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Progress in financial markets research [[electronic resource] /] / Catherine Kyrtsou and Costas Vorlow, editors
| Progress in financial markets research [[electronic resource] /] / Catherine Kyrtsou and Costas Vorlow, editors |
| Pubbl/distr/stampa | Hauppauge, N.Y., : Nova Science Publishers, c2012 |
| Descrizione fisica | 1 online resource (370 p.) |
| Disciplina | 332.072 |
| Altri autori (Persone) |
KyrtsouCatherine
VorlowCostas |
| Collana | Financial institutions and services |
| Soggetto topico | Finance - Research |
| Soggetto genere / forma | Electronic books. |
| ISBN | 1-61324-765-6 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910453937303321 |
| Hauppauge, N.Y., : Nova Science Publishers, c2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Progress in financial markets research [[electronic resource] /] / Catherine Kyrtsou and Costas Vorlow, editors
| Progress in financial markets research [[electronic resource] /] / Catherine Kyrtsou and Costas Vorlow, editors |
| Pubbl/distr/stampa | Hauppauge, N.Y., : Nova Science Publishers, c2012 |
| Descrizione fisica | 1 online resource (370 p.) |
| Disciplina | 332.072 |
| Altri autori (Persone) |
KyrtsouCatherine
VorlowCostas |
| Collana | Financial institutions and services |
| Soggetto topico | Finance - Research |
| ISBN | 1-61324-765-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910779606603321 |
| Hauppauge, N.Y., : Nova Science Publishers, c2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Progress in financial markets research / / Catherine Kyrtsou and Costas Vorlow, editors
| Progress in financial markets research / / Catherine Kyrtsou and Costas Vorlow, editors |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Hauppauge, N.Y., : Nova Science Publishers, c2012 |
| Descrizione fisica | 1 online resource (370 p.) |
| Disciplina | 332.072 |
| Altri autori (Persone) |
KyrtsouCatherine
VorlowCostas |
| Collana | Financial institutions and services |
| Soggetto topico | Finance - Research |
| ISBN | 1-61324-765-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Intro -- PROGRESS IN FINANCIAL MARKETS RESEARCH -- PROGRESS IN FINANCIAL MARKETS RESEARCH -- LIBRARY OF CONGRESS CATALOGING-IN-PUBLICATION DATA -- CONTENTS -- EDITORIAL INTRODUCTION -- Chapter 1: LEARNING AND CONDITIONAL HETEROSCEDASTICITY IN ASSET RETURNS -- 1.1. Introduction -- 1.2. GARCH in the Linear Regression Model -- 1.3. A Model of Asset Pricing and Learning -- 1.4. The Covariance Structure of the Residuals -- 1.5. Finite Sample Properties -- 1.6. An Empirical Example -- Conclusion -- References -- Chapter 2: MODELLING AND MEASURING THE SOVEREIGN BORROWER'S OPTION TO DEFAULT -- 2.1. Introduction -- 2.2. Modeling Country Risk -- 2.3. Implementation -- Conclusion -- References -- Chapter 3: SUCCESS AND FAILURE OF TECHNICAL ANALYSIS IN THE COCOA FUTURES MARKET -- 3.1. Introduction -- 3.2. Forecasting Techniques in Technical Analysis -- 3.3. From Technical Forecasting Rule to Technical Trading Strategy -- 3.4. Effectiveness of Technical Analysis: Standard Statistical Tests -- 3.5. Effectiveness of Technical Analysis: The Bootstrap Method -- 3.6. Success and Failure of Technical Analysis -- 3.7. Concluding Remarks -- Appendix -- References -- Chapter 4: WHEN NONRANDOMNESS APPEARS RANDOM: A CHALLENGE TO FINANCIAL ECONOMICS -- 4.1. Introduction -- 4.2. Deterministic versus Random Models -- 4.3. The Lorenz Equations -- 4.4. The Experiment -- Evaluation and Conclusion -- References -- Chapter 5: FINITE SAMPLE PROPERTIES OF TESTS FOR STGARCH MODELS AND APPLICATION TO THE US STOCK RETURNS -- 5.1. Introduction -- 5.2. STGARCH Models and Test Statistics -- 5.3. Monte Carlo Experiment -- 5.4. An Application to the US Stock Returns -- Concluding Remarks -- References -- Chapter 6: A STATISTICAL TEST OF CHAOTIC PURCHASING POWER PARITY DYNAMICS -- 6.1. Introduction -- 6.2. PPP and the Real Exchange Rate -- 6.3. A Statistical Test for Chaos.
