Author: Roberto Dieci
Publisher: Springer
ISBN: 3319074709
Category : Business & Economics
Languages : en
Pages : 384
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Book Description
This book reflects the state of the art on nonlinear economic dynamics, financial market modelling and quantitative finance. It contains eighteen papers with topics ranging from disequilibrium macroeconomics, monetary dynamics, monopoly, financial market and limit order market models with boundedly rational heterogeneous agents to estimation, time series modelling and empirical analysis and from risk management of interest-rate products, futures price volatility and American option pricing with stochastic volatility to evaluation of risk and derivatives of electricity market. The book illustrates some of the most recent research tools in these areas and will be of interest to economists working in economic dynamics and financial market modelling, to mathematicians who are interested in applying complexity theory to economics and finance and to market practitioners and researchers in quantitative finance interested in limit order, futures and electricity market modelling, derivative pricing and risk management.
Author: Giuseppe Orlando
Publisher: Springer Nature
ISBN: 3030709825
Category : Business & Economics
Languages : en
Pages : 362
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Book Description
This interdisciplinary book argues that the economy has an underlying non-linear structure and that business cycles are endogenous, which allows a greater explanatory power with respect to the traditional assumption that dynamics are stochastic and shocks are exogenous. The first part of this work is formal-methodological and provides the mathematical background needed for the remainder, while the second part presents the view that signal processing involves construction and deconstruction of information and that the efficacy of this process can be measured. The third part focuses on economics and provides the related background and literature on economic dynamics and the fourth part is devoted to new perspectives in understanding nonlinearities in economic dynamics: growth and cycles. By pursuing this approach, the book seeks to (1) determine whether, and if so where, common features exist, (2) discover some hidden features of economic dynamics, and (3) highlight specific indicators of structural changes in time series. Accordingly, it is a must read for everyone interested in a better understanding of economic dynamics, business cycles, econometrics and complex systems, as well as non-linear dynamics and chaos theory.
Author: Abdol S. Soofi
Publisher: Springer Science & Business Media
ISBN: 1461509319
Category : Business & Economics
Languages : en
Pages : 496
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Book Description
Modelling and Forecasting Financial Data brings together a coherent and accessible set of chapters on recent research results on this topic. To make such methods readily useful in practice, the contributors to this volume have agreed to make available to readers upon request all computer programs used to implement the methods discussed in their respective chapters. Modelling and Forecasting Financial Data is a valuable resource for researchers and graduate students studying complex systems in finance, biology, and physics, as well as those applying such methods to nonlinear time series analysis and signal processing.
Author: Frauke Schleer-van Gellecom
Publisher: Springer Science & Business Media
ISBN: 3642420397
Category : Business & Economics
Languages : en
Pages : 268
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Book Description
In recent years nonlinearities have gained increasing importance in economic and econometric research, particularly after the financial crisis and the economic downturn after 2007. This book contains theoretical, computational and empirical papers that incorporate nonlinearities in econometric models and apply them to real economic problems. It intends to serve as an inspiration for researchers to take potential nonlinearities in account. Researchers should be aware of applying linear model-types spuriously to problems which include non-linear features. It is indispensable to use the correct model type in order to avoid biased recommendations for economic policy.
Author: Bruce D. Craven
Publisher: Springer Science & Business Media
ISBN: 0387242805
Category : Business & Economics
Languages : en
Pages : 174
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Book Description
Some recent developments in the mathematics of optimization, including the concepts of invexity and quasimax, have not yet been applied to models of economic growth, and to finance and investment. Their applications to these areas are shown in this book.
