Indexation and causation of financial markets. Nonstationary time series analysis method (Q269796): Difference between revisions
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Latest revision as of 20:10, 19 March 2024
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English | Indexation and causation of financial markets. Nonstationary time series analysis method |
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Indexation and causation of financial markets. Nonstationary time series analysis method (English)
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6 April 2016
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One means to express overall perspective of a financial market is to construct an index as a proxy measure. The book develops a new practical method for constructing an index of prices of a financial asset for which the distributions are skewed and heavy-tailed. The main tool used for this purpose is non-stationary non-Gaussian multivariate time series analysis.\newline The book consists of two parts. In the first part (Chapters 2 and 3), theoretical background of the method is introduced. In the second part (Chapter 4), the application of the method is presented. In Chapter 2 (``Methods for constructing a distribution-free index''), a brief review of non-stationary time series modeling is presented and a distribution-free index is defined by taking the inverse Box-Cox transformation of the optimal long-term trend, which is estimated by fitting a trend model with time-varying observation noises to the Box-Cox transformed observations. In Chapter 3 (``Power contribution analysis of a multivariate feedback system''), the generalized power contribution is reviewed as a tool for detecting causations between financial markets. The tool reveals the frequency-wise effect of multidimensional noise sources on the power of the fluctuation of each variable in a multivariate feedback system. Chapter 4 (``Application to financial and economic time series data''), presents the applications of the method for constructing a distribution-free index. The causations are investigated through power contribution analysis and usability of the index is examined.\newline The book is valuable and concise reading for professionals in the area of finance and financial econometrics.
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heavy-tailed distributions
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Box-Cox transformation
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trend model with time-varying observation noises
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power contribution
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distribution-free index
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