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Modelling and forecasting financial data : techniques of nonlinear dynamics

Modelling and forecasting financial data : techniques of nonlinear dynamics

Material type
단행본
Personal Author
Soofi, Abdol S. Cao, Liangyue
Title Statement
Modelling and forecasting financial data : techniques of nonlinear dynamics / edited by Abdol S. Soofi and Liangyue, Cao.
Publication, Distribution, etc
Boston, Mass. :   Kluwer Academic Pub. ,   2002.  
Physical Medium
xxviii, 488 : ill. ; 25 cm.
Series Statement
Studies in computational finance ; v.2.
ISBN
0792376803
Bibliography, Etc. Note
Includes bibliographical references and index
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001 000045202737
005 20051104094659
008 020129s2002 maua b 001 0 eng d
020 ▼a 0792376803
035 ▼a KRIC08487249
037 ▼b Kluwer Academic Pub, Po Box 358 Accord Station, Hingham, MA, USA, 02018, (781)8716600 ▼n SAN 211-481X
040 ▼a 211061 ▼d 225009 ▼d 244002
082 0 4 ▼a 332.015118 ▼2 22
090 ▼a 332.015118 ▼b M689
245 0 0 ▼a Modelling and forecasting financial data : ▼b techniques of nonlinear dynamics / ▼c edited by Abdol S. Soofi and Liangyue, Cao.
260 ▼a Boston, Mass. : ▼b Kluwer Academic Pub. , ▼c 2002.
300 ▼a xxviii, 488 : ▼b ill. ; ▼c 25 cm.
440 0 ▼a Studies in computational finance ; ▼v v.2.
504 ▼a Includes bibliographical references and index
700 1 ▼a Soofi, Abdol S.
700 1 ▼a Cao, Liangyue

Holdings Information

No. Location Call Number Accession No. Availability Due Date Make a Reservation Service
No. 1 Location Sejong Academic Information Center/Social Science/ Call Number 332.015118 M689 Accession No. 151185521 Availability Available Due Date Make a Reservation Service C

Contents information

Table of Contents

List of Figures. List of Tables. Preface. Contributing Authors. Introduction; A.S. Soofi, Liangyue Cao. Part I: Embedding Theory: Time-Delay Phase Space Reconstruction and Detection of Nonlinear Dynamics. 1. Embedding Theory: Introduction and Applications to Time Series Analysis; F. Strozzi, J.M. Zaldivar. 2. Determining Minimum Embedding Dimension; Liangyue Cao. 3. Mutual Infomation and Relevant Variables for Predictions; B. Pompe. Part. II: Methods of Nonlinear Modelling and Forecasting. 4. State Space Local Linear Prediction; D. Kugiumtzis. 5. Local Polynomial Prediction and Volatility Estimation in Financial Time Series; Zhan-Qian Lu. 6. Kalman Filtering of Time Series Data; D.M. Walker. 7. Radial Basis Functions Networks; A. Braga, et al. 8. Nonlinear Prediction of Time Series Using Wavelet Network Method; Liangyue Cao. Part III: Modelling and Predicting Multivariate and Input-Output Time Series. 9. Nonlinear Modelling and Prediction of Multivariate Financial Time Series; Liangyue Cao. 10. Analysis of Economic Time Series Using NARMAX Polynomial Models; L.A. Aquirre, A. Aguirre. 11. Modeling dynamical systems by Error Correction Neural Networks; H.-G. Zimmermann, et al. Part IV: Problems in Modelling and Prediction. 12. Surrogate Data Test on Time Series; D. Kugiumtzis. 13. Validation of Selected Global Models; C. Letellier. 14. Testing Stationarity in Time Series; A. Witt, J. Kurths. 15. Analysis of Economic Delayed-Feedbak Dynamics; H.U. Voss, J. Kurths. 16. Global Modeling and Differential Embedding; J. Maquet, et al. 17. Estimation of Rules Underlying Fluctuating Data; S. Siegert, et al. 18. Nonlinear Noise Reduction; R. Hegger, et al. 19. Optimal Model Size; Jianming Ye. 20. Influence of Measured Time Series in the Reconstruction of Nonlinear Multivariable Dynamics; C. Letellier, L.A. Aguirre. Part. V: Applications in Economics and Finance. 21. Nonlinear Forecasting of Noisy Financial Data; A.S. Soofi, L. Cao. 22. Canonical Variate Analysis and its Applications to Financial Data; B. Pilgram, et al. Index.


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