Modelling and Forecasting Financial Data: Techniques of Nonlinear Dynamics (Studies in Computational Finance, Volume 2)
Автор:Abdol S. Soofi, Liangyue Cao Год: [не указано] Издание: [не указанo] Страниц: [не указано] ISBN: 0792376803 Over the last decade, dynamical systems theory and related nonlinear methods have had a major impact on the analysis of time series data from complex systems. Recent developments in mathematical methods of state-space reconstruction, time-delay embedding, and surrogate data analysis, coupled with readily accessible and powerful computational facilities used in gathering and processing massive quantities of high-frequency data, have provided theorists and practitioners unparalleled opportunities for exploratory data analysis, modelling, forecasting, and control. Until now, research exploring the application of nonlinear dynamics and associated algorithms to the study of economies and markets as complex systems is sparse and fragmentary at best. Modelling and Forecasting Financial Data brings together a coherent and accessible set of chapters on recent research results on this topic. To make such methods readily useful in practice, the contributors to this volume have agreed to make...
