Download or read online books in PDF, EPUB and Mobi Format. Click Download or Read Online button to get book now. This site is like a library, Use search box in the widget to get ebook that you want.

An Introduction to Wavelets and Other Filtering Methods in Finance and Economics

An Introduction to Wavelets and Other Filtering Methods in Finance and Economics Author Ramazan Gençay
ISBN-10 0080509223
Release 2001-10-12
Pages 359
Download Link Click Here

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



An Introduction to Wavelets and Other Filtering Methods in Finance and Economics

An Introduction to Wavelets and Other Filtering Methods in Finance and Economics Author Ramazan Gençay
ISBN-10 0122796705
Release 2002
Pages 359
Download Link Click Here

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



An Introduction to Wavelet Theory in Finance

An Introduction to Wavelet Theory in Finance Author Francis In
ISBN-10 9789814397841
Release 2013
Pages 204
Download Link Click Here

This book offers an introduction to wavelet theory and provides the essence of wavelet analysis OCo including Fourier analysis and spectral analysis; the maximum overlap discrete wavelet transform; wavelet variance, covariance, and correlation OCo in a unified and friendly manner. It aims to bridge the gap between theory and practice by presenting substantial applications of wavelets in economics and finance.This book is the first to provide a comprehensive application of wavelet analysis to financial markets, covering new frontier issues in empirical finance and economics. The first chapter of this unique text starts with a description of the key features and applications of wavelets. After an overview of wavelet analysis, successive chapters rigorously examine the various economic and financial topics and issues that stimulate academic and professional research, including equity, interest swaps, hedges and futures, foreign exchanges, financial asset pricing, and mutual fund markets.This detail-oriented text is descriptive and designed purely for academic researchers and financial practitioners. It assumes no prior knowledge of econometrics and covers important topics such as portfolio asset allocation, asset pricing, hedging strategies, new risk measures, and mutual fund performance. Its accessible presentation is also suitable for post-graduates in a variety of disciplines OCo applied economics, financial engineering, international finance, financial econometrics, and fund management. To facilitate the subject of wavelets, sophisticated proofs and mathematics are avoided as much as possible when applying the wavelet multiscaling method. To enhance the reader''s understanding in practical applications of the wavelet multiscaling method, this book provides sample programming instruction backed by Matlab wavelet code.



Wavelet Methods in Statistics with R

Wavelet Methods in Statistics with R Author Guy Nason
ISBN-10 9780387759616
Release 2010-07-25
Pages 259
Download Link Click Here

This book contains information on how to tackle many important problems using a multiscale statistical approach. It focuses on how to use multiscale methods and discusses methodological and applied considerations.



Wavelet Methods for Time Series Analysis

Wavelet Methods for Time Series Analysis Author Donald B. Percival
ISBN-10 0521685087
Release 2006-02-27
Pages 594
Download Link Click Here

This book contains detailed descriptions of the theory and algorithms needed to understand and implement discrete wavelet transforms.



Wavelet Applications in Economics and Finance

Wavelet Applications in Economics and Finance Author Marco Gallegati
ISBN-10 9783319070612
Release 2014-08-04
Pages 261
Download Link Click Here

This book deals with the application of wavelet and spectral methods for the analysis of nonlinear and dynamic processes in economics and finance. It reflects some of the latest developments in the area of wavelet methods applied to economics and finance. The topics include business cycle analysis, asset prices, financial econometrics, and forecasting. An introductory paper by James Ramsey, providing a personal retrospective of a decade's research on wavelet analysis, offers an excellent overview over the field.



An Introduction to High Frequency Finance

An Introduction to High Frequency Finance Author Ramazan Gençay
ISBN-10 008049904X
Release 2001-05-29
Pages 383
Download Link Click Here

Liquid markets generate hundreds or thousands of ticks (the minimum change in price a security can have, either up or down) every business day. Data vendors such as Reuters transmit more than 275,000 prices per day for foreign exchange spot rates alone. Thus, high-frequency data can be a fundamental object of study, as traders make decisions by observing high-frequency or tick-by-tick data. Yet most studies published in financial literature deal with low frequency, regularly spaced data. For a variety of reasons, high-frequency data are becoming a way for understanding market microstructure. This book discusses the best mathematical models and tools for dealing with such vast amounts of data. This book provides a framework for the analysis, modeling, and inference of high frequency financial time series. With particular emphasis on foreign exchange markets, as well as currency, interest rate, and bond futures markets, this unified view of high frequency time series methods investigates the price formation process and concludes by reviewing techniques for constructing systematic trading models for financial assets.



Technical Analysis of the Financial Markets

Technical Analysis of the Financial Markets Author John J. Murphy
ISBN-10 0735200661
Release 1999-01
Pages 542
Download Link Click Here

For both beginnners and e×perienced traders, this work describes the concepts of technical analysis and their applications. Murphy interprets the role of the technical forecasters and e×plains how they apply their techniques to the financial markets.



