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Author: Gilles Zumbach
Publisher: Springer Science & Business Media
ISBN: 3642317421
Category : Mathematics
Languages : en
Pages : 326
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Book Description
Most financial and investment decisions are based on considerations of possible future changes and require forecasts on the evolution of the financial world. Time series and processes are the natural tools for describing the dynamic behavior of financial data, leading to the required forecasts. This book presents a survey of the empirical properties of financial time series, their descriptions by means of mathematical processes, and some implications for important financial applications used in many areas like risk evaluation, option pricing or portfolio construction. The statistical tools used to extract information from raw data are introduced. Extensive multiscale empirical statistics provide a solid benchmark of stylized facts (heteroskedasticity, long memory, fat-tails, leverage...), in order to assess various mathematical structures that can capture the observed regularities. The author introduces a broad range of processes and evaluates them systematically against the benchmark, summarizing the successes and limitations of these models from an empirical point of view. The outcome is that only multiscale ARCH processes with long memory, discrete multiplicative structures and non-normal innovations are able to capture correctly the empirical properties. In particular, only a discrete time series framework allows to capture all the stylized facts in a process, whereas the stochastic calculus used in the continuum limit is too constraining. The present volume offers various applications and extensions for this class of processes including high-frequency volatility estimators, market risk evaluation, covariance estimation and multivariate extensions of the processes. The book discusses many practical implications and is addressed to practitioners and quants in the financial industry, as well as to academics, including graduate (Master or PhD level) students. The prerequisites are basic statistics and some elementary financial mathematics.
Author: Gilles Zumbach
Publisher: Springer Science & Business Media
ISBN: 3642317421
Category : Mathematics
Languages : en
Pages : 326
Get Book
Book Description
Most financial and investment decisions are based on considerations of possible future changes and require forecasts on the evolution of the financial world. Time series and processes are the natural tools for describing the dynamic behavior of financial data, leading to the required forecasts. This book presents a survey of the empirical properties of financial time series, their descriptions by means of mathematical processes, and some implications for important financial applications used in many areas like risk evaluation, option pricing or portfolio construction. The statistical tools used to extract information from raw data are introduced. Extensive multiscale empirical statistics provide a solid benchmark of stylized facts (heteroskedasticity, long memory, fat-tails, leverage...), in order to assess various mathematical structures that can capture the observed regularities. The author introduces a broad range of processes and evaluates them systematically against the benchmark, summarizing the successes and limitations of these models from an empirical point of view. The outcome is that only multiscale ARCH processes with long memory, discrete multiplicative structures and non-normal innovations are able to capture correctly the empirical properties. In particular, only a discrete time series framework allows to capture all the stylized facts in a process, whereas the stochastic calculus used in the continuum limit is too constraining. The present volume offers various applications and extensions for this class of processes including high-frequency volatility estimators, market risk evaluation, covariance estimation and multivariate extensions of the processes. The book discusses many practical implications and is addressed to practitioners and quants in the financial industry, as well as to academics, including graduate (Master or PhD level) students. The prerequisites are basic statistics and some elementary financial mathematics.
Author: Christian H. Weiss
Publisher: John Wiley & Sons
ISBN: 1119096960
Category : Mathematics
Languages : en
Pages : 300
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Book Description
A much-needed introduction to the field of discrete-valued time series, with a focus on count-data time series Time series analysis is an essential tool in a wide array of fields, including business, economics, computer science, epidemiology, finance, manufacturing and meteorology, to name just a few. Despite growing interest in discrete-valued time series—especially those arising from counting specific objects or events at specified times—most books on time series give short shrift to that increasingly important subject area. This book seeks to rectify that state of affairs by providing a much needed introduction to discrete-valued time series, with particular focus on count-data time series. The main focus of this book is on modeling. Throughout numerous examples are provided illustrating models currently used in discrete-valued time series applications. Statistical process control, including various control charts (such as cumulative sum control charts), and performance evaluation are treated at length. Classic approaches like ARMA models and the Box-Jenkins program are also featured with the basics of these approaches summarized in an Appendix. In addition, data examples, with all relevant R code, are available on a companion website. Provides a balanced presentation of theory and practice, exploring both categorical and integer-valued series Covers common models for time series of counts as well as for categorical time series, and works out their most important stochastic properties Addresses statistical approaches for analyzing discrete-valued time series and illustrates their implementation with numerous data examples Covers classical approaches such as ARMA models, Box-Jenkins program and how to generate functions Includes dataset examples with all necessary R code provided on a companion website An Introduction to Discrete-Valued Time Series is a valuable working resource for researchers and practitioners in a broad range of fields, including statistics, data science, machine learning, and engineering. It will also be of interest to postgraduate students in statistics, mathematics and economics.
Author: Amanda Chetwynd
Publisher: Elsevier
ISBN: 0080928609
Category : Mathematics
Languages : en
Pages : 224
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Book Description
As an introduction to discrete mathematics, this text provides a straightforward overview of the range of mathematical techniques available to students. Assuming very little prior knowledge, and with the minimum of technical complication, it gives an account of the foundations of modern mathematics: logic; sets; relations and functions. It then develops these ideas in the context of three particular topics: combinatorics (the mathematics of counting); probability (the mathematics of chance) and graph theory (the mathematics of connections in networks). Worked examples and graded exercises are used throughout to develop ideas and concepts. The format of this book is such that it can be easily used as the basis for a complete modular course in discrete mathematics.