6.4. Data and Results -- 6.5. Robustness -- 6.6. Conclusion -- References -- Chapter 7: A METHODOLOGY FOR THE IDENTIFICATION OF TRADING PATTERNS -- 7.1. Introduction -- 7.2. Methodology -- 7.3. Application to the Dow Jones Index Closing Values -- 7.4. Application to the Pound-dollar Exchange Rate Series -- Conclusion -- References -- Chapter 8: TECHNICAL RULES BASEDON NEAREST-NEIGHBOUR PREDICTIONS OPTIMISED BY GENETIC ALGORITHMS: EVIDENCE FROM THE MADRID STOCK MARKET -- 8.1. Introduction -- 8.2. KNN Predictions -- 8.3. Trading Rules -- 8.4. Optimization of Technical Rules by Genetic Algorithms -- 8.5. Empirical Results -- Conclusion -- References -- Chapter 9: MODERN ANALYSIS OF FLUCTUATIONSIN FINANCIAL TIME SERIES AND BEYOND -- 9.1. Introduction -- 9.2. Why Wavelets? -- 9.3. The Wavelet y -- 9.4. The H¨older Exponent -- 9.5. Multifractal Formalism on the WTMM Tree -- 9.6. Estimation of the Local, Effective H¨older Exponent Using the Multiplicative Cascade Model -- 9.7. Employing the Local Effective H¨older Exponent in the Characterisation of Time Series -- 9.8. Breaking with the Universality Picture: Reasoning from Non-stationarity -- 9.9. Discovering Structure Through the Analysis of Collective Properties of Non-stationary Behaviour -- Conclusion -- References -- Chapter 10: SYNCHRONICITY BETWEEN MACROECONOMIC TIME SERIES -- 10.1. Introduction -- 10.2. Cointegration Testing Using the Ranges -- References -- Chapter 11: CONTAGION BETWEEN THE FINANCIAL SPHERE AND THE REAL ECONOMY. PARAMETRIC AND NON PARAMETRIC TOOLS: A COMPARISON -- 11.1. Introduction -- 11.2. Contagion's Concept -- 11.3. Parametric Models -- 11.4. Non Parametric Framework -- 11.5. Applications -- 11.6. Conclusion -- References -- Chapter 12: A MACRODYNAMIC MODEL OF REAL-FINANCIAL INTERACTION: IMPLICATIONS OF BUDGET EQUATIONS AND CAPITAL ACCUMULATION -- 12.1. Introduction. 12.2. The Blanchard (1981) Model with Intrinsic Stock-flow Dynamics -- 12.3. Intensive Form of the Model -- 12.4. Analysis -- 12.5. Outlook: Jump-variable Conundrum vs. Global Boundedness through Switching Phase Diagrams in the Real-financial Interaction -- 12.6. Appendix: Adding the Dynamics of the Government Budget Constraint -- References -- Chapter 13: MODELLING BENCHMARK GOVERNMENT BONDS VOLATILITY: DO SWAPTION RATES HELP? -- 13.1. Introduction -- 13.2. Literature Review -- 13.3. Bond Return and Bond Volatility Data -- 13.4. Volatility and Benchmark Models -- 13.5. The AR(p) Time Series and 'Mixed' Models -- 13.6. The Out-of-Sample Estimation Results -- Conclusion -- Appendix 1: Historical and Implied 10-Year Volatilites -- Appendix 2: Out-Of-Sample Forecasting Accuracy (SimpleModels) -- Appendix 3: Out-Of-Sample Forecasting Accuracy ('Mixed'Models) -- References -- Chapter 14: NONLINEAR COINTEGRATION USING LYAPUNOV STABILITY THEORY -- 14.1. Introduction -- 14.2. Methodology -- 14.3. Empirical Application -- Conclusions -- References -- Chapter 15: ACTIVE PORTFOLIO MANAGEMENT: THE POWER OF THE TREYNOR-BLACK MODEL -- 15.1. Introduction -- 15.2. The Treynor-Black Framework -- 15.3. The Forecast Database and Sampling Procedures -- 15.4. Estimation of Beta Coefficients and Realized Abnormal Returns -- 15.5. Calibration of Alpha Forecasts -- 15.6. Out-of-Sample Test Procedures -- 15.7. Portfolio Performance Evaluation -- Summary and Conclusions -- References -- Chapter 16: STOCK PRICE CLUSTERING AND DISCRETENESS: THE "COMPASS ROSE" AND COMPLEX DYNAMICS -- 16.1. Introduction -- 16.2. The Compass Rose in Scientific Literature -- 16.3. Methodology and Results -- 16.4. Conclusion and Future Research -- References -- INDEX. |
