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A New Mean Reversion Model By Fourier Terms: Applications In Finance -

A New Mean Reversion Model By Fourier Terms: Applications In Finance

Liste Fiyatı : 45,00
İndirimli Fiyat : 41,40
Kazancınız : 3,60
9786052228104
442204
A New Mean Reversion Model By Fourier Terms: Applications In Finance
A New Mean Reversion Model By Fourier Terms: Applications In Finance
41.40

Financial time series including high frequency structures like jumps, spikes and stochastic volatility are usually modeled in an ad-hoc manner by stochastic differential equations together with Levy processes. Estimating the parameters and determining the jump size distributions do not have a precise and universally accepted method. Under these circumstances, complexities and confusions usually arise. This book, approaches to this issue from a very different angle through introducing an autocorrelation one process together with finite number of Fourier series terms. Introduction of Fourier series to estimate the dynamics of the process is not done in an ad-hoc manner or as done before in dealing with seasonality. Here the moving average is transformed to a “moving and fluctuating” average by the help of Fourier series. Instead of adding jump structures to the model which makes the parameter estimation quite cumbersome, our model in discrete time can easily be transformed to a well-known mean reverting continuous time process. Moreover, our alternative model turned out to be a quite powerful and accurate forecasting technique.

  • Açıklama
    • Financial time series including high frequency structures like jumps, spikes and stochastic volatility are usually modeled in an ad-hoc manner by stochastic differential equations together with Levy processes. Estimating the parameters and determining the jump size distributions do not have a precise and universally accepted method. Under these circumstances, complexities and confusions usually arise. This book, approaches to this issue from a very different angle through introducing an autocorrelation one process together with finite number of Fourier series terms. Introduction of Fourier series to estimate the dynamics of the process is not done in an ad-hoc manner or as done before in dealing with seasonality. Here the moving average is transformed to a “moving and fluctuating” average by the help of Fourier series. Instead of adding jump structures to the model which makes the parameter estimation quite cumbersome, our model in discrete time can easily be transformed to a well-known mean reverting continuous time process. Moreover, our alternative model turned out to be a quite powerful and accurate forecasting technique.

      Format
      :
      Kitap
      Stok Kodu
      :
      9786052228104
      Boyut
      :
      13.50x21.00
      Sayfa Sayısı
      :
      86
      Basım Yeri
      :
      İstanbul
      Baskı
      :
      1
      Basım Tarihi
      :
      2018
      Kapak Türü
      :
      Ciltsiz
      Kağıt Türü
      :
      2. Hamur
      Dili
      :
      İngilizce
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