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Scaling properties of financial time series

 

Marketed By :  LAP LAMBERT Academic Publishing   Sold By :  Kamal Books International  
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Rs. 3,651

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  • Product Description
 

The book is devoted to the scaling properties of financial time series. In particular, the book deals carefully with the empirical determination of the Hurst exponent. The main statistical features of the financial indexes are presented, along with a brief overview of the main concepts in probability theory and fractal geometry. Then the role of extreme events and correlations in affecting the behaviour of the Hurst exponent is explained through the analysis of exactly solvable self-similar random walks. Finally the reliability of the multiscaling observed in finance is investigated both from a theoretical and an empirical viewpoint. Since the main result holds under quite general assumptions, the conclusions can be generalized to time series coming from other fields of the complex system physics, like hydrology and geophysics. The book, avoiding excessive formalism, is intended for a wide range of readers.

Product Specifications
SKU :COC93795
AuthorDario Bovina
LanguageEnglish
BindingPaperback
Number of Pages120
Publishing Year2011-02-09T00:00:00.000
ISBN978-3843394758
Edition1 st
Book TypeStochastics
Country of ManufactureIndia
Product BrandLAP LAMBERT Academic Publishing
Product Packaging InfoBox
In The Box1 Piece
Product First Available On ClickOnCare.com2015-08-14 00:00:00