Financial Surveillance

by Frisen, Marianne

• ISBN13: 9780470061886
• ISBN10: 047006188X
• Edition: 1st
• Format: Hardcover
• Copyright: 2008-02-04
• Publisher: WILEY

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 Contributors	p. vii
Introduction to financial surveillance	p. 1
Statistical models in finance	p. 31
The relation between statistical surveillance and technical analysis in finance	p. 69
Evaluations of likelihood-based surveillance of volatility	p. 93
Surveillance of univariate and multivariate linear time series	p. 115
Surveillance of univariate and multivariate nonlinear time series	p. 153
Sequential monitoring of optimal portfolio weights	p. 179
Likelihood-based surveillance for continuous-time processes	p. 211
Conclusions and future directions	p. 235
Bibliography	p. 239
Index	p. 257
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