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Author: Roberto S. Mariano Publisher: World Scientific ISBN: 9812778969 Category : Business & Economics Languages : en Pages : 200
Book Description
This important book consists of surveys of high-frequency financial data analysis and econometric forecasting, written by pioneers in these areas including Nobel laureate Lawrence Klein. Some of the chapters were presented as tutorials to an audience in the Econometric Forecasting and High-Frequency Data Analysis Workshop at the Institute for Mathematical Science, National University of Singapore in May 2006. They will be of interest to researchers working in macroeconometrics as well as financial econometrics. Moreover, readers will find these chapters useful as a guide to the literature as well as suggestions for future research. Sample Chapter(s). Foreword (32 KB). Chapter 1: Forecast Uncertainty, Its Representation and Evaluation* (97 KB). Contents: Forecasting Uncertainty, Its Representation and Evaluation (K F Wallis); The University of Pennsylvania Models for High-Frequency Macroeconomic Modeling (L R Klein & S Ozmucur); Forecasting Seasonal Time Series (P H Franses); Car and Affine Processes (C Gourieroux); Multivariate Time Series Analysis and Forecasting (M Deistler). Readership: Professionals and researchers in econometric forecasting and financial data analysis.
Author: Roberto S. Mariano Publisher: World Scientific ISBN: 9812778969 Category : Business & Economics Languages : en Pages : 200
Book Description
This important book consists of surveys of high-frequency financial data analysis and econometric forecasting, written by pioneers in these areas including Nobel laureate Lawrence Klein. Some of the chapters were presented as tutorials to an audience in the Econometric Forecasting and High-Frequency Data Analysis Workshop at the Institute for Mathematical Science, National University of Singapore in May 2006. They will be of interest to researchers working in macroeconometrics as well as financial econometrics. Moreover, readers will find these chapters useful as a guide to the literature as well as suggestions for future research. Sample Chapter(s). Foreword (32 KB). Chapter 1: Forecast Uncertainty, Its Representation and Evaluation* (97 KB). Contents: Forecasting Uncertainty, Its Representation and Evaluation (K F Wallis); The University of Pennsylvania Models for High-Frequency Macroeconomic Modeling (L R Klein & S Ozmucur); Forecasting Seasonal Time Series (P H Franses); Car and Affine Processes (C Gourieroux); Multivariate Time Series Analysis and Forecasting (M Deistler). Readership: Professionals and researchers in econometric forecasting and financial data analysis.
Author: Alexander von Eye Publisher: Psychology Press ISBN: 1135630860 Category : Psychology Languages : en Pages : 471
Book Description
Configural Frequency Analysis (CFA) provides an up-to-the-minute comprehensive introduction to its techniques, models, and applications. Written in a formal yet accessible style, actual empirical data examples are used to illustrate key concepts. Step-by-step program sequences are used to show readers how to employ CFA methods using commercial software packages, such as SAS, SPSS, SYSTAT, S-Plus, or those written specifically to perform CFA. CFA is an important method for analyzing results involved with categorical and longitudinal data. It allows one to answer the question of whether individual cells or groups of cells of cross-classifications differ significantly from expectations. The expectations are calculated using methods employed in log-linear modeling or a priori information. It is the only statistical method that allows one to make statements about empty areas in the data space. Applied and or person-oriented researchers, statisticians, and advanced students interested in CFA and categorical and longitudinal data will find this book to be a valuable resource. Developed since 1969, this method is now used by a large number of researchers around the world in a variety of disciplines, including psychology, education, medicine, and sociology. Configural Frequency Analysis will serve as an excellent text for courses on configural frequency analysis, categorical variable analysis, or analysis of contingency tables. Prerequisites include an understanding of descriptive statistics, hypothesis testing, statistical model fitting, and some understanding of categorical data analysis and matrix algebra.
Author: Barbara Illowsky Publisher: ISBN: Category : Mathematics Languages : en Pages : 2106
Book Description
Introductory Statistics 2e provides an engaging, practical, and thorough overview of the core concepts and skills taught in most one-semester statistics courses. The text focuses on diverse applications from a variety of fields and societal contexts, including business, healthcare, sciences, sociology, political science, computing, and several others. The material supports students with conceptual narratives, detailed step-by-step examples, and a wealth of illustrations, as well as collaborative exercises, technology integration problems, and statistics labs. The text assumes some knowledge of intermediate algebra, and includes thousands of problems and exercises that offer instructors and students ample opportunity to explore and reinforce useful statistical skills. This is an adaptation of Introductory Statistics 2e by OpenStax. You can access the textbook as pdf for free at openstax.org. Minor editorial changes were made to ensure a better ebook reading experience. Textbook content produced by OpenStax is licensed under a Creative Commons Attribution 4.0 International License.
Author: Janie H. Wilson Publisher: SAGE Publications ISBN: 1483392163 Category : Psychology Languages : en Pages : 441
Book Description
This innovative text offers a completely integrated approach to teaching research methods and statistics by presenting a research question accompanied by the appropriate methods and statistical procedures needed to address it. Research questions and designs become more complex as chapters progress, building on simpler questions to reinforce student learning. Using a conversational style and research examples from published works, this comprehensive book walks readers through the entire research process and includes ample pedagogical support for SPSS, Excel, and APA style.
Author: Ramazan Gençay Publisher: Elsevier ISBN: 008049904X Category : Business & Economics Languages : en Pages : 411
Book Description
Liquid markets generate hundreds or thousands of ticks (the minimum change in price a security can have, either up or down) every business day. Data vendors such as Reuters transmit more than 275,000 prices per day for foreign exchange spot rates alone. Thus, high-frequency data can be a fundamental object of study, as traders make decisions by observing high-frequency or tick-by-tick data. Yet most studies published in financial literature deal with low frequency, regularly spaced data. For a variety of reasons, high-frequency data are becoming a way for understanding market microstructure. This book discusses the best mathematical models and tools for dealing with such vast amounts of data.This book provides a framework for the analysis, modeling, and inference of high frequency financial time series. With particular emphasis on foreign exchange markets, as well as currency, interest rate, and bond futures markets, this unified view of high frequency time series methods investigates the price formation process and concludes by reviewing techniques for constructing systematic trading models for financial assets.
