Scaling properties of financial time series

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Sprache: Englisch

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Beschreibung

The book is devoted to the scaling properties of financial time series. In particular, the book deals carefully with the empirical determination of the Hurst exponent. The main statistical features of the financial indexes are presented, along with a brief overview of the main concepts in probability theory and fractal geometry. Then the role of extreme events and correlations in affecting the behaviour of the Hurst exponent is explained through the analysis of exactly solvable self-similar random walks. Finally the reliability of the multiscaling observed in finance is investigated both from a theoretical and an empirical viewpoint. Since the main result holds under quite general assumptions, the conclusions can be generalized to time series coming from other fields of the complex system physics, like hydrology and geophysics. The book, avoiding excessive formalism, is intended for a wide range of readers.

Über den Autor

Dr. Dario Bovina, [...]. in Theoretical Physics at Bolognauniversity, Ph.D. in Physics at Padova university. He has doneresearch on the chaotic behaviour of dynamical systems and on thefractal properties of stochastic processes with focus onfinancial time series.

Erscheinungsjahr:	2011
Fachbereich:	Wahrscheinlichkeitstheorie
Genre:	Mathematik , Medizin , Naturwissenschaften , Technik
Rubrik:	Naturwissenschaften & Technik
Medium:	Taschenbuch
Inhalt:	120 S.
ISBN-13:	9783843394758
ISBN-10:	384339475X
Sprache:	Englisch
Ausstattung / Beilage:	Paperback
Einband:	Kartoniert / Broschiert
Autor:	Bovina, Dario
Hersteller:	LAP LAMBERT Academic Publishing
Verantwortliche Person für die EU:	LAP Lambert Academic Publishing, Brivibas Gatve 197, ?-1039 Riga, customerservice@vdm-vsg.de
Maße:	220 x 150 x 8 mm
Von/Mit:	Dario Bovina
Erscheinungsdatum:	09.02.2011
Gewicht:	0,197 kg