| Record Nr. | UNINA-9910971112703321 |
| Hauppauge, N.Y., : Nova Science Publishers, c2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Python for Accounting and Finance : An Integrative Approach to Using Python for Research / / by Sunil Kumar
| Python for Accounting and Finance : An Integrative Approach to Using Python for Research / / by Sunil Kumar |
| Autore | Kumar Sunil |
| Edizione | [1st ed. 2024.] |
| Pubbl/distr/stampa | Cham : , : Springer Nature Switzerland : , : Imprint : Palgrave Macmillan, , 2024 |
| Descrizione fisica | 1 online resource (502 pages) |
| Disciplina | 332.072 |
| Collana | Economics and Finance Series |
| Soggetto topico |
Financial engineering
Python (Computer program language) Machine learning Natural language processing (Computer science) Financial Engineering Python Machine Learning Natural Language Processing (NLP) |
| ISBN |
9783031546808
9783031546792 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Chapter 1: Introduction and Fundamentals -- Chapter 2: Data Acquisition and Cleaning -- Chapter 3: Exploratory Data Analysis and Visualization -- Chapter 4: Natural Language Processing and Text Analysis -- Chapter 5: Machine Learning and Predictive Analytics -- Chapter 6: Advanced Topics. . |
| Record Nr. | UNINA-9910869157203321 |
Kumar Sunil
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| Cham : , : Springer Nature Switzerland : , : Imprint : Palgrave Macmillan, , 2024 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Research method and methodology in finance and accounting / Bob Ryan, Robert W. Scapens, Michael Theobald
| Research method and methodology in finance and accounting / Bob Ryan, Robert W. Scapens, Michael Theobald |
| Autore | Ryan, Bob |
| Pubbl/distr/stampa | London : Academic, 1992 |
| Descrizione fisica | X, 208 p. : ill. ; 24 cm. |
| Disciplina | 332.072 |
| ISBN | 01-260-5064-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNICAMPANIA-SUN0075392 |
|
Ryan, Bob
|
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| London : Academic, 1992 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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Research method and methodology in finance and accounting / Bob Ryan, Robert W. Scapens, Michael Theobald
| Research method and methodology in finance and accounting / Bob Ryan, Robert W. Scapens, Michael Theobald |
| Autore | Ryan, Bob |
| Pubbl/distr/stampa | London, : Academic, 1992 |
| Descrizione fisica | X, 208 p. : ill. ; 24 cm. |
| Disciplina | 332.072 |
| ISBN | 01-260-5064-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNICAMPANIA-VAN0075392 |
|
Ryan, Bob
|
||
| London, : Academic, 1992 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
| ||
Research method and methodology in finance and accounting / Bob Ryan, Robert W. Scapens, Michael Theobald
| Research method and methodology in finance and accounting / Bob Ryan, Robert W. Scapens, Michael Theobald |
| Autore | Ryan, Bob |
| Pubbl/distr/stampa | London, : Academic, 1992 |
| Descrizione fisica | X, 208 p. : ill. ; 24 cm. |
| Disciplina | 332.072 |
| ISBN | 01-260-5064-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNICAMPANIA-VAN00075392 |
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Ryan, Bob
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| London, : Academic, 1992 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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