Forecasting Financial Markets Exchange Rates, Interest Rates and Asset Management

by Dunis, Christian L.

• ISBN13: 9780471966531
• ISBN10: 0471966533
• Edition: 1st
• Format: Hardcover
• Copyright: 1996-10-07
• Publisher: Wiley

Summary

New insights into the mathematical techniques and models used in forecasting financial marketsAllan M. Malz of the Federal Reserve in New York. Aaron Low of the National University of Singapore. W.M. van der Berg of Erasmus University, Rotterdam. To savvy investment analysts, traders, and econometricians seeking to outdo their competitors, these names represent the best and brightest of the analytical financial world-cutting-edge quantitative researchers who are behind the very latest thinking in the mathematical forecasting of financial markets. In this remarkable compendium, Christian Dunis, the head of quantitative research and trading at one the worlda??s biggest banks, introduces market pros to these thinkers and their complex work, revealing the latest techniques and models for financial forecasting, including high frequency data, volatility, neural networks, and more.CHRISTIAN DUNIS (London, England) is the Director of Quantitative Research and Trading for Chemical Bank, UK.

Author Biography

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.

Table of Contents

Partial table of contents:

MODELLING WITH HIGH FREQUENCY DATA.

Forecasting Foreign Exchange Rates Subject to De-Volatilization (B. Zhou).

Dynamic Strategies: A Correlation Study (E. Acar & P. Lequeux).

THE INFORMATIONAL CONTENT OF VOLATILITY MARKETS.

Using Option Prices to Estimate Realignment Probabilities in the European Monetary System (A. Malz).

Efficiency Test with Overlapping Data: An Application to the Currency Options Market (C. Dunis & A. Keller).

APPLICATIONS OF NEURAL NETWORKS AND GENETIC ALGORITHMS.

The Use of Error Feedback Terms in Neural Network Modelling of Financial Time Series ( A. Burgess & A. Refenes).

An Evolutionary Algorithm for Portfolio Selection within a Downside Framework ( A. Loraschi & A. Tettamanzi).

Index.