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Description - Forecasting Financial Markets by Christian L. Dunis

Today 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 Details

ISBN: 9780471966531
ISBN-10: 0471966533
Format: Hardback
(234mm x 162mm x 23mm)
Pages: 324
Imprint: John Wiley & Sons Ltd
Publisher: John Wiley and Sons Ltd
Publish Date: 29-Aug-1996
Country of Publication: United Kingdom

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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.

Books By Christian L. Dunis