Financial Surveillance (eBook)

Marianne Frisen (Herausgeber)

eBook Download: PDF

2008 | 1. Auflage
272 Seiten
John Wiley & Sons (Verlag)
978-0-470-98716-2 (ISBN)

Infos

This is the first book-length treatment of statistical surveillance methods used in financial analysis. It contains carefully selected chapters written by specialists from both fields and strikes a balance between the financial and statistical worlds, enhancing future collaborations between the two areas, and enabling more successful prediction of financial market trends. The book discusses, in detail, schemes for different control charts and different linear and nonlinear time series models and applies methods to real data from worldwide markets, as well as including simulation studies.

Autor

Marianne Frisen - Statistical Research Unit, Goteborg University. Professor Frisén has worked in the area of surveillance for over 25 years. In that time she has organized symposiums on financial surveillance, written numerous publications on surveillance (including financial surveillance), and written two chapters in the Wiley published Spatial and Syndromic Surveillance for Public Health.

Inhalt

List of Contributors .

1. Introduction to financial surveillance (Marianne
Frisén).

2. Statistical models in finance (Helgi Tómasson).

3. The relation between statistical surveillance and technical
analysis.

in finance (David Bock, Eva Andersson and Marianne
Frisén).

4. Evaluations of likelihood-based surveillance of volatility
(David Bock).

5. Surveillance of univariate and multivariate linear time
series (Y. Okhrin and W.Schmid).

6. Surveillance of univariate and multivariate nonlinear time
series (Y. Okhrin and W. Schmid).

7. Sequential monitoring of optimal portfolio weights (Vasyl.
Golosnoy, Wolfgang Schmid and Iryna. Okhrin).

8. Likelihood-based surveillance for continuous-time processes
(Helgi T?omasson).

9 Conclusions and future directions (Marianne Frisén).

Bibliography.

Index.

Rezensionen

"Financial Surveillance is idea for readers from either
statistics or finance wanting to learn more about the other
discipline. It also makes essential readiner for advanced level
students in statistics, economics and finance." (Mathematical
Reviews, Issue 2009a)

"Financial Surveillance is idea for readers from either
statistics or finance wanting to learn more about the other
discipline. It also makes essential readiner for advanced
level students in statistics, economics and finance."
(Mathematical Reviews Issue 2009a)

"A very good introduction to the problems and statistical
methods for financial surveillance. I shall certainly recommend it
to my students." (International Statistical Review, August
2008)

"The book does provide a very good introduction to the problems
and statistical methods for financial surveillance. I shall
certainly recommend it to my students." (International
Statistical Review, August 2008)

Produkt-Details

• Erscheint lt. Verlag: 2.8.2008
• Reihe/Serie: Statistics in Practice
• Reihe/Serie: Statistics in Practice
• Sprache: englisch
• Themenwelt: Mathematik / Informatik ► Mathematik ► Statistik
• Themenwelt: Mathematik / Informatik ► Mathematik ► Wahrscheinlichkeit / Kombinatorik
• Themenwelt: Recht / Steuern ► Wirtschaftsrecht
• Themenwelt: Technik
• Themenwelt: Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
• Schlagworte: Finanz- u. Wirtschaftsstatistik • Probability & Mathematical Statistics • Statistics • Statistics for Finance, Business & Economics • Statistik • Wahrscheinlichkeitsrechnung u. mathematische Statistik • Wirtschaftsstatistik
• ISBN-10: 0-470-98716-2 / 0470987162
• ISBN-13: 978-0-470-98716-2 / 9780470987162