Modelling and Forecasting Financial Data

Modelling and Forecasting Financial Data

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Over the last decade, dynamical systems theory and related nonlinear methods have had a major impact on the analysis of time series data from complex systems. Recent developments in mathematical methods of state-space reconstruction, time-delay embedding, and surrogate data analysis, coupled with readily accessible and powerful computational facilities used in gathering and processing massive quantities of high-frequency data, have provided theorists and practitioners unparalleled opportunities for exploratory data analysis, modelling, forecasting, and control. Until now, research exploring the application of nonlinear dynamics and associated algorithms to the study of economies and markets as complex systems is sparse and fragmentary at best. 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.The Kalman filter is an optimal state estimator for linear systems and assumptions of additive Gaussian noise ... alternative to standard steepest descent training of nonlinear functions for applications such as time series prediction and ... The Kalman filter is used to estimate market models using data from stock exhchanges.

Title:Modelling and Forecasting Financial Data
Author: Abdol S. Soofi, Liangyue Cao
Publisher:Springer Science & Business Media - 2002-03-31

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