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Financial Time-series Analysis: a Brief Overview

  • A. Chakraborti
  • M. Patriarca
  • M. S. Santhanam
Part of the New Economic Windows book series (NEW)

Abstract

Prices of commodities or assets produce what is called time-series. Different kinds of financial time-series have been recorded and studied for decades. Nowadays, all transactions on a financial market are recorded, leading to a huge amount of data available, either for free in the Internet or commercially. Financial time-series analysis is of great interest to practitioners as well as to theoreticians, for making inferences and predictions. Furthermore, the stochastic uncertainties inherent in financial time-series and the theory needed to deal with them make the subject especially interesting not only to economists, but also to statisticians and physicists [1]. While it would be a formidable task to make an exhaustive review on the topic, with this review we try to give a flavor of some of its aspects.

Keywords

Hurst Exponent Detrended Fluctuation Analysis Random Matrix Theory Power Spectrum Analysis Eigenvalue Density 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Italia 2007

Authors and Affiliations

  • A. Chakraborti
    • 1
  • M. Patriarca
    • 2
  • M. S. Santhanam
    • 3
  1. 1.Department of PhysicsBanaras Hindu UniversityVaranasiIndia
  2. 2.Institute of Theoretical PhysicsTartu UniversityTartuEstonia
  3. 3.Physical Research LaboratoryNavrangpura, AhmedabadIndia

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