A01=Cornelis Los
analysis
Arithmetic Brownian Motions
Asset Class
Author_Cornelis Los
brownianmotion
Category=KC
Category=KFFN
Category=KJMD
Data Set
eq_bestseller
eq_business-finance-law
eq_isMigrated=1
eq_isMigrated=2
eq_nobargain
eq_non-fiction
Exchange Rates
financial crisis modelling
Foreign Exchange Rates
Fractal Time Series
fractional
Gibbs Phenomenon
Hausdorff Dimension
Heisenberg Box
horizons
hurst
Hurst Exponent
Hurst exponent estimation
investment
Investment Horizons
Market Pricing Process
multifractal analysis
Multifractal Spectrum
multiresolution
nonlinear diffusion equations
persistent market risk measurement
Scaling Exponent
Scaling Function
series
signal processing finance
Singularity Spectrum
Stable Distributions
Term Structure
Term Structure Models
time
Time Series
Vice Versa
wavelet
Wavelet Basis
Wavelet MRA
wavelet time series
Wavelet Transform
Windowed Fourier Transform
Product details
- ISBN 9780415278669
- Weight: 1080g
- Dimensions: 156 x 234mm
- Publication Date: 24 Jul 2003
- Publisher: Taylor & Francis Ltd
- Publication City/Country: GB
- Product Form: Hardback
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This new book uses advanced signal processing technology to measure and analyze risk phenomena of the financial markets. It explains how to scientifically measure, analyze and manage non-stationarity and long-term time dependence (long memory) of financial market returns. It studies, in particular, financial crises in persistent financial markets, such as stock, bond and real estate market, and turbulence in antipersistent financial markets, such as anchor currency markets. It uses Windowed Fourier and Wavelet Multiresolution Analysis to measure the degrees of persistence of these complex markets, by computing monofractal Hurst exponents and multifractal singularity spectra. It explains how and why financial crises and financial turbulence may occur in the various markets and why we may have to reconsider the current wave of term structure modeling based on affine models. It also uses these persistence measurements to improve the financial risk management of global investment funds, via numerical simulations of the nonlinear diffusion equations describing the underlying high frequency dynamic pricing processes.
Cornelis A. Los is Associate Professor of Finance at Kent State University, USA. In the past he has been a Senior Economist of the Federal Reserve Bank of New York and of Nomura Research Institute (America), Inc., and Chief Economist of ING Bank, New York. He has also been a Professor in Finance at Nanyang Technological University in Singapore and at Adelaide and Deakin Universities in Australia.
