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Time Series Analysis Of Stock Prices Using The Box Jenkins Approach
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Book Synopsis Time Series Analysis: Forecasting & Control, 3/E by :
Download or read book Time Series Analysis: Forecasting & Control, 3/E written by and published by Pearson Education India. This book was released on 1994-09 with total page 620 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a complete revision of a classic, seminal, and authoritative text that has been the model for most books on the topic written since 1970. It explores the building of stochastic (statistical) models for time series and their use in important areas of application -forecasting, model specification, estimation, and checking, transfer function modeling of dynamic relationships, modeling the effects of intervention events, and process control.
Book Synopsis Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes) by : Cheng Few Lee
Download or read book Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes) written by Cheng Few Lee and published by World Scientific. This book was released on 2020-07-30 with total page 5053 pages. Available in PDF, EPUB and Kindle. Book excerpt: This four-volume handbook covers important concepts and tools used in the fields of financial econometrics, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance, international finance, options and futures, risk management, and in stress testing for financial institutions. This handbook discusses a variety of econometric methods, including single equation multiple regression, simultaneous equation regression, and panel data analysis, among others. It also covers statistical distributions, such as the binomial and log normal distributions, in light of their applications to portfolio theory and asset management in addition to their use in research regarding options and futures contracts.In both theory and methodology, we need to rely upon mathematics, which includes linear algebra, geometry, differential equations, Stochastic differential equation (Ito calculus), optimization, constrained optimization, and others. These forms of mathematics have been used to derive capital market line, security market line (capital asset pricing model), option pricing model, portfolio analysis, and others.In recent times, an increased importance has been given to computer technology in financial research. Different computer languages and programming techniques are important tools for empirical research in finance. Hence, simulation, machine learning, big data, and financial payments are explored in this handbook.Led by Distinguished Professor Cheng Few Lee from Rutgers University, this multi-volume work integrates theoretical, methodological, and practical issues based on his years of academic and industry experience.
Book Synopsis Nonlinear Time Series by : Jianqing Fan
Download or read book Nonlinear Time Series written by Jianqing Fan and published by Springer Science & Business Media. This book was released on 2008-09-11 with total page 565 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is the first book that integrates useful parametric and nonparametric techniques with time series modeling and prediction, the two important goals of time series analysis. Such a book will benefit researchers and practitioners in various fields such as econometricians, meteorologists, biologists, among others who wish to learn useful time series methods within a short period of time. The book also intends to serve as a reference or text book for graduate students in statistics and econometrics.
Book Synopsis Time Series Modelling of Water Resources and Environmental Systems by : K.W. Hipel
Download or read book Time Series Modelling of Water Resources and Environmental Systems written by K.W. Hipel and published by Elsevier. This book was released on 1994-04-07 with total page 1053 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a comprehensive presentation of the theory and practice of time series modelling of environmental systems. A variety of time series models are explained and illustrated, including ARMA (autoregressive-moving average), nonstationary, long memory, three families of seasonal, multiple input-single output, intervention and multivariate ARMA models. Other topics in environmetrics covered in this book include time series analysis in decision making, estimating missing observations, simulation, the Hurst phenomenon, forecasting experiments and causality. Professionals working in fields overlapping with environmetrics - such as water resources engineers, environmental scientists, hydrologists, geophysicists, geographers, earth scientists and planners - will find this book a valuable resource. Equally, environmetrics, systems scientists, economists, mechanical engineers, chemical engineers, and management scientists will find the time series methods presented in this book useful.
Book Synopsis Introduction to Time Series and Forecasting by : Peter J. Brockwell
Download or read book Introduction to Time Series and Forecasting written by Peter J. Brockwell and published by Springer Science & Business Media. This book was released on 2013-03-14 with total page 429 pages. Available in PDF, EPUB and Kindle. Book excerpt: Some of the key mathematical results are stated without proof in order to make the underlying theory acccessible to a wider audience. The book assumes a knowledge only of basic calculus, matrix algebra, and elementary statistics. The emphasis is on methods and the analysis of data sets. The logic and tools of model-building for stationary and non-stationary time series are developed in detail and numerous exercises, many of which make use of the included computer package, provide the reader with ample opportunity to develop skills in this area. The core of the book covers stationary processes, ARMA and ARIMA processes, multivariate time series and state-space models, with an optional chapter on spectral analysis. Additional topics include harmonic regression, the Burg and Hannan-Rissanen algorithms, unit roots, regression with ARMA errors, structural models, the EM algorithm, generalized state-space models with applications to time series of count data, exponential smoothing, the Holt-Winters and ARAR forecasting algorithms, transfer function models and intervention analysis. Brief introducitons are also given to cointegration and to non-linear, continuous-time and long-memory models. The time series package included in the back of the book is a slightly modified version of the package ITSM, published separately as ITSM for Windows, by Springer-Verlag, 1994. It does not handle such large data sets as ITSM for Windows, but like the latter, runs on IBM-PC compatible computers under either DOS or Windows (version 3.1 or later). The programs are all menu-driven so that the reader can immediately apply the techniques in the book to time series data, with a minimal investment of time in the computational and algorithmic aspects of the analysis.