Author: Richard A. Davis
Publisher: CRC Press
ISBN: 1466577746
Category : Mathematics
Languages : en
Pages : 484
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Book Description
Model a Wide Range of Count Time Series Handbook of Discrete-Valued Time Series presents state-of-the-art methods for modeling time series of counts and incorporates frequentist and Bayesian approaches for discrete-valued spatio-temporal data and multivariate data. While the book focuses on time series of counts, some of the techniques discussed ca
Author: Charles W. Therrien
Publisher:
ISBN: 9780130225450
Category : Signal processing
Languages : en
Pages : 0
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Book Description
Author: American Mathematical Society
Publisher: American Mathematical Soc.
ISBN: 9780821801673
Category : Mathematics
Languages : en
Pages : 514
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Book Description
In the summer of 1988 in Providence, the AMS celebrated its centennial with a wide range of mathematical activities. Among those was a symposium, Mathematics into the Twenty-first Century, which brought together a number of the top research mathematicians who will likely have a significant impact on the mathematics of this century. This book contains the lectures presented by 16 of the 18 individuals who spoke during the symposium. Written by some of the major international figures in mathematical research, this group of articles covers a panorama of the vital areas of mathematics at the turn of the 21st century and gives the general mathematical reader a broad perspective on some of the major trends in research.
Author: W. Barker
Publisher: Springer Science & Business Media
ISBN: 1461204550
Category : Mathematics
Languages : en
Pages : 395
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Book Description
A conference on Harmonic Analysis on Reductive Groups was held at Bowdoin College in Brunswick, Maine from July 31 to August 11, 1989. The stated goal of the conference was to explore recent advances in harmonic analysis on both real and p-adic groups. It was the first conference since the AMS Summer Sym posium on Harmonic Analysis on Homogeneous Spaces, held at Williamstown, Massachusetts in 1972, to cover local harmonic analysis on reductive groups in such detail and to such an extent. While the Williamstown conference was longer (three weeks) and somewhat broader (nilpotent groups, solvable groups, as well as semisimple and reductive groups), the structure and timeliness of the two meetings was remarkably similar. The program of the Bowdoin Conference consisted of two parts. First, there were six major lecture series, each consisting of several talks addressing those topics in harmonic analysis on real and p-adic groups which were the focus of intensive research during the previous decade. These lectures began at an introductory level and advanced to the current state of research. Sec ond, there was a series of single lectures in which the speakers presented an overview of their latest research.
Author: Vladimir K. Dobrev
Publisher: Walter de Gruyter GmbH & Co KG
ISBN: 311042780X
Category : Mathematics
Languages : en
Pages : 421
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Book Description
With applications in quantum field theory, elementary particle physics and general relativity, this two-volume work studies invariance of differential operators under Lie algebras, quantum groups, superalgebras including infinite-dimensional cases, Schrödinger algebras, applications to holography. This first volume covers the general aspects of Lie algebras and group theory supplemented by many concrete examples for a great variety of noncompact semisimple Lie algebras and groups. Contents: Introduction Lie Algebras and Groups Real Semisimple Lie Algebras Invariant Differential Operators Case of the Anti-de Sitter Group Conformal Case in 4D Kazhdan–Lusztig Polynomials, Subsingular Vectors, and Conditionally Invariant Equations Invariant Differential Operators for Noncompact Lie Algebras Parabolically Related to Conformal Lie Algebras Multilinear Invariant Differential Operators from New Generalized Verma Modules Bibliography Author Index Subject Index
Author: Volker Heiermann
Publisher: Springer
ISBN: 3319952315
Category : Mathematics
Languages : en
Pages : 364
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Book Description
This volume presents a panorama of the diverse activities organized by V. Heiermann and D. Prasad in Marseille at the CIRM for the Chaire Morlet event during the first semester of 2016. It assembles together expository articles on topics which previously could only be found in research papers. Starting with a very detailed article by P. Baumann and S. Riche on the geometric Satake correspondence, the book continues with three introductory articles on distinguished representations due to P. Broussous, F. Murnaghan, and O. Offen; an expository article of I. Badulescu on the Jacquet–Langlands correspondence; a paper of J. Arthur on functoriality and the trace formula in the context of "Beyond Endoscopy", taken from the Simons Proceedings; an article of W-W. Li attempting to generalize Godement–Jacquet theory; and a research paper of C. Moeglin and D. Renard, applying the trace formula to the local Langlands classification for classical groups. The book should be of interest to students as well as professional researchers working in the broad area of number theory and representation theory.
Author: Timothy R.C. Read
Publisher: Springer Science & Business Media
ISBN: 1461245788
Category : Mathematics
Languages : en
Pages : 221
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Book Description
The statistical analysis of discrete multivariate data has received a great deal of attention in the statistics literature over the past two decades. The develop ment ofappropriate models is the common theme of books such as Cox (1970), Haberman (1974, 1978, 1979), Bishop et al. (1975), Gokhale and Kullback (1978), Upton (1978), Fienberg (1980), Plackett (1981), Agresti (1984), Goodman (1984), and Freeman (1987). The objective of our book differs from those listed above. Rather than concentrating on model building, our intention is to describe and assess the goodness-of-fit statistics used in the model verification part of the inference process. Those books that emphasize model development tend to assume that the model can be tested with one of the traditional goodness-of-fit tests 2 2 (e.g., Pearson's X or the loglikelihood ratio G ) using a chi-squared critical value. However, it is well known that this can give a poor approximation in many circumstances. This book provides the reader with a unified analysis of the traditional goodness-of-fit tests, describing their behavior and relative merits as well as introducing some new test statistics. The power-divergence family of statistics (Cressie and Read, 1984) is used to link the traditional test statistics through a single real-valued parameter, and provides a way to consolidate and extend the current fragmented literature. As a by-product of our analysis, a new 2 2 statistic emerges "between" Pearson's X and the loglikelihood ratio G that has some valuable properties.
