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Multifractal Financial Markets
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Author :Yasmine Hayek Kobeissi Publisher :Springer Science & Business Media ISBN 13 :146144490X Total Pages :137 pages Book Rating :4.4/5 (614 download)
Book Synopsis Multifractal Financial Markets by : Yasmine Hayek Kobeissi
Download or read book Multifractal Financial Markets written by Yasmine Hayek Kobeissi and published by Springer Science & Business Media. This book was released on 2012-07-23 with total page 137 pages. Available in PDF, EPUB and Kindle. Book excerpt: Multifractal Financial Markets explores appropriate models for estimating risk and profiting from market swings, allowing readers to develop enhanced portfolio management skills and strategies. Fractals in finance allow us to understand market instability and persistence. When applied to financial markets, these models produce the requisite amount of data necessary for gauging market risk in order to mitigate loss. This brief delves deep into the multifractal market approach to portfolio management through real-world examples and case studies, providing readers with the tools they need to forecast profound shifts in market activity.
Book Synopsis Multifractal Volatility by : Laurent E. Calvet
Download or read book Multifractal Volatility written by Laurent E. Calvet and published by Academic Press. This book was released on 2008-10-13 with total page 273 pages. Available in PDF, EPUB and Kindle. Book excerpt: Calvet and Fisher present a powerful, new technique for volatility forecasting that draws on insights from the use of multifractals in the natural sciences and mathematics and provides a unified treatment of the use of multifractal techniques in finance. A large existing literature (e.g., Engle, 1982; Rossi, 1995) models volatility as an average of past shocks, possibly with a noise component. This approach often has difficulty capturing sharp discontinuities and large changes in financial volatility. Their research has shown the advantages of modelling volatility as subject to abrupt regime changes of heterogeneous durations. Using the intuition that some economic phenomena are long-lasting while others are more transient, they permit regimes to have varying degrees of persistence. By drawing on insights from the use of multifractals in the natural sciences and mathematics, they show how to construct high-dimensional regime-switching models that are easy to estimate, and substantially outperform some of the best traditional forecasting models such as GARCH. The goal of Multifractal Volatility is to popularize the approach by presenting these exciting new developments to a wider audience. They emphasize both theoretical and empirical applications, beginning with a style that is easily accessible and intuitive in early chapters, and extending to the most rigorous continuous-time and equilibrium pricing formulations in final chapters. - Presents a powerful new technique for forecasting volatility - Leads the reader intuitively from existing volatility techniques to the frontier of research in this field by top scholars at major universities - The first comprehensive book on multifractal techniques in finance, a cutting-edge field of research
Book Synopsis The (Mis)Behaviour of Markets by : Benoit B. Mandelbrot
Download or read book The (Mis)Behaviour of Markets written by Benoit B. Mandelbrot and published by Profile Books. This book was released on 2010-10-01 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: This international bestseller, which foreshadowed a market crash, explains why it could happen again if we don't act now. Fractal geometry is the mathematics of roughness: how to reduce the outline of a jagged leaf or static in a computer connection to a few simple mathematical properties. With his fractal tools, Mandelbrot has got to the bottom of how financial markets really work. He finds they have a shifting sense of time and wild behaviour that makes them volatile, dangerous - and beautiful. In his models, the complex gyrations of the FTSE 100 and exchange rates can be reduced to straightforward formulae that yield a much more accurate description of the risks involved.
Book Synopsis Multifractal Detrended Analysis Method and Its Application in Financial Markets by : Guangxi Cao
Download or read book Multifractal Detrended Analysis Method and Its Application in Financial Markets written by Guangxi Cao and published by Springer. This book was released on 2018-02-18 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book collects high-quality papers on the latest fundamental advances in the state of Econophysics and Management Science, providing insights that address problems concerning the international economy, social development and economic security. This book applies the multi-fractal detrended class method, and improves the method with different filters. The authors apply those methods to a variety of areas: financial markets, energy markets, gold market and so on. This book is arguably a systematic research and summary of various kinds of multi-fractal detrended methods. Furthermore, it puts forward some investment suggestions on a healthy development of financial markets.
Book Synopsis The Oxford Handbook of Computational Economics and Finance by : Shu-Heng Chen
Download or read book The Oxford Handbook of Computational Economics and Finance written by Shu-Heng Chen and published by Oxford University Press. This book was released on 2018-01-12 with total page 785 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Oxford Handbook of Computational Economics and Finance provides a survey of both the foundations of and recent advances in the frontiers of analysis and action. It is both historically and interdisciplinarily rich and also tightly connected to the rise of digital society. It begins with the conventional view of computational economics, including recent algorithmic development in computing rational expectations, volatility, and general equilibrium. It then moves from traditional computing in economics and finance to recent developments in natural computing, including applications of nature-inspired intelligence, genetic programming, swarm intelligence, and fuzzy logic. Also examined are recent developments of network and agent-based computing in economics. How these approaches are applied is examined in chapters on such subjects as trading robots and automated markets. The last part deals with the epistemology of simulation in its trinity form with the integration of simulation, computation, and dynamics. Distinctive is the focus on natural computationalism and the examination of the implications of intelligent machines for the future of computational economics and finance. Not merely individual robots, but whole integrated systems are extending their "immigration" to the world of Homo sapiens, or symbiogenesis.
