Title: Scaling Properties of Financial Time Series: A Way to Look at Markets Naturally
Publisher: VDM Verlag Dr. M�ller
Publication Date: 2008
Language: English
ISBN 10: 3836487144
ISBN 13: 9783836487146
Binding: Soft cover
Condition: New

About this title

Synopsis

This book first critisizes standard financial theory. The focus will be on return distributions, the efficient market hypothesis and the independence of returns. Part two gives the intuition to look at markets in a different way. Namely the one proposed by Benoit Mandelbrot who has shown that nature itself can often be described with fractals. In the folowing, the relationship between fractal power laws und scaling will be explained. The main part focuses on the estimation of the tail index as a scaling parameter with the help of three different techniques: 1. OLS regression on a log-log plot, 2. Hill estimator and 3. the alpha exponent within the stable distribution. The next section shows a different power law exponent and will be used to test for long-memory effects (i.e. nonperiodical cycles) in return distributions. This exponent is the well known Hurst exponenent and will be compared to Andrew Lo's test statistic. The last section concludes and emphasizes that we are far from return predictabilty and should not try to explain marktet movements with fundamental"causes". However, power laws provide a way to describe financial markets.

About the Author

09/1994-06/1996 Internat, Klosterschule Ro�leben, Abitur 09/1996-07/1998 Ausbildung zum Steuerfachangelten 10/1998-11/1999 Betriebswirtschaftlehre HTWK Leipzig 12/1999-07/2001 BA Economics, London Metropolitan University (Quantitative Finance) 04/2002-11/2007 Dipl.-Kfm., HU Berlin (Steuerlehre, B�rsenwesen, Statistik, Wirtschaftspr�fung)

"About this title" may belong to another edition of this title.

Store Description

Hello! Ria Christie Collections is an online venture that was initially set up in 2012 to sell books. We do not have a physical high street store. We are professional online booksellers. We only sell brand new books in perfect condition that we source from various suppliers and the publishers. Primarily, our aim is to provide an excellent service to all our customers. We always work as a team to achieve this. Our other objectives are to: 1. Ensure that all our products reach their destination quickly in a safe and secure manner 2. Answer to all our customer queries within 24 hours 3. Ensure that our customers are happy with their purchases 4. Provide all the items at a competitive price 5. Always listen to our customers Ria Christie Collections is not a registered company. It is a Sole Trader venture. Other key information is shown below: Contact Person Name: Rakesh Luchmun (Mr) Storefront Name: Ria Christie Collections Place of Establishment Address: Suite B; ARUN House; ARUN Building Arundel Road Uxbridge UB8 2RR United Kingdom E-Mail Address: riachristie@hotmail.co.uk VAT Number: GB 160 5650 25 We always work hard and aim to comply with all of Abebooks Policies. If you have any issues, please do not hesitate to write to us whether before or after a purchase. We promise to reply to you promptly and, in any case, within 24 hours. Thank you kindly! Yours sincerely Mr Rakesh Luchmun (Founder) and the Ria Christie Collections Team

Visit Seller's Storefront

Seller's business information

Ryefield Investments Limited
175 Pield Heath Road, Uxbridge, UB8 3NL, United Kingdom

Sale & Shipping Terms

Terms of Sale

All Returns and Refund are as per Abebooks policies.

Shipping Terms

Orders usually ship within 2 business days. If your book order is heavy or oversized, we may contact you to let you know extra shipping is required. Thank you!

Shipping rates from United Kingdom to U.S.A.

Shipping rates from United Kingdom to U.S.A.
Order quantity	6 to 12 business days	6 to 12 business days
First item	US$ 16.00	US$ 16.00

Delivery times are set by sellers and vary by carrier and location. Orders passing through Customs may face delays and buyers are responsible for any associated duties or fees. Sellers may contact you regarding additional charges to cover any increased costs to ship your items.