A NEW MEANREVERSION MODEL BYFOURIERTERMS: APPLICATIONS IN FINANCE

A NEW MEANREVERSION MODEL BYFOURIERTERMS: APPLICATIONS IN FINANCE

Eser Adı: A NEW MEANREVERSION MODEL BYFOURIERTERMS: APPLICATIONS IN FINANCE

Alt Baslık:

Dili:İngilizce

Yazar: Deniz  İLALAN

İSBN: 978-605-2228-10-4

Kitabın Türü:  İktisadi İdari Bilimler

Cilt Bilgisi: Amerikan Bristol

Basım Tarihi ve Yeri:  2018 İstanbul

Kitap Boyutu: 13,5 x 21

Sayfa Sayısı: 86

Etiket Fiyatı:18.50

Açıklama

Financial time series including high frequency structures like jumps, spikes and stochastic volatility are usually modeled in an ad-hoc manner by stochastic differential equations together with Levy processes. Estimating the parameters and determining the jump size distributions do not have a precise and universally accepted method. Under these circumstances, complexities and confusions usually arise. This book, approaches to this issue from a very different angle through introducing an autocorrelation one process together with finite number of Fourier series terms. Introduction of Fourier series to estimate the dynamics of the process is not done in an ad-hoc manner or as done before in dealing with seasonality. Here the moving average is transformed to a “moving and fluctuating” average by the help of Fourier series. Instead of adding jump structures to the model which makes the parameter estimation quite cumbersome, our model in discrete time can easily be transformed to a well-known mean reverting continuous time process. Moreover, our alternative model turned out to be a quite powerful and accurate forecasting technique.

A NEW MEANREVERSION MODEL BYFOURIERTERMS: APPLICATIONS IN FINANCE

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