Book Synopsis Practical Time Series Analysis by : Aileen Nielsen
Download or read book Practical Time Series Analysis written by Aileen Nielsen and published by O'Reilly Media. This book was released on 2019-09-20 with total page 500 pages. Available in PDF, EPUB and Kindle. Book excerpt: Time series data analysis is increasingly important due to the massive production of such data through the internet of things, the digitalization of healthcare, and the rise of smart cities. As continuous monitoring and data collection become more common, the need for competent time series analysis with both statistical and machine learning techniques will increase. Covering innovations in time series data analysis and use cases from the real world, this practical guide will help you solve the most common data engineering and analysis challengesin time series, using both traditional statistical and modern machine learning techniques. Author Aileen Nielsen offers an accessible, well-rounded introduction to time series in both R and Python that will have data scientists, software engineers, and researchers up and running quickly. You’ll get the guidance you need to confidently: Find and wrangle time series data Undertake exploratory time series data analysis Store temporal data Simulate time series data Generate and select features for a time series Measure error Forecast and classify time series with machine or deep learning Evaluate accuracy and performance
Book Synopsis Forecasting: principles and practice by : Rob J Hyndman
Download or read book Forecasting: principles and practice written by Rob J Hyndman and published by OTexts. This book was released on 2018-05-08 with total page 380 pages. Available in PDF, EPUB and Kindle. Book excerpt: Forecasting is required in many situations. Stocking an inventory may require forecasts of demand months in advance. Telecommunication routing requires traffic forecasts a few minutes ahead. Whatever the circumstances or time horizons involved, forecasting is an important aid in effective and efficient planning. This textbook provides a comprehensive introduction to forecasting methods and presents enough information about each method for readers to use them sensibly.
Book Synopsis Analysis and Forecasting of Financial Time Series by : Jaydip Sen
Download or read book Analysis and Forecasting of Financial Time Series written by Jaydip Sen and published by Cambridge Scholars Publishing. This book was released on 2022-10-11 with total page 405 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book brings together real-world cases illustrating how to analyse volatile financial time series in order to provide a better understanding of their past behavior and robust forecasting of their future behavioural patterns. Using time series data from diverse financial sectors, it shows how the concepts and techniques of statistical analysis, machine learning, and deep learning are applied to build robust predictive models, as well as the ways in which these models can be used for forecasting the future prices of stocks and constructing profitable portfolios of investments. All the concepts and methods used in the book have been implemented using Python and R languages on TensorFlow and Keras frameworks. The volume will be particularly useful for advanced postgraduate and doctoral students of finance, economics, econometrics, statistics, data science, computer science, and information technology.
Book Synopsis Introduction to Time Series Analysis and Forecasting by : Douglas C. Montgomery
Download or read book Introduction to Time Series Analysis and Forecasting written by Douglas C. Montgomery and published by John Wiley & Sons. This book was released on 2015-04-21 with total page 670 pages. Available in PDF, EPUB and Kindle. Book excerpt: Praise for the First Edition "...[t]he book is great for readers who need to apply the methods and models presented but have little background in mathematics and statistics." -MAA Reviews Thoroughly updated throughout, Introduction to Time Series Analysis and Forecasting, Second Edition presents the underlying theories of time series analysis that are needed to analyze time-oriented data and construct real-world short- to medium-term statistical forecasts. Authored by highly-experienced academics and professionals in engineering statistics, the Second Edition features discussions on both popular and modern time series methodologies as well as an introduction to Bayesian methods in forecasting. Introduction to Time Series Analysis and Forecasting, Second Edition also includes: Over 300 exercises from diverse disciplines including health care, environmental studies, engineering, and finance More than 50 programming algorithms using JMP®, SAS®, and R that illustrate the theory and practicality of forecasting techniques in the context of time-oriented data New material on frequency domain and spatial temporal data analysis Expanded coverage of the variogram and spectrum with applications as well as transfer and intervention model functions A supplementary website featuring PowerPoint® slides, data sets, and select solutions to the problems Introduction to Time Series Analysis and Forecasting, Second Edition is an ideal textbook upper-undergraduate and graduate-levels courses in forecasting and time series. The book is also an excellent reference for practitioners and researchers who need to model and analyze time series data to generate forecasts.
