9780470061886

Financial Surveillance

by
  • ISBN13:

    9780470061886

  • ISBN10:

    047006188X

  • Format: Hardcover
  • Copyright: 2008-02-04
  • Publisher: WILEY

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Summary

Statistical surveillance is used to repeatedly evaluate the amount of information contained within a system of continuously achieved observations. This makes it possible to quickly and safely detect changes in the way time series evolve through time. Applied to economic and financial markets, this allows the optimal time for decisions to be determined, such as the most beneficial trading time.

Author Biography

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.

Table of Contents

List of Contributorsp. vii
Introduction to financial surveillancep. 1
Statistical models in financep. 31
The relation between statistical surveillance and technical analysis in financep. 69
Evaluations of likelihood-based surveillance of volatilityp. 93
Surveillance of univariate and multivariate linear time seriesp. 115
Surveillance of univariate and multivariate nonlinear time seriesp. 153
Sequential monitoring of optimal portfolio weightsp. 179
Likelihood-based surveillance for continuous-time processesp. 211
Conclusions and future directionsp. 235
Bibliographyp. 239
Indexp. 257
Table of Contents provided by Ingram. All Rights Reserved.

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