Forecasting Financial Markets: Exchange Rates, Interest Rates and Asset Management

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Christian L. Dunis (Chemical Bank, London)

Forecasting Financial Markets

Exchange Rates, Interest Rates and Asset Management

Christian L. Dunis (Chemical Bank, London)

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English

John Wiley & Sons Inc
29 August 1996

Economic forecasting; Investment & securities

Series: Financial Economics and Quantitative Analysis Series

Today s financial markets are characterised by a large number ofparticipants, with different appetites for risk, different timehorizons, different motivations and reactions to unexpected news.

The mathematical techniques and models used in the forecasting offinancial markets have therefore grown ever more sophisticated astraders, analysts and investors seek to gain an edge on theircompetitors. Written by leading international researchers andpractitioners, this book focuses on three major themes of today sstate of the art financial research: modelling with high frequencydata, the information content of volatility markets, andapplications of neural networks and genetic algorithms to financialtime series. Forecasting Financial Markets includes empiricalapplications to present the very latest thinking on these complextechniques, including:
* High frequency exchange rates
* Intraday volatility
* Autocorrelation and variance ratio tests
* Conditional volatility
* GARCH processes
* Chaotic systems
* Nonlinearity
* Stochastic and EXPAR models
* Artificial neural networks
* Genetic algorithms

Edited by: Christian L. Dunis (Chemical Bank London)
Imprint: John Wiley & Sons Inc
Country of Publication: United States
Dimensions: Height: 233mm, Width: 156mm, Spine: 24mm
Weight: 624g
ISBN: 9780471966531
ISBN 10: 0471966533
Series: Financial Economics and Quantitative Analysis Series
Pages: 324
Publication Date: 29 August 1996
Audience: Professional and scholarly , Undergraduate
Format: Hardback
Publisher's Status: Active

Christian Dunis is Executive Vice President, Global Head of Markets Research at Banque Nationale de Paris, France. BNP's Markets Research Group covers foreign exchange and fixed income strategies, quantitative market research and quantitative trading. Its 23-strong research staff is spread between London, Paris and Singapore.