems by Error Correction Neural Networks

      • Hans-Georg Zimmermann, Ralph Neuneier, Ralph Grothmann
      Pages 237-263

  6. Problems in Modelling and Prediction

    1. Front Matter

      Pages 265-265
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    2. Surrogate Data Test on Time Series

      • D. Kugiumtzis
      Pages 267-282

    3. Validation of Selected Global Models

      • C. Letellier, O. Ménard, L. A. Aguirre
      Pages 283-302

    4. Testing Stationarity in Time Series

      • Annette Witt, Jürgen Kurths
      Pages 303-325
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Keywords

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.

Reviews

"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)

Editors and Affiliations

  • Department of Economics, University of Wisconsin-Platteville, USA

    Abdol S. Soofi

  • Department of Mathematics, University of Western Australia, Australia

    Liangyue Cao

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