Book Synopsis Fractal Market Analysis by : Edgar E. Peters
Download or read book Fractal Market Analysis written by Edgar E. Peters and published by John Wiley & Sons. This book was released on 1994-02-08 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: A leading pioneer in the field offers practical applications of this innovative science. Peters describes complex concepts in an easy-to-follow manner for the non-mathematician. He uses fractals, rescaled range analysis and nonlinear dynamical models to explain behavior and understand price movements. These are specific tools employed by chaos scientists to map and measure physical and now, economic phenomena.
Book Synopsis Financial Market Risk by : Cornelis Los
Download or read book Financial Market Risk written by Cornelis Los and published by Routledge. This book was released on 2003-07-24 with total page 513 pages. Available in PDF, EPUB and Kindle. Book excerpt: This new book uses advanced signal processing technology to measure and analyze risk phenomena of the financial markets. It explains how to scientifically measure, analyze and manage non-stationarity and long-term time dependence (long memory) of financial market returns. It studies, in particular, financial crises in persistent financial markets,
Book Synopsis The Statistical Mechanics of Financial Markets by : Johannes Voit
Download or read book The Statistical Mechanics of Financial Markets written by Johannes Voit and published by Springer Science & Business Media. This book was released on 2013-04-17 with total page 298 pages. Available in PDF, EPUB and Kindle. Book excerpt: This textbook describes parallels between statistical physics and finance - both those established in the 100-year-long interaction between these disciplines, as well as new research results on capital markets. The random walk, well known in physics, is also the basic model in finance, upon which are built, for example, the Black--Scholes theory of option pricing and hedging, or methods of risk control using diversification. Here the underlying assumptions are discussed using empirical financial data and analogies to physical models such as fluid flows, turbulence, or superdiffusion. On this basis, new theories of derivative pricing and risk control can be formulated. Computer simulations of interacting agent models of financial markets provide insights into the origins of asset price fluctuations. Stock exchange crashes can be modelled in ways analogous to phase transitions and earthquakes. These models allow for predictions. This study edition has been updated with a presentation of several new and significant developments, e.g. the dynamics of volatility smiles and implied volatility surfaces, path integral approaches to option pricing, a new and accurate simulation scheme for options, multifractals, the application of nonextensive statistical mechanics to financial markets, and the minority game. Moreover, the book was scanned for and corrected from errors, both typographical and in presentation.
Book Synopsis Applications of Fractals and Chaos by : A.J. Crilly
Download or read book Applications of Fractals and Chaos written by A.J. Crilly and published by Springer Science & Business Media. This book was released on 2013-11-11 with total page 312 pages. Available in PDF, EPUB and Kindle. Book excerpt: Applications of Fractals and Chaos presents new developments in this rapidlydeveloping subject area. The presentation is more than merely theoretical, it specifically presents particular applications in a wide range of applications areas. Under the oceans, we consider the ways in which sponges and corals grow; we look, too, at the stability of ships on their surfaces. Land itself is modelled and applications to art, medicineand camouflage are presented. Readers should find general interest in the range of areas considered and should also be able to discover methods of value for their own specific areas of interest from studying the structure of related activities.
Book Synopsis Financial Market Risk by : Cornelis Los
Download or read book Financial Market Risk written by Cornelis Los and published by Routledge. This book was released on 2003-07-24 with total page 483 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book covers the latest theories and empirical findings of financial risk, its measurement and management, and its applications in the world of finance.
Book Synopsis The Statistical Mechanics of Financial Markets by : Johannes Voit
Download or read book The Statistical Mechanics of Financial Markets written by Johannes Voit and published by Springer Science & Business Media. This book was released on 2013-06-29 with total page 227 pages. Available in PDF, EPUB and Kindle. Book excerpt: A careful examination of the interaction between physics and finance. It takes a look at the 100-year-long history of co-operation between the two fields and goes on to provide new research results on capital markets - taken from the field of statistical physics. The random walk model, well known in physics, is one good example of where the two disciplines meet. In the world of finance it is the basic model upon which the Black-Scholes theory of option pricing and hedging has been built. The underlying assumptions are discussed using empirical financial data and analogies to physical models such as fluid flows, turbulence, or superdiffusion. On this basis, new theories of derivative pricing and risk control can be formulated.
