Nonlinear Modelling of High Frequency Financial Time Series [Hardcover]

Nonlinear Modelling of High Frequency Financial Time Series Edited by Christian Dunis and Bin Zhou In the competitive and risky environment of today's financial markets, daily prices and models based upon low frequency price series data do not provide the level of accuracy required by traders and a growing number of risk managers. To improve results, more and more researchers and practitioners are turning to high frequency data. Nonlinear Modelling of High Frequency Financial Time Series presents the latest developments and views of leading international researchers and market practitioners, in modelling high frequency data in finance. Combining both nonlinear modelling and intraday data for financial markets, the editors provide a fascinating foray into this extremely popular discipline. This book evolves around four major themes. The first introductory section focuses on high frequency financial data. The second part examines the exact nature of the time series considered: several linearity tests are presented and applied and their modelling implications assessed. The third and fourth parts are dedicated to modelling and forecasting these financial time series.HIGH FREQUENCY MODELS IN FINANCE: MOTIVATIONS AND THEORETICAL ISSUES.

Modelling with High Frequency Data: A Growing Interest for Financial Economists and Fund Managers (M. Gavridis).

High Frequency Foreign Exchange Rates: Price Behavior Analysis and 'True Price' Models (J. Moody & L. Wu).

DETECTING NONLINEARITIES IN HIGH FREQUENCY DATA: EMPIRICAL TESTS AND MODELLING IMPLICATIONS.

Testing Linearity with Information-Theoretic Statistics and the Bootstrap (F. Acosta).

Testing for Linearity: A Frequency Domain Approach (J. Drunat, et al.).

Stochastic or Chaotic Dynamics in High Frequency Financial Data (D. Gu?gan & L. Mercier).

F-consistency, De-volatization alÃ^