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Scaling properties of financial time series - Dario Bovina
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Dario Bovina:

Scaling properties of financial time series - Taschenbuch

2011, ISBN: 384339475X

ID: 10409407240

[EAN: 9783843394758], Neubuch, [PU: LAP Lambert Acad. Publ. Feb 2011], This item is printed on demand - Print on Demand Neuware - 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. 120 pp. Englisch

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Scaling properties of financial time series - Dario Bovina
Vergriffenes Buch, derzeit bei uns nicht verfügbar.
(*)

Dario Bovina:

Scaling properties of financial time series - Taschenbuch

2011, ISBN: 384339475X

ID: 10409407240

[EAN: 9783843394758], Neubuch, [PU: Lap Lambert Acad. Publ. Feb 2011], This item is printed on demand - Print on Demand Titel. - 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. 120 pp. Englisch

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Scaling properties of financial time series - Dario Bovina
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Scaling properties of financial time series - neues Buch

ISBN: 9783843394758

ID: a4c17ee16a45000ba122958a158a9572

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. Bücher / Naturwissenschaften, Medizin, Informatik & Technik / Mathematik / Stochastik & Statistik

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Scaling properties of financial time series - Dario Bovina
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Dario Bovina:
Scaling properties of financial time series - neues Buch

ISBN: 9783843394758

ID: ecb6d78a001b79f3fb17da6a24c88dab

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. Buch / Broschur

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Scaling properties of financial time series - Bovina, Dario
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Bovina, Dario:
Scaling properties of financial time series - Taschenbuch

2011, ISBN: 384339475X

Gebundene Ausgabe, ID: 10310783

Origin of multiscaling and Hurst exponent reliability - Buch, gebundene Ausgabe, 120 S., Beilagen: Paperback, Erschienen: 2011 LAP Lambert Acad. Publ.

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Details zum Buch
Scaling properties of financial time series
Autor:

Bovina, Dario

Titel:

Scaling properties of financial time series

ISBN-Nummer:

384339475X

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.

Detailangaben zum Buch - Scaling properties of financial time series


EAN (ISBN-13): 9783843394758
ISBN (ISBN-10): 384339475X
Gebundene Ausgabe
Taschenbuch
Erscheinungsjahr: 2011
Herausgeber: LAP Lambert Acad. Publ. Feb 2011

Buch in der Datenbank seit 04.10.2008 10:30:59
Buch zuletzt gefunden am 02.11.2016 14:54:46
ISBN/EAN: 384339475X

ISBN - alternative Schreibweisen:
3-8433-9475-X, 978-3-8433-9475-8

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