Book Synopsis Multifractals and 1/ƒ Noise by : Benoit B. Mandelbrot
Download or read book Multifractals and 1/ƒ Noise written by Benoit B. Mandelbrot and published by Springer. This book was released on 2013-12-20 with total page 448 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mandelbrot is a world renowned scientist, known for his pioneering research in fractal geometry and chaos theory. In this volume, Mandelbrot defends the view that multifractals are intimately interrelated through the two fractal themes of "wildness" and "self-affinity". This link involves a powerful collection of technical tools, which are of use to diverse scientific communities. Among the topics covered are: 1/f noise, fractal dimension and turbulence, sporadic random functions, and a new model for error clustering on telephone circuits.
Book Synopsis Research on Volatility and Contagion Effect in Stock Market by : Dexiang Mei
Download or read book Research on Volatility and Contagion Effect in Stock Market written by Dexiang Mei and published by Scientific Research Publishing, Inc. USA. This book was released on 2020-12-06 with total page 131 pages. Available in PDF, EPUB and Kindle. Book excerpt: The volatility has been one of the cores of the financial theory research, in addition to the stock markets is an important part of modern financial markets. Research on volatility and contagion effect in stock market is an important part of the theory of financial markets research. This book in-cludes the following four parts.
Book Synopsis An Introduction to Wavelets and Other Filtering Methods in Finance and Economics by : Ramazan Gençay
Download or read book An Introduction to Wavelets and Other Filtering Methods in Finance and Economics written by Ramazan Gençay and published by Elsevier. This book was released on 2001-10-12 with total page 383 pages. Available in PDF, EPUB and Kindle. Book excerpt: An Introduction to Wavelets and Other Filtering Methods in Finance and Economics presents a unified view of filtering techniques with a special focus on wavelet analysis in finance and economics. It emphasizes the methods and explanations of the theory that underlies them. It also concentrates on exactly what wavelet analysis (and filtering methods in general) can reveal about a time series. It offers testing issues which can be performed with wavelets in conjunction with the multi-resolution analysis. The descriptive focus of the book avoids proofs and provides easy access to a wide spectrum of parametric and nonparametric filtering methods. Examples and empirical applications will show readers the capabilities, advantages, and disadvantages of each method. - The first book to present a unified view of filtering techniques - Concentrates on exactly what wavelets analysis and filtering methods in general can reveal about a time series - Provides easy access to a wide spectrum of parametric and non-parametric filtering methods
Download or read book Turbulence written by Uriel Frisch and published by Cambridge University Press. This book was released on 1995-11-30 with total page 318 pages. Available in PDF, EPUB and Kindle. Book excerpt: This textbook presents a modern account of turbulence, one of the greatest challenges in physics. The state-of-the-art is put into historical perspective five centuries after the first studies of Leonardo and half a century after the first attempt by A. N. Kolmogorov to predict the properties of flow at very high Reynolds numbers. Such 'fully developed turbulence' is ubiquitous in both cosmical and natural environments, in engineering applications and in everyday life. The intended readership for the book ranges from first-year graduate students in mathematics, physics, astrophysics, geosciences and engineering, to professional scientists and engineers. Elementary presentations of dynamical systems ideas, of probabilistic methods (including the theory of large deviations) and of fractal geometry make this a self-contained textbook.
Book Synopsis Theory of Financial Risk and Derivative Pricing by : Jean-Philippe Bouchaud
Download or read book Theory of Financial Risk and Derivative Pricing written by Jean-Philippe Bouchaud and published by Cambridge University Press. This book was released on 2003-12-11 with total page 410 pages. Available in PDF, EPUB and Kindle. Book excerpt: Risk control and derivative pricing have become of major concern to financial institutions, and there is a real need for adequate statistical tools to measure and anticipate the amplitude of the potential moves of the financial markets. Summarising theoretical developments in the field, this 2003 second edition has been substantially expanded. Additional chapters now cover stochastic processes, Monte-Carlo methods, Black-Scholes theory, the theory of the yield curve, and Minority Game. There are discussions on aspects of data analysis, financial products, non-linear correlations, and herding, feedback and agent based models. This book has become a classic reference for graduate students and researchers working in econophysics and mathematical finance, and for quantitative analysts working on risk management, derivative pricing and quantitative trading strategies.
Book Synopsis Advanced Models of Energy Forecasting by : Xun Zhang
Download or read book Advanced Models of Energy Forecasting written by Xun Zhang and published by Frontiers Media SA. This book was released on 2022-11-23 with total page 200 pages. Available in PDF, EPUB and Kindle. Book excerpt:
