Item description for Modelling Financial Times Series by Stephen J. Taylor, Charles T. Horngren, C. William Thomas, Shannon Denton, Pete Woods, Chris Wilbert, Glenn Barr & Kevin Nowlan...
This book contains several innovative models for the prices of financial assets. First published in 1986, it is a classic text in the area of financial econometrics. It presents ARCH and stochastic volatility models that are often used and cited in academic research and are applied by quantitative analysts in many banks. Another often-cited contribution of the first edition is the documentation of statistical characteristics of financial returns, which are referred to as stylized facts.
This second edition takes into account the remarkable progress made by empirical researchers during the past two decades from 1986 to 2006. In the new Preface, the author summarizes this progress in two key areas: firstly, measuring, modelling and forecasting volatility; and secondly, detecting and exploiting price trends.
Contents: Features of Financial Returns; Modelling Price Volatility; Forecasting Standard Deviations; The Accuracy of Autocorrelation Estimates; Testing the Random Walk Hypothesis; Forecasting Trends in Prices; Evidence Against the Efficiency of Futures Markets; Valuing Options; Appendix: A Computer Program for Modelling Financial Time Series.
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Studio: World Scientific Publishing Company
Est. Packaging Dimensions: Length: 0.8" Width: 5.95" Height: 8.95" Weight: 1.22 lbs.
Release Date Dec 28, 2007
Publisher World Scientific Publishing Company
ISBN 9812770844 ISBN13 9789812770844
Availability 113 units. Availability accurate as of May 24, 2017 09:17.
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More About Stephen J. Taylor, Charles T. Horngren, C. William Thomas, Shannon Denton, Pete Woods, Chris Wilbert, Glenn Barr & Kevin Nowlan
Stephen J. Taylor is Professor of Finance at Lancaster University, England. He is the author of "Modelling Financial Time Series" and many influential articles about applications of financial econometrics.
Reviews - What do customers think about Modelling Financial Times Series?
Modelling Financial Time series Oct 26, 2003
This is (still) an excellent book, ahead of its time when published in 1986. One of the issues he dealt with was the possible modifications to option pricing models (black-scholes type) that could be made to account for trending markets. This was before the crash of '87 and the subsequent wide-spread adoption of skewed volatility smiles and risk-reversals into option pricing.
This book is probably out of print permanently, but the author is working on a new book, the provisional title of which is "Asset Price Dynamics and Prediction" Target Date of March 2004. The chapters are loosely based on subjects covered in Modelling Financial Time series.
Chapter headings for Modelling Financial Time series:
1. Introduction 2. Features of financial returns 3. Modelling price volatility 4. Forecasting standard deviations 5. The accuracy of autocorrelation estimates 6. Testing the random walk hypothesis 7. Forecasting trends in prices 8. Evidence against the efficiency of futures markets 9. Valuing options 10. Concluding remarks Appendix : a computer program for modelling financial time series
Rigorous but practical survey of time-series for traders. Jul 24, 1996
The first edition was published in 1986. It is EXCELLENT.
Taylor rigorously studies the use of nonlinear
time-series (Box-Jenkins) methods to trade a variety of
financial markets, including individual stocks, stock
indices, currencies, metals, and agricultural commodities,
finding that there is a small trend component in most
markets that can be profitably traded.
Taylor performed testing of time series back in the early 1980s,
when computer power and financial data was much scarcer and more
expensive. I am excited to see what he has come up with, now that
computers and data are a zillion times cheaper.