The Stable Paretian Distribution Of Foreign Exchange Rate Movement Nonstationary And Martingale PDF Download
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Author | : Yuk-chow So |
Publisher | : |
Total Pages | : |
Release | : 1986 |
Genre | : Foreign exchange |
ISBN | : |
Download The Stable Paretian Distribution of Foreign Exchange Rate Movement, Nonstationary and Martingale Book in PDF, ePub and Kindle
Author | : Yuk Chow So |
Publisher | : |
Total Pages | : 258 |
Release | : 1983 |
Genre | : Foreign exchange |
ISBN | : |
Download The stable paretian Distribution of foreign exchange rate movement, nonstationarity and martingale Book in PDF, ePub and Kindle
Author | : Yuk-Chow So |
Publisher | : |
Total Pages | : 129 |
Release | : 1986 |
Genre | : |
ISBN | : |
Download The Stable Pareiian Distribution of Foreign Exchange Rate Movement, Nonstationarity and Martingale Book in PDF, ePub and Kindle
Author | : Michael L. Bagshaw |
Publisher | : |
Total Pages | : 44 |
Release | : 1986 |
Genre | : Distribution (Probability theory) |
ISBN | : |
Download Intervention, Exchange-rate Volatility, and the Stable Paretian Distribution Book in PDF, ePub and Kindle
Author | : Jürgen Kaehler |
Publisher | : |
Total Pages | : 42 |
Release | : 1991 |
Genre | : |
ISBN | : |
Download On the modelling of exchange rate dynamics by stable paretian distributions Book in PDF, ePub and Kindle
Author | : |
Publisher | : |
Total Pages | : 664 |
Release | : 1998 |
Genre | : Dissertations, Academic |
ISBN | : |
Download Dissertation Abstracts International Book in PDF, ePub and Kindle
Author | : Rosario N. Mantegna |
Publisher | : Cambridge University Press |
Total Pages | : 164 |
Release | : 1999-11-13 |
Genre | : Business & Economics |
ISBN | : 1139431226 |
Download Introduction to Econophysics Book in PDF, ePub and Kindle
This book concerns the use of concepts from statistical physics in the description of financial systems. The authors illustrate the scaling concepts used in probability theory, critical phenomena, and fully developed turbulent fluids. These concepts are then applied to financial time series. The authors also present a stochastic model that displays several of the statistical properties observed in empirical data. Statistical physics concepts such as stochastic dynamics, short- and long-range correlations, self-similarity and scaling permit an understanding of the global behaviour of economic systems without first having to work out a detailed microscopic description of the system. Physicists will find the application of statistical physics concepts to economic systems interesting. Economists and workers in the financial world will find useful the presentation of empirical analysis methods and well-formulated theoretical tools that might help describe systems composed of a huge number of interacting subsystems.
Author | : Eric Jondeau |
Publisher | : Springer Science & Business Media |
Total Pages | : 541 |
Release | : 2007-04-05 |
Genre | : Mathematics |
ISBN | : 1846286964 |
Download Financial Modeling Under Non-Gaussian Distributions Book in PDF, ePub and Kindle
This book examines non-Gaussian distributions. It addresses the causes and consequences of non-normality and time dependency in both asset returns and option prices. The book is written for non-mathematicians who want to model financial market prices so the emphasis throughout is on practice. There are abundant empirical illustrations of the models and techniques described, many of which could be equally applied to other financial time series.
Author | : Robert A. Meyers |
Publisher | : Springer Science & Business Media |
Total Pages | : 919 |
Release | : 2010-11-03 |
Genre | : Business & Economics |
ISBN | : 1441977007 |
Download Complex Systems in Finance and Econometrics Book in PDF, ePub and Kindle
Finance, Econometrics and System Dynamics presents an overview of the concepts and tools for analyzing complex systems in a wide range of fields. The text integrates complexity with deterministic equations and concepts from real world examples, and appeals to a broad audience.
Author | : Andrew W. Lo |
Publisher | : Princeton University Press |
Total Pages | : 449 |
Release | : 2011-11-14 |
Genre | : Business & Economics |
ISBN | : 1400829097 |
Download A Non-Random Walk Down Wall Street Book in PDF, ePub and Kindle
For over half a century, financial experts have regarded the movements of markets as a random walk--unpredictable meanderings akin to a drunkard's unsteady gait--and this hypothesis has become a cornerstone of modern financial economics and many investment strategies. Here Andrew W. Lo and A. Craig MacKinlay put the Random Walk Hypothesis to the test. In this volume, which elegantly integrates their most important articles, Lo and MacKinlay find that markets are not completely random after all, and that predictable components do exist in recent stock and bond returns. Their book provides a state-of-the-art account of the techniques for detecting predictabilities and evaluating their statistical and economic significance, and offers a tantalizing glimpse into the financial technologies of the future. The articles track the exciting course of Lo and MacKinlay's research on the predictability of stock prices from their early work on rejecting random walks in short-horizon returns to their analysis of long-term memory in stock market prices. A particular highlight is their now-famous inquiry into the pitfalls of "data-snooping biases" that have arisen from the widespread use of the same historical databases for discovering anomalies and developing seemingly profitable investment strategies. This book invites scholars to reconsider the Random Walk Hypothesis, and, by carefully documenting the presence of predictable components in the stock market, also directs investment professionals toward superior long-term investment returns through disciplined active investment management.