Author: John Creedy
Publisher: Edward Elgar Publishing
ISBN:
Category : Business & Economics
Languages : en
Pages : 312
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Book Description
A sequel to Creedy and Martin's (eds.) Chaos and Nonlinear Models (1994). Compiles recent developments in such techniques as cross- sectional studies of income distribution and discrete choice models, time series models of exchange rate dynamics and jump processes, and artificial neural networks and genetic algorithms of financial markets. Also considers the development of theoretical models and estimating and testing methods, with a wide range of applications in microeconomics, macroeconomics, labor, and finance. Annotation copyrighted by Book News, Inc., Portland, OR
Author: Ionut Purica
Publisher: Academic Press
ISBN: 0128032766
Category : Business & Economics
Languages : en
Pages : 125
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Book Description
When just a handful of economists predicted the 2008 financial crisis, people should wonder how so many well educated people with enormous datasets and computing power can be so wrong. In this short book Ionut Purica joins a growing number of economists who explore the failings of mainstream economics and propose solutions developed in other disciplines, such as sociology and evolutionary biology. While it might be premature to call for a revolution, Dr. Purica echoes John Maynard Keynes in believing that economic ideas are "dangerous for good or evil." In recent years evil seems to have had the upper hand. "Nonlinear Dynamics of Financial Crises" points to their ability to do good. - Makes complex economics ideas accessible by carefully explaining technical terms and minimizing mathematics and equations - Delivers easily-understood perspectives about the global economy by constructing broad assumptions and conclusions in the face of its infinitely complexity - Challenges received economic ideas by focusing on human behavior and the roles it plays in easily-observable recent trends and events
Author: Thierry Vialar
Publisher: Springer Science & Business Media
ISBN: 3540859780
Category : Business & Economics
Languages : en
Pages : 752
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Book Description
Complex dynamics constitute a growing and increasingly important area as they offer a strong potential to explain and formalize natural, physical, financial and economic phenomena. This book pursues the ambitious goal to bring together an extensive body of knowledge regarding complex dynamics from various academic disciplines. Beyond its focus on economics and finance, including for instance the evolution of macroeconomic growth models towards nonlinear structures as well as signal processing applications to stock markets, fundamental parts of the book are devoted to the use of nonlinear dynamics in mathematics, statistics, signal theory and processing. Numerous examples and applications, almost 700 illustrations and numerical simulations based on the use of Matlab make the book an essential reference for researchers and students from many different disciplines who are interested in the nonlinear field. An appendix recapitulates the basic mathematical concepts required to use the book.
Author: Gian Italo Bischi
Publisher: Springer Science & Business Media
ISBN: 3642040233
Category : Business & Economics
Languages : en
Pages : 384
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Book Description
Over the last two decades there has been a great deal of research into nonlinear dynamic models in economics, finance and the social sciences. This book contains twenty papers that range over very recent applications in these areas. Topics covered include structural change and economic growth, disequilibrium dynamics and economic policy as well as models with boundedly rational agents. The book illustrates some of the most recent research tools in this area and will be of interest to economists working in economic dynamics and to mathematicians interested in seeing ideas from nonlinear dynamics and complexity theory applied to the economic sciences.
Author: John Y. Campbell
Publisher: Princeton University Press
ISBN: 1400830214
Category : Business & Economics
Languages : en
Pages : 630
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Book Description
The past twenty years have seen an extraordinary growth in the use of quantitative methods in financial markets. Finance professionals now routinely use sophisticated statistical techniques in portfolio management, proprietary trading, risk management, financial consulting, and securities regulation. This graduate-level textbook is intended for PhD students, advanced MBA students, and industry professionals interested in the econometrics of financial modeling. The book covers the entire spectrum of empirical finance, including: the predictability of asset returns, tests of the Random Walk Hypothesis, the microstructure of securities markets, event analysis, the Capital Asset Pricing Model and the Arbitrage Pricing Theory, the term structure of interest rates, dynamic models of economic equilibrium, and nonlinear financial models such as ARCH, neural networks, statistical fractals, and chaos theory. Each chapter develops statistical techniques within the context of a particular financial application. This exciting new text contains a unique and accessible combination of theory and practice, bringing state-of-the-art statistical techniques to the forefront of financial applications. Each chapter also includes a discussion of recent empirical evidence, for example, the rejection of the Random Walk Hypothesis, as well as problems designed to help readers incorporate what they have read into their own applications.