Book Synopsis Time Series Analysis of Discourse by : Dennis Tay
Download or read book Time Series Analysis of Discourse written by Dennis Tay and published by Routledge. This book was released on 2018-11-09 with total page 176 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume serves as a comprehensive introduction to Time Series Analysis (TSA), used commonly in financial and engineering sciences, to demonstrate its potential to complement qualitative approaches in discourse analysis research. The book begins by discussing how time has previously been conceptualized in the literature, drawing on studies from variationist sociolinguistics, corpus linguistics, and Critical Discourse Analysis. The volume then segues into a discussion of how TSA is applied in other contexts in which observed values are expected to be dependent on earlier values, such as stock markets and sales figures, and introduces a range of discourse-specific contexts to show how the technique might be extended to analyze trends or shed further light on relevant themes in discourse over time. Each successive chapter features a different discourse context as a case study, from psychotherapy sessions, university lectures, and news articles, and looks at how studying different variables over time in each context – metaphors, involvement markers, and keywords, respectively – can contribute to a greater understanding of both present and future discourse activity in these settings. Taken together, this book highlights the value of TSA as a complementary approach to meaning-based analysis in discourse, making this ideal reading for graduate students and scholars in discourse analysis looking to employ quantitative methods in their research practice.
Author :Gebhard Kirchgässner Publisher :Springer Science & Business Media ISBN 13 :9783540687351 Total Pages :288 pages Book Rating :4.6/5 (873 download)
Book Synopsis Introduction to Modern Time Series Analysis by : Gebhard Kirchgässner
Download or read book Introduction to Modern Time Series Analysis written by Gebhard Kirchgässner and published by Springer Science & Business Media. This book was released on 2008-08-27 with total page 288 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents modern developments in time series econometrics that are applied to macroeconomic and financial time series. It contains the most important approaches to analyze time series which may be stationary or nonstationary.
Book Synopsis Forecasting with Univariate Box - Jenkins Models by : Alan Pankratz
Download or read book Forecasting with Univariate Box - Jenkins Models written by Alan Pankratz and published by John Wiley & Sons. This book was released on 1983-08-30 with total page 584 pages. Available in PDF, EPUB and Kindle. Book excerpt: Explains the concepts and use of univariate Box-Jenkins/ARIMA analysis and forecasting through 15 case studies. Cases show how to build good ARIMA models in a step-by-step manner using real data. Also includes examples of model misspecification. Provides guidance to alternative models and discusses reasons for choosing one over another.
Book Synopsis Practical Machine Learning with Python by : Dipanjan Sarkar
Download or read book Practical Machine Learning with Python written by Dipanjan Sarkar and published by Apress. This book was released on 2017-12-20 with total page 545 pages. Available in PDF, EPUB and Kindle. Book excerpt: Master the essential skills needed to recognize and solve complex problems with machine learning and deep learning. Using real-world examples that leverage the popular Python machine learning ecosystem, this book is your perfect companion for learning the art and science of machine learning to become a successful practitioner. The concepts, techniques, tools, frameworks, and methodologies used in this book will teach you how to think, design, build, and execute machine learning systems and projects successfully. Practical Machine Learning with Python follows a structured and comprehensive three-tiered approach packed with hands-on examples and code. Part 1 focuses on understanding machine learning concepts and tools. This includes machine learning basics with a broad overview of algorithms, techniques, concepts and applications, followed by a tour of the entire Python machine learning ecosystem. Brief guides for useful machine learning tools, libraries and frameworks are also covered. Part 2 details standard machine learning pipelines, with an emphasis on data processing analysis, feature engineering, and modeling. You will learn how to process, wrangle, summarize and visualize data in its various forms. Feature engineering and selection methodologies will be covered in detail with real-world datasets followed by model building, tuning, interpretation and deployment. Part 3 explores multiple real-world case studies spanning diverse domains and industries like retail, transportation, movies, music, marketing, computer vision and finance. For each case study, you will learn the application of various machine learning techniques and methods. The hands-on examples will help you become familiar with state-of-the-art machine learning tools and techniques and understand what algorithms are best suited for any problem. Practical Machine Learning with Python will empower you to start solving your own problems with machine learning today! What You'll Learn Execute end-to-end machine learning projects and systems Implement hands-on examples with industry standard, open source, robust machine learning tools and frameworks Review case studies depicting applications of machine learning and deep learning on diverse domains and industries Apply a wide range of machine learning models including regression, classification, and clustering. Understand and apply the latest models and methodologies from deep learning including CNNs, RNNs, LSTMs and transfer learning. Who This Book Is For IT professionals, analysts, developers, data scientists, engineers, graduate students