An Introduction to Wavelets

An Introduction to Wavelets Author Charles K. Chui
ISBN-10 9781483282862
Release 2016-06-03
Pages 278
Download Link Click Here

Wavelet Analysis and its Applications, Volume 1: An Introduction to Wavelets provides an introductory treatise on wavelet analysis with an emphasis on spline-wavelets and time-frequency analysis. This book is divided into seven chapters. Chapter 1 presents a brief overview of the subject, including classification of wavelets, integral wavelet transform for time-frequency analysis, multi-resolution analysis highlighting the important properties of splines, and wavelet algorithms for decomposition and reconstruction of functions. The preliminary material on Fourier analysis and signal theory is covered in Chapters 2 and 3. Chapter 4 covers the introductory study of cardinal splines, while Chapter 5 describes a general approach to the analysis and construction of scaling functions and wavelets. Spline-wavelets are deliberated in Chapter 6. The last chapter is devoted to an investigation of orthogonal wavelets and wavelet packets. This volume serves as a textbook for an introductory one-semester course on “wavelet analysis for upper-division undergraduate or beginning graduate mathematics and engineering students.



Wavelet Multiresolution Analysis of Financial Time Series

Wavelet Multiresolution Analysis of Financial Time Series Author Mikko Ranta
ISBN-10 9524763036
Release 2010
Pages 121
Download Link Click Here

Wavelet Multiresolution Analysis of Financial Time Series has been writing in one form or another for most of life. You can find so many inspiration from Wavelet Multiresolution Analysis of Financial Time Series also informative, and entertaining. Click DOWNLOAD or Read Online button to get full Wavelet Multiresolution Analysis of Financial Time Series book for free.



Business Cycles

Business Cycles Author Francis X. Diebold
ISBN-10 0691012180
Release 1999
Pages 420
Download Link Click Here

Francis Diebold and Glenn Rudebusch here present a highly integrative collection of their most important essays on the subject, along with a detailed introduction that draws together the book's principal themes and findings. Business Cycles is crucial reading for policymakers, bankers, business executives, and others who need to understand the fluctuations in today's economy.



A Guide to Econometrics

A Guide to Econometrics Author Peter Kennedy
ISBN-10 026261183X
Release 2003
Pages 623
Download Link Click Here

A popular, intuitively based overview of econometrics.



Introduction to Time Series Analysis and Forecasting

Introduction to Time Series Analysis and Forecasting Author Robert A. Yaffee
ISBN-10 9780127678702
Release 2000
Pages 528
Download Link Click Here

Providing a clear explanation of the fundamental theory of time series analysis and forecasting, this book couples theory with applications of two popular statistical packages--SAS and SPSS. The text examines moving average, exponential smoothing, Census X-11 deseasonalization, ARIMA, intervention, transfer function, and autoregressive error models and has brief discussions of ARCH and GARCH models. The book features treatments of forecast improvement with regression and autoregression combination models and model and forecast evaluation, along with a sample size analysis for common time series models to attain adequate statistical power. To enhance the book's value as a teaching tool, the data sets and programs used in the book are made available on the Academic Press Web site. The careful linkage of the theoretical constructs with the practical considerations involved in utilizing the statistical packages makes it easy for the user to properly apply these techniques. Key Features * Describes principal approaches to time series analysis and forecasting * Presents examples from public opinion research, policy analysis, political science, economics, and sociology * Free Web site contains the data used in most chapters, facilitating learning * Math level pitched to general social science usage * Glossary makes the material accessible for readers at all levels



Quantitative Finance and Risk Management

Quantitative Finance and Risk Management Author Jan W Dash
ISBN-10 9789814571258
Release 2016-05-10
Pages 1000
Download Link Click Here

Written by a physicist with extensive experience as a risk/finance quant, this book treats a wide variety of topics. Presenting the theory and practice of quantitative finance and risk, it delves into the "how to" and "what it's like" aspects not covered in textbooks or papers. A "Technical Index" indicates the mathematical level for each chapter. This second edition includes some new, expanded, and wide-ranging considerations for risk management: Climate Change and its long-term systemic risk; Markets in Crisis and the Reggeon Field Theory; "Smart Monte Carlo" and American Monte Carlo; Trend Risk — time scales and risk, the Macro–Micro model, singular spectrum analysis; credit risk: counterparty risk and issuer risk; stressed correlations — new techniques; and Psychology and option models. Solid risk management topics from the first edition and valid today are included: standard/advanced theory and practice in fixed income, equities, and FX; quantitative finance and risk management — traditional/exotic derivatives, fat tails, advanced stressed VAR, model risk, numerical techniques, deals/portfolios, systems, data, economic capital, and a function toolkit; risk lab — the nuts and bolts of risk management from the desk to the enterprise; case studies of deals; Feynman path integrals, Green functions, and options; and "Life as a Quant" — communication issues, sociology, stories, and advice.