Author: Karlheinz Gröchenig Publisher: Springer Science & Business Media ISBN: 1461200032 Category : Technology & Engineering Languages : en Pages : 367
Book Description
Time-frequency analysis is a modern branch of harmonic analysis. It com prises all those parts of mathematics and its applications that use the struc ture of translations and modulations (or time-frequency shifts) for the anal ysis of functions and operators. Time-frequency analysis is a form of local Fourier analysis that treats time and frequency simultaneously and sym metrically. My goal is a systematic exposition of the foundations of time-frequency analysis, whence the title of the book. The topics range from the elemen tary theory of the short-time Fourier transform and classical results about the Wigner distribution via the recent theory of Gabor frames to quantita tive methods in time-frequency analysis and the theory of pseudodifferential operators. This book is motivated by applications in signal analysis and quantum mechanics, but it is not about these applications. The main ori entation is toward the detailed mathematical investigation of the rich and elegant structures underlying time-frequency analysis. Time-frequency analysis originates in the early development of quantum mechanics by H. Weyl, E. Wigner, and J. von Neumann around 1930, and in the theoretical foundation of information theory and signal analysis by D.
Author: Yacine Aït-Sahalia Publisher: Princeton University Press ISBN: 0691161437 Category : Business & Economics Languages : en Pages : 683
Book Description
A comprehensive introduction to the statistical and econometric methods for analyzing high-frequency financial data High-frequency trading is an algorithm-based computerized trading practice that allows firms to trade stocks in milliseconds. Over the last fifteen years, the use of statistical and econometric methods for analyzing high-frequency financial data has grown exponentially. This growth has been driven by the increasing availability of such data, the technological advancements that make high-frequency trading strategies possible, and the need of practitioners to analyze these data. This comprehensive book introduces readers to these emerging methods and tools of analysis. Yacine Aït-Sahalia and Jean Jacod cover the mathematical foundations of stochastic processes, describe the primary characteristics of high-frequency financial data, and present the asymptotic concepts that their analysis relies on. Aït-Sahalia and Jacod also deal with estimation of the volatility portion of the model, including methods that are robust to market microstructure noise, and address estimation and testing questions involving the jump part of the model. As they demonstrate, the practical importance and relevance of jumps in financial data are universally recognized, but only recently have econometric methods become available to rigorously analyze jump processes. Aït-Sahalia and Jacod approach high-frequency econometrics with a distinct focus on the financial side of matters while maintaining technical rigor, which makes this book invaluable to researchers and practitioners alike.
Author: Paul J. Lavrakas Publisher: SAGE Publications ISBN: 150631788X Category : Social Science Languages : en Pages : 1073
Book Description
To the uninformed, surveys appear to be an easy type of research to design and conduct, but when students and professionals delve deeper, they encounter the vast complexities that the range and practice of survey methods present. To complicate matters, technology has rapidly affected the way surveys can be conducted; today, surveys are conducted via cell phone, the Internet, email, interactive voice response, and other technology-based modes. Thus, students, researchers, and professionals need both a comprehensive understanding of these complexities and a revised set of tools to meet the challenges. In conjunction with top survey researchers around the world and with Nielsen Media Research serving as the corporate sponsor, the Encyclopedia of Survey Research Methods presents state-of-the-art information and methodological examples from the field of survey research. Although there are other "how-to" guides and references texts on survey research, none is as comprehensive as this Encyclopedia, and none presents the material in such a focused and approachable manner. With more than 600 entries, this resource uses a Total Survey Error perspective that considers all aspects of possible survey error from a cost-benefit standpoint. Key Features Covers all major facets of survey research methodology, from selecting the sample design and the sampling frame, designing and pretesting the questionnaire, data collection, and data coding, to the thorny issues surrounding diminishing response rates, confidentiality, privacy, informed consent and other ethical issues, data weighting, and data analyses Presents a Reader′s Guide to organize entries around themes or specific topics and easily guide users to areas of interest Offers cross-referenced terms, a brief listing of Further Readings, and stable Web site URLs following most entries The Encyclopedia of Survey Research Methods is specifically written to appeal to beginning, intermediate, and advanced students, practitioners, researchers, consultants, and consumers of survey-based information.
Author: Eduardo Bayro-Corrochano Publisher: Springer ISBN: 3319125680 Category : Computers Languages : en Pages : 1071
Book Description
This book constitutes the refereed proceedings of the 19th Iberoamerican Congress on Pattern Recognition, CIARP 2014, held in Puerto Vallarta, Jalisco, Mexico, in November 2014. The 115 papers presented were carefully reviewed and selected from 160 submissions. The papers are organized in topical sections on image coding, processing and analysis; segmentation, analysis of shape and texture; analysis of signal, speech and language; document processing and recognition; feature extraction, clustering and classification; pattern recognition and machine learning; neural networks for pattern recognition; computer vision and robot vision; video segmentation and tracking.
Author: Roberto S. Mariano
Author: Roberto S. Mariano
Author: Alexander von Eye
Author: Barbara Illowsky
Author: Janie H. Wilson
Author: Ramazan Gençay
Author: Karlheinz Gröchenig
Author: Yacine Aït-Sahalia
Author: J. R. M. Hosking
Author: Paul J. Lavrakas
Author: Eduardo Bayro-Corrochano