Book Synopsis Financial Economics and Econometrics by : Nikiforos T. Laopodis
Download or read book Financial Economics and Econometrics written by Nikiforos T. Laopodis and published by Taylor & Francis. This book was released on 2021-12-14 with total page 767 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Economics and Econometrics provides an overview of the core topics in theoretical and empirical finance, with an emphasis on applications and interpreting results. Structured in five parts, the book covers financial data and univariate models; asset returns; interest rates, yields and spreads; volatility and correlation; and corporate finance and policy. Each chapter begins with a theory in financial economics, followed by econometric methodologies which have been used to explore the theory. Next, the chapter presents empirical evidence and discusses seminal papers on the topic. Boxes offer insights on how an idea can be applied to other disciplines such as management, marketing and medicine, showing the relevance of the material beyond finance. Readers are supported with plenty of worked examples and intuitive explanations throughout the book, while key takeaways, ‘test your knowledge’ and ‘test your intuition’ features at the end of each chapter also aid student learning. Digital supplements including PowerPoint slides, computer codes supplements, an Instructor’s Manual and Solutions Manual are available for instructors. This textbook is suitable for upper-level undergraduate and graduate courses on financial economics, financial econometrics, empirical finance and related quantitative areas.
Book Synopsis Advances in Computing and Data Sciences by : Mayank Singh
Download or read book Advances in Computing and Data Sciences written by Mayank Singh and published by Springer. This book was released on 2019-07-18 with total page 771 pages. Available in PDF, EPUB and Kindle. Book excerpt: This two-volume set (CCIS 1045 and CCIS 1046) constitutes the refereed proceedings of the Third International Conference on Advances in Computing and Data Sciences, ICACDS 2019, held in Ghaziabad, India, in April 2019. The 112 full papers were carefully reviewed and selected from 621 submissions. The papers are centered around topics like advanced computing, data sciences, distributed systems organizing principles, development frameworks and environments, software verification and validation, computational complexity and cryptography, machine learning theory, database theory, probabilistic representations.
Book Synopsis Data Analytics for Discourse Analysis with Python by : Dennis Tay
Download or read book Data Analytics for Discourse Analysis with Python written by Dennis Tay and published by Taylor & Francis. This book was released on 2024-04-19 with total page 190 pages. Available in PDF, EPUB and Kindle. Book excerpt: This concise volume, using examples of psychotherapy talk, showcases the potential applications of data analytics for advancing discourse research and other related disciplines. The book provides a brief primer on data analytics, defined as the science of analyzing raw data to reveal new insights and support decision making. Currently underutilized in discourse research, Tay draws on the case of psychotherapy talk, in which clients’ concerns are worked through via verbal interaction with therapists, to demonstrate how data analytics can address both practical and theoretical concerns. Each chapter follows a consistent structure, offering a streamlined walkthrough of a key technique, an example case study, and annotated Python code. The volume shows how techniques such as simulations, classification, clustering, and time series analysis can address such issues as incomplete data transcripts, therapist–client (a)synchrony, and client prognosis, offering inspiration for research, training, and practitioner self-reflection in psychotherapy and other discourse contexts. This volume is a valuable resource for discourse and linguistics researchers, particularly for those interested in complementary approaches to qualitative methods, as well as active practitioners.
Book Synopsis Time-Series Forecasting by : Chris Chatfield
Download or read book Time-Series Forecasting written by Chris Chatfield and published by CRC Press. This book was released on 2000-10-25 with total page 281 pages. Available in PDF, EPUB and Kindle. Book excerpt: From the author of the bestselling "Analysis of Time Series," Time-Series Forecasting offers a comprehensive, up-to-date review of forecasting methods. It provides a summary of time-series modelling procedures, followed by a brief catalogue of many different time-series forecasting methods, ranging from ad-hoc methods through ARIMA and state-space