Chaos and Order in the Capital Markets

Chaos and Order in the Capital Markets Author Edgar E. Peters
ISBN-10 0471139386
Release 1996-08-30
Pages 274
Download Link Click Here

The latest developments in chaos theory – from an industry expert Chaos and Order in the Capital Markets was the first book to introduce and popularize chaos as it applies to finance. It has since become the classic source on the topic. This new edition is completely updated to include the latest ripples in chaos theory with new chapters that tie in today′s hot innovations, such as fuzzy logic, neural nets, and artificial intelligence. Critical praise for Peters and the first edition of Chaos and Order in the Capital Markets "The bible of market chaologists." – BusinessWeek "Ed Peters has written a first–class summary suitable for any investment professional or skilled investor." – Technical Analysis of Stocks & Commodities "It ranks among the most provocative financial books of the past few years. Reading this book will provide a generous payback for the time and mental energy expended." – Financial Analysts Journal This second edition of Chaos and Order in the Capital Markets brings the topic completely up to date with timely examples from today′s markets and descriptions of the latest wave of technology, including genetic algorithms, wavelets, and complexity theory. Chaos and Order in the Capital Markets was the very first book to explore and popularize chaos theory as it applies to finance. It has since become the industry standard, and is regarded as the definitive source to which analysts, investors, and traders turn for a comprehensive overview of chaos theory. Now, this invaluable reference – touted by BusinessWeek as "the bible of market chaologists" – has been updated and revised to bring you the latest developments in the field. Mainstream capital market theory is based on efficient market assumptions, even though the markets themselves exhibit characteristics that are symptomatic of nonlinear dynamic systems. As it explores – and validates – this nonlinear nature, Chaos and Order repudiates the "random walk" theory and econometrics. It shifts the focus away from the concept of efficient markets toward a more general view of the forces underlying the capital market system. Presenting new analytical techniques, as well as reexamining methods that have been in use for the past forty years, Chaos and Order offers a thorough examination of chaos theory and fractals as applied to investments and economics. This new edition includes timely examples from today′s markets and descriptions of cutting–edge technologies–genetic algorithms, wavelets, complexity theory–and hot innovations, such as fuzzy logic and artificial intelligence. Beyond the history of current capital market theory, Chaos and Order covers the crucial characteristics of fractals, the analysis of fractal time series through rescaled range analysis (R/S), the specifics of fractal statistics, and the definition and analysis of chaotic systems. It offers an in–depth exploration of: ∗ Random walks and efficient markets – the development of the efficient market hypothesis (EMH) and modern portfolio theory ∗ The linear paradigm – why it has failed ∗ Nonlinear dynamic systems – phase space, the Henon Map, Lyapunov exponents ∗ Applying chaos and nonlinear methods – neural networks, genetic algorithms ∗ Dynamical analysis of time series – reconstructing a phase space, the fractal dimension Tonis Vaga′s Coherent Market Hypothesis – the theory of social imitation, control parameters, Vaga′s implementations Plus, Chaos and Order now contains a Windows–compatible disk including data sets for running analyses described in the appendices. Written by a leading expert in the field, Chaos and Order in the Capital Markets has all the information you need for a complete, up–to–date look at chaos theory. This latest edition will undoubtedly prove to be as invaluable as the first.



Signal Processing with Fractals

Signal Processing with Fractals Author Gregory Wornell
ISBN-10 013120999X
Release 1996
Pages 177
Download Link Click Here

Fractal geometry and recent developments in wavelet theory are having an important impact on the field of signal processing. Efficient representations for fractal signals based on wavelets are opening up new applications for signal processing, and providing better solutions to problems in existing applications. Signal Processing with Fractals provides a valuable introduction to this new and exciting area, and develops a powerful conceptual foundation for understanding the topic. Practical techniques for synthesizing, analyzing, and processing fractal signals for a wide range of applications are developed in detail, and novel applications in communications are explored.



Practical Time Frequency Analysis

Practical Time Frequency Analysis Author Rene Carmona
ISBN-10 9780080539423
Release 1998-08-27
Pages 490
Download Link Click Here

Time frequency analysis has been the object of intense research activity in the last decade. This book gives a self-contained account of methods recently introduced to analyze mathematical functions and signals simultaneously in terms of time and frequency variables. The book gives a detailed presentation of the applications of these transforms to signal processing, emphasizing the continuous transforms and their applications to signal analysis problems, including estimation, denoising, detection, and synthesis. To help the reader perform these analyses, Practical Time-Frequency Analysis provides a set of useful tools in the form of a library of S functions, downloadable from the authors' Web sites in the United States and France. Detailed presentation of the Wavelet and Gabor transforms Applications to deterministic and random signal theory Spectral analysis of nonstationary signals and processes Numerous practical examples ranging from speech analysis to underwater acoustics, earthquake engineering, internet traffic, radar signal denoising, medical data interpretation, etc Accompanying software and data sets, freely downloadable from the book's Web page