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Il disordine dei mercati : una visione frattale di rischio, rovina e redditività / Benoît B. Mandelbrot e Richard L. Hudson ; traduzione di Simonetta Frediani
| Il disordine dei mercati : una visione frattale di rischio, rovina e redditività / Benoît B. Mandelbrot e Richard L. Hudson ; traduzione di Simonetta Frediani |
| Autore | Mandelbrot, Benoît B. |
| Pubbl/distr/stampa | Torino, : G. Einaudi, [2005] |
| Descrizione fisica | XX, 296 p. : ill. ; 22 cm. |
| Disciplina | 332.01514742 |
| Altri autori (Persone) | Hudson, Richard L. |
| Collana | Saggi |
| Soggetto topico |
Mercati finanziari - Analisi - Metodi matematici
Frattali - Applicazioni alla finanza |
| ISBN |
8806169610
9788806169619 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | ita |
| Titolo uniforme | |
| Record Nr. | UNICAS-VIA0123748 |
Mandelbrot, Benoît B.
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| Torino, : G. Einaudi, [2005] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Cassino | ||
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An introduction to wavelet theory in finance [[electronic resource] ] : a wavelet multiscale approach / / Francis In, Sangbae Kim
| An introduction to wavelet theory in finance [[electronic resource] ] : a wavelet multiscale approach / / Francis In, Sangbae Kim |
| Autore | In Francis |
| Pubbl/distr/stampa | Singapore ; ; Hackensack, NJ, : World Scientific Pub., c2013 |
| Descrizione fisica | 1 online resource (213 p.) |
| Disciplina |
332.01514742
332.015152433 515.2433 |
| Altri autori (Persone) | KimSangbae <1965-> |
| Soggetto topico |
Finance - Mathematical models
Wavelets (Mathematics) |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-283-85075-3
981-4397-84-9 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Contents; 1. Methodology: Introduction to Wavelet Analysis; 1.1 Introduction; 1.2 Fourier Analysis and Spectral Analysis; 1.2.1 Fourier analysis; 1.2.2 Spectral analysis; 1.2.3 Comparison between Fourier transform and wavelet transform; 1.3 Wavelet Analysis; 1.3.1 Continuous wavelet transform; Scale of wavelets; Shifting of wavelets; 1.3.2 Discrete wavelet transform; 1.3.3 Maximal overlap discrete wavelet transform; 1.3.4 Boundary condition; Periodic boundary; Reflection boundary; Brick wall condition; 1.4 Wavelet Variance, Covariance and Correlation; 1.4.1 Wavelet variance
1.4.2 Wavelet covariance and correlation1.4.3 Cross wavelet covariance and correlation; 1.5 Long Memory Estimation Using Wavelet Analysis; 1.5.1 Definitions of long memory; 1.5.2 Wavelet ordinary least square; 1.5.3 Approximate maximum-likelihood estimation of the long memory parameter; 1.5.4 Another estimation method of the long memory parameter; 2. Multiscale Hedge Ratio Between the Stock and Futures Markets: A New Approach Using Wavelet Analysis and High Frequency Data; 2.1 Introduction; 2.2 Minimum Variance Hedge; 2.3 Empirical Results; 2.4 Concluding Remarks 3. Modeling the International Links Between the Dollar, Euro and Yen Interest Rate Swap Markets Through a Multiscaling Approach3.1 Introduction; 3.2 Data and Descriptive Statistics; 3.3 Empirical Results; 3.4 Concluding Remarks; 4. Long Memory in Rates and Volatilities of LIBOR: Wavelet Analysis; 4.1 Introduction; 4.2 Data and Empirical Results; 4.3 Summary and Concluding Remarks; 5. Cross-Listing and Transmission of Pricing Information of Dually-Listed Stocks: A New Approach Using Wavelet Analysis; 5.1 Introduction; 5.2 Data Description and Basic Statistics; 5.3 Empirical Results 5.4 Concluding RemarksAppendix. The market values of sample companies as of 2002; 6. On the Relationship Between Stock Returns and Risk Factors: New Evidence From Wavelet Analysis; 6.1 Introduction; 6.2 Data and Basic Statistics; 6.3 Empirical Results; 6.3.1 Results from the traditional CAPM; 6.3.2 Results using two risk factors: Excess market returns and SMB; 6.3.3 Results using three factors: Excess market returns, SMB and HML; 6.4 Concluding Remarks; 7. Can the Risk Factors Explain the Cross-Section of Average Stock Returns in the Long Run?; 7.1 Introduction; 7.2 Data and Basic Statistics 7.3 Empirical Results7.3.1 Traditional CAPM context; 7.3.2 Fama-French three factor model; 7.3.3 Fama-French three-factor model augmented by the momentum factor; 7.4 Conclusion; 8. Multiscale Relationships Between Stock Returns and Inflations: International Evidence; 8.1 Introduction; 8.2 Research Methodologies; 8.2.1 The multi-scale hedge ratio; 8.2.2 The bootstrap approach; 8.3 Data and Empirical Results; 8.4 Summary and Concluding Remarks; Appendix A. Data sources; 9. Mutual Fund Performance and Investment Horizon; 9.1 Introduction; 9.2 Sharpe Ratio at Different Investment Horizons 9.3 Data and Empirical Results |
