Forecasting Financial Markets
Exchange Rates, Interest Rates and Asset Management
Edited by Christian L. Dunis
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Forecasting Financial Markets by Christian L. Dunis
Book DescriptionToday s financial markets are characterised by a large number of participants, with different appetites for risk, different time horizons, different motivations and reactions to unexpected news. The mathematical techniques and models used in the forecasting of financial markets have therefore grown ever more sophisticated as traders, analysts and investors seek to gain an edge on their competitors. Written by leading international researchers and practitioners, this book focuses on three major themes of today s state of the art financial research: modelling with high frequency data, the information content of volatility markets, and applications of neural networks and genetic algorithms to financial time series. Forecasting Financial Markets includes empirical applications to present the very latest thinking on these complex techniques, including: High frequency exchange rates Intraday volatility Autocorrelation and variance ratio tests Conditional volatility GARCH processes Chaotic systems Nonlinearity Stochastic and EXPAR models Artificial neural networks Genetic algorithms
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Book DetailsISBN: 9780471966531
(234mm x 162mm x 23mm)
Imprint: John Wiley & Sons Ltd
Publisher: John Wiley and Sons Ltd
Publish Date: 29-Aug-1996
Country of Publication: United Kingdom
Books By Author Christian L. Dunis
Applied Quantitative Methods for Trading and Investment, Hardback (September 2003)» View all books by Christian L. Dunis
Provides a manual on quantitative financial analysis. Focusing on methods for modelling financial markets in the context of practical financial applications, this book covers data, software and techniques that enables the reader to implement and interpret quantitative methodologies, specifically for trading and investment.
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Author Biography - Christian L. Dunis
Christian Dunis is Executive Vice President, Global Head of Markets Research at Banque Nationale de Paris, France. BNP's Markets Research Group covers foreign exchange and fixed income strategies, quantitative market research and quantitative trading. Its 23-strong research staff is spread between London, Paris and Singapore.
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