Modelling and Forecasting Financial Data: Techniques of Nonlinear Dynamics

Front Matter....Pages i-xxviii
Introduction....Pages 1-8
Front Matter....Pages 9-9
Embedding Theory: Introduction and Applications to Time Series Analysis....Pages 11-42
Determining Minimum Embedding Dimension from Scalar Time Series....Pages 43-60
Mutual Information and Relevant Variables for Predictions....Pages 61-92
Front Matter....Pages 93-93
State Space Local Linear Prediction....Pages 95-113
Local Polynomial Prediction and Volatility Estimation in Financial Time Series....Pages 115-135
Kalman Filtering of Time Series Data....Pages 137-157
Radial Basis Functions Networks....Pages 159-178
Nonlinear Prediction of Time Series Using Wavelet Network Method....Pages 179-195
Front Matter....Pages 197-197
Nonlinear Modelling and Prediction of Multivariate Financial Time Series....Pages 199-211
Analysis of Economic Time Series Using Narmax Polynomial Models....Pages 213-235
Modeling Dynamical Systems by Error Correction Neural Networks....Pages 237-263
Front Matter....Pages 265-265
Surrogate Data Test on Time Series....Pages 267-282
Validation of Selected Global Models....Pages 283-302
Testing Stationarity in Time Series....Pages 303-325
Analysis of Economic Delayed-Feedback Dynamics....Pages 327-349
Global Modeling and Differential Embedding....Pages 351-374
Estimation of Deterministic and Stochastic Rules Underlying Fluctuating Data....Pages 375-399
Nonlinear Noise Reduction....Pages 401-416
Optimal Model Size....Pages 417-428
Front Matter....Pages 265-265
Influence of Measured Time Series in the Reconstruction of Nonlinear Multivariable Dynamics....Pages 429-451
Front Matter....Pages 453-453
Nonlinear Forecasting of Noisy Financial Data....Pages 455-465
Canonical Variate Analysis and Its Applications to Financial Data....Pages 467-481
Back Matter....Pages 483-488