| Record Nr. | UNINA-9910464784103321 |
|
In Francis
|
||
| Singapore ; ; Hackensack, NJ, : World Scientific Pub., c2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
An introduction to wavelet theory in finance [[electronic resource] ] : a wavelet multiscale approach / / Francis In, Sangbae Kim
| An introduction to wavelet theory in finance [[electronic resource] ] : a wavelet multiscale approach / / Francis In, Sangbae Kim |
| Autore | In Francis |
| Pubbl/distr/stampa | Singapore ; ; Hackensack, NJ, : World Scientific Pub., c2013 |
| Descrizione fisica | 1 online resource (213 p.) |
| Disciplina |
332.01514742
332.015152433 515.2433 |
| Altri autori (Persone) | KimSangbae <1965-> |
| Soggetto topico |
Finance - Mathematical models
Wavelets (Mathematics) |
| ISBN |
1-283-85075-3
981-4397-84-9 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Contents; 1. Methodology: Introduction to Wavelet Analysis; 1.1 Introduction; 1.2 Fourier Analysis and Spectral Analysis; 1.2.1 Fourier analysis; 1.2.2 Spectral analysis; 1.2.3 Comparison between Fourier transform and wavelet transform; 1.3 Wavelet Analysis; 1.3.1 Continuous wavelet transform; Scale of wavelets; Shifting of wavelets; 1.3.2 Discrete wavelet transform; 1.3.3 Maximal overlap discrete wavelet transform; 1.3.4 Boundary condition; Periodic boundary; Reflection boundary; Brick wall condition; 1.4 Wavelet Variance, Covariance and Correlation; 1.4.1 Wavelet variance
1.4.2 Wavelet covariance and correlation1.4.3 Cross wavelet covariance and correlation; 1.5 Long Memory Estimation Using Wavelet Analysis; 1.5.1 Definitions of long memory; 1.5.2 Wavelet ordinary least square; 1.5.3 Approximate maximum-likelihood estimation of the long memory parameter; 1.5.4 Another estimation method of the long memory parameter; 2. Multiscale Hedge Ratio Between the Stock and Futures Markets: A New Approach Using Wavelet Analysis and High Frequency Data; 2.1 Introduction; 2.2 Minimum Variance Hedge; 2.3 Empirical Results; 2.4 Concluding Remarks 3. Modeling the International Links Between the Dollar, Euro and Yen Interest Rate Swap Markets Through a Multiscaling Approach3.1 Introduction; 3.2 Data and Descriptive Statistics; 3.3 Empirical Results; 3.4 Concluding Remarks; 4. Long Memory in Rates and Volatilities of LIBOR: Wavelet Analysis; 4.1 Introduction; 4.2 Data and Empirical Results; 4.3 Summary and Concluding Remarks; 5. Cross-Listing and Transmission of Pricing Information of Dually-Listed Stocks: A New Approach Using Wavelet Analysis; 5.1 Introduction; 5.2 Data Description and Basic Statistics; 5.3 Empirical Results 5.4 Concluding RemarksAppendix. The market values of sample companies as of 2002; 6. On the Relationship Between Stock Returns and Risk Factors: New Evidence From Wavelet Analysis; 6.1 Introduction; 6.2 Data and Basic Statistics; 6.3 Empirical Results; 6.3.1 Results from the traditional CAPM; 6.3.2 Results using two risk factors: Excess market returns and SMB; 6.3.3 Results using three factors: Excess market returns, SMB and HML; 6.4 Concluding Remarks; 7. Can the Risk Factors Explain the Cross-Section of Average Stock Returns in the Long Run?; 7.1 Introduction; 7.2 Data and Basic Statistics 7.3 Empirical Results7.3.1 Traditional CAPM context; 7.3.2 Fama-French three factor model; 7.3.3 Fama-French three-factor model augmented by the momentum factor; 7.4 Conclusion; 8. Multiscale Relationships Between Stock Returns and Inflations: International Evidence; 8.1 Introduction; 8.2 Research Methodologies; 8.2.1 The multi-scale hedge ratio; 8.2.2 The bootstrap approach; 8.3 Data and Empirical Results; 8.4 Summary and Concluding Remarks; Appendix A. Data sources; 9. Mutual Fund Performance and Investment Horizon; 9.1 Introduction; 9.2 Sharpe Ratio at Different Investment Horizons 9.3 Data and Empirical Results |
