{"product_id":"nonlinear-modelling-of-high-frequency-financial-time-series-hardback-9780471974642","title":"Nonlinear Modelling of High Frequency Financial Time Series (Hardback) 9780471974642","description":"\u003cfont face=\"Georgia\"\u003e\r\n\u003cp\u003e\u003cfont size=\"6\"\u003eNonlinear Modelling of High Frequency Financial Time Series\u003c\/font\u003e\u003cbr\u003e\r\n\r\n\r\n\r\n\r\n\r\n\u003c\/p\u003e\n\u003cp\u003e\u003cfont size=\"4\"\u003eChristian L. Dunis (Edited by), C Dunis (Author), Bin Zhou (Edited by)\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e9780471974642, Wiley\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003eHardback, published 27 May 1998\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e336 pages\u003cbr\u003e23.2 x 15.8 x 2.4 cm, 0.624 kg\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\r\n\r\n\r\n\u003cp align=\"justify\"\u003e\u003cstrong\u003e\u003cfont size=\"3\"\u003eNonlinear Modelling of High Frequency Financial Time Series Edited by Christian Dunis and Bin Zhou In the competitive and risky environment of today's financial markets, daily prices and models based upon low frequency price series data do not provide the level of accuracy required by traders and a growing number of risk managers. To improve results, more and more researchers and practitioners are turning to high frequency data. Nonlinear Modelling of High Frequency Financial Time Series presents the latest developments and views of leading international researchers and market practitioners, in modelling high frequency data in finance. Combining both nonlinear modelling and intraday data for financial markets, the editors provide a fascinating foray into this extremely popular discipline. This book evolves around four major themes. The first introductory section focuses on high frequency financial data. The second part examines the exact nature of the time series considered: several linearity tests are presented and applied and their modelling implications assessed. The third and fourth parts are dedicated to modelling and forecasting these financial time series.\u003c\/font\u003e\u003c\/strong\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003eHIGH FREQUENCY MODELS IN FINANCE: MOTIVATIONS AND THEORETICAL ISSUES.\u003cbr\u003e \u003cbr\u003e Modelling with High Frequency Data: A Growing Interest for Financial Economists and Fund Managers (M. Gavridis).\u003cbr\u003e \u003cbr\u003e High Frequency Foreign Exchange Rates: Price Behavior Analysis and 'True Price' Models (J. Moody \u0026amp; L. Wu).\u003cbr\u003e \u003cbr\u003e DETECTING NONLINEARITIES IN HIGH FREQUENCY DATA: EMPIRICAL TESTS AND MODELLING IMPLICATIONS.\u003cbr\u003e \u003cbr\u003e Testing Linearity with Information-Theoretic Statistics and the Bootstrap (F. Acosta).\u003cbr\u003e \u003cbr\u003e Testing for Linearity: A Frequency Domain Approach (J. Drunat, et al.).\u003cbr\u003e \u003cbr\u003e Stochastic or Chaotic Dynamics in High Frequency Financial Data (D. Guégan \u0026amp; L. Mercier).\u003cbr\u003e \u003cbr\u003e F-consistency, De-volatization and Normalization of High Frequency Financial Data (B. Zhou).\u003cbr\u003e \u003cbr\u003e PARAMETRIC MODELS FOR NONLINEAR FINANCIAL TIME SERIES.\u003cbr\u003e \u003cbr\u003e High Frequency Financial Time Series Data: Some Stylized Facts and Models of Stochastic Volatility (E. Ghysels, et al.).\u003cbr\u003e \u003cbr\u003e Modelling Short-term Volatility with GARCH and HARCH Models (M. Dacorogna, et al.).\u003cbr\u003e \u003cbr\u003e High Frequency Switching Regimes: A Continuous-time Threshold Process (R. Dacco' \u0026amp; S. Satchell).\u003cbr\u003e \u003cbr\u003e Modelling Burst Phenomena: Bilinear and Autoregressive Exponential Models (J. Drunat, et al.).\u003cbr\u003e \u003cbr\u003e NON-PARAMETRIC MODELS FOR NONLINEAR FINANCIAL TIME SERIES.\u003cbr\u003e \u003cbr\u003e Application of Neural Networks to Forecast High Frequency Data: Foreign Exchange (P. Bolland, et al.).\u003cbr\u003e \u003cbr\u003e An Application of Genetic Algorithms to High Frequency Trading Models: A Case Study (C. Dunis, et al.).\u003cbr\u003e \u003cbr\u003e High Frequency Exchange Rate Forecasting by the Nearest Neighbours Method (H. Alexandre, et al.).\u003cbr\u003e \u003cbr\u003e Index.\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003eSubject Areas: Economics [\u003ca title=\"See our other books on Economics\" href=\"https:\/\/freshlyprintedbooks.co.uk\/search?q=%22Economics%20%5BKC%5D%22\"\u003eKC\u003c\/a\u003e]\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\u003c\/font\u003e","brand":"Wiley","offers":[{"title":"Brand New","offer_id":52316728131864,"sku":"9780471974642","price":94.39,"currency_code":"GBP","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0730\/2037\/5320\/files\/9780471974642.jpg?v=1781822695","url":"https:\/\/freshlyprintedbooks.co.uk\/products\/nonlinear-modelling-of-high-frequency-financial-time-series-hardback-9780471974642","provider":"Freshly Printed Books","version":"1.0","type":"link"}