Financial surveillance / edited by Marianne Frisén.

Format:

Book

Contributor:

Frisén, Marianne.

Series:

Statistics in practice

Language:

English

Subjects (All):

Econometric models.

Mathematical optimization.

Physical Description:

262 pages : illustrations ; 23 cm.

Place of Publication:

Chichester, England ; Hoboken, NJ : John Wiley & Sons, [2008]

Summary:

Statistical surveillance is used to repeatedly evaluate the amount of information contained within a system of continuously achieved observations. This makes it possible to quickly and safely detect changes in the way time series evolve through time. Applied to economic and financial markets, this allows the optimal time for decisions to be determined, such as the most beneficial trading time.

Financial Surveillance examines the relationship between statistical surveillance and financial analysis. Introducing both cultures, the book provides an overview of statistical methods used in finance. The reader is then guided through more advanced topics, from likelihood-based surveillance of volatility, to sequential monitoring of optimal portfolio weights.

Contents:

Introduction to financial surveillance / Marianne Frisén

Statistical models in finance / Helgi Tómasson

The relation between statistical surveillance and technical analysis in finance / David Bock, Eva Andersson, Marianne Frisén

Evaluations of likelihood-based surveillance of volatility / David Bock

Surveillance of univariate and multivariate linear time series / Yarema Okhrin and Wolfgang Schmid

Surveillance of univariate and multivariate nonlinear time series / Yarema Okhrin and Wolfgang Schmid

Sequential monitoring of optimal portfolio weights / Vasyl Golosnoy, Wolfgang Schmid and Iryna Okhrin

Likelihood-based surveillance for continuous-time processes / Helgi Tómasson

Conclusions and future directions / Marianne Frisén.

Notes:

Includes bibliographical references (pages [239]-256) and index.

ISBN:

9780470061886

047006188X

OCLC:

181072583

Online:

Publisher description