| Record Nr. | UNINA-9910789347803321 |
|
In Francis
|
||
| Singapore ; ; Hackensack, NJ, : World Scientific Pub., c2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
An introduction to wavelet theory in finance [[electronic resource] ] : a wavelet multiscale approach / / Francis In, Sangbae Kim
| An introduction to wavelet theory in finance [[electronic resource] ] : a wavelet multiscale approach / / Francis In, Sangbae Kim |
| Autore | In Francis |
| Pubbl/distr/stampa | Singapore ; ; Hackensack, NJ, : World Scientific Pub., c2013 |
| Descrizione fisica | 1 online resource (213 p.) |
| Disciplina |
332.01514742
332.015152433 515.2433 |
| Altri autori (Persone) | KimSangbae <1965-> |
| Soggetto topico |
Finance - Mathematical models
Wavelets (Mathematics) |
| ISBN |
1-283-85075-3
981-4397-84-9 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Contents; 1. Methodology: Introduction to Wavelet Analysis; 1.1 Introduction; 1.2 Fourier Analysis and Spectral Analysis; 1.2.1 Fourier analysis; 1.2.2 Spectral analysis; 1.2.3 Comparison between Fourier transform and wavelet transform; 1.3 Wavelet Analysis; 1.3.1 Continuous wavelet transform; Scale of wavelets; Shifting of wavelets; 1.3.2 Discrete wavelet transform; 1.3.3 Maximal overlap discrete wavelet transform; 1.3.4 Boundary condition; Periodic boundary; Reflection boundary; Brick wall condition; 1.4 Wavelet Variance, Covariance and Correlation; 1.4.1 Wavelet variance
1.4.2 Wavelet covariance and correlation1.4.3 Cross wavelet covariance and correlation; 1.5 Long Memory Estimation Using Wavelet Analysis; 1.5.1 Definitions of long memory; 1.5.2 Wavelet ordinary least square; 1.5.3 Approximate maximum-likelihood estimation of the long memory parameter; 1.5.4 Another estimation method of the long memory parameter; 2. Multiscale Hedge Ratio Between the Stock and Futures Markets: A New Approach Using Wavelet Analysis and High Frequency Data; 2.1 Introduction; 2.2 Minimum Variance Hedge; 2.3 Empirical Results; 2.4 Concluding Remarks 3. Modeling the International Links Between the Dollar, Euro and Yen Interest Rate Swap Markets Through a Multiscaling Approach3.1 Introduction; 3.2 Data and Descriptive Statistics; 3.3 Empirical Results; 3.4 Concluding Remarks; 4. Long Memory in Rates and Volatilities of LIBOR: Wavelet Analysis; 4.1 Introduction; 4.2 Data and Empirical Results; 4.3 Summary and Concluding Remarks; 5. Cross-Listing and Transmission of Pricing Information of Dually-Listed Stocks: A New Approach Using Wavelet Analysis; 5.1 Introduction; 5.2 Data Description and Basic Statistics; 5.3 Empirical Results 5.4 Concluding RemarksAppendix. The market values of sample companies as of 2002; 6. On the Relationship Between Stock Returns and Risk Factors: New Evidence From Wavelet Analysis; 6.1 Introduction; 6.2 Data and Basic Statistics; 6.3 Empirical Results; 6.3.1 Results from the traditional CAPM; 6.3.2 Results using two risk factors: Excess market returns and SMB; 6.3.3 Results using three factors: Excess market returns, SMB and HML; 6.4 Concluding Remarks; 7. Can the Risk Factors Explain the Cross-Section of Average Stock Returns in the Long Run?; 7.1 Introduction; 7.2 Data and Basic Statistics 7.3 Empirical Results7.3.1 Traditional CAPM context; 7.3.2 Fama-French three factor model; 7.3.3 Fama-French three-factor model augmented by the momentum factor; 7.4 Conclusion; 8. Multiscale Relationships Between Stock Returns and Inflations: International Evidence; 8.1 Introduction; 8.2 Research Methodologies; 8.2.1 The multi-scale hedge ratio; 8.2.2 The bootstrap approach; 8.3 Data and Empirical Results; 8.4 Summary and Concluding Remarks; Appendix A. Data sources; 9. Mutual Fund Performance and Investment Horizon; 9.1 Introduction; 9.2 Sharpe Ratio at Different Investment Horizons 9.3 Data and Empirical Results |
| Record Nr. | UNINA-9910827657103321 |
|
In Francis
|
||
| Singapore ; ; Hackensack, NJ, : World Scientific Pub., c2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||