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Market Parameter from Historical Times Series

  • Hans-Peter Deutsch
Chapter
Part of the Finance and Capital Markets Series book series (FCMS)

Abstract

Having shown in the previous sections how statistical parameters such as the volatility can be obtained implicitly from the prices of derivatives traded in the market, we now proceed with what is perhaps the more natural approach, which builds directly on the definition of the statistical values, namely the analysis of historical time series. Time series analysis is a broad topic in the field of statistics whose application here will be limited to those areas which serve the purposes of this book. A much more, general and wide-reaching presentation can be found in [74], for example.

Keywords

Internal Model Historical Return Exponentially Weight Move Average Capital Asset Price Model Autocorrelation Time 
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

© Hans-Peter Deutsch 2009

Authors and Affiliations

  • Hans-Peter Deutsch
    • 1
  1. 1.FrankfurtGermany

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