Fractal Market Analysis

Applying Chaos Theory to Investment and Economics

Author: Edgar E. Peters,Edgar R. Peters,Donada Peters

Publisher: John Wiley & Sons

ISBN: 9780471585244

Category: Business & Economics

Page: 315

View: 9843

Now the most respected author on the subject of chaos theory gives traders and investors everywhere what they've been eagerly awaiting - the first applications-oriented book on using chaos as a sophisticated market analysis tool.
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Financial Reforms and Developments in China

Author: Siwei Cheng

Publisher: World Scientific

ISBN: 981457869X

Category: Business & Economics

Page: 616

View: 3192

China has initiated and implemented its economic reforms for over 30 years, however, the comprehensive economic reforms and opening up is still unfolding. The author was a state leader, who has personally engaged in China's economic policy-making process from 1999 to 2008, and is an economist, who has deeply studied and thought over China's financial reform in various aspects. This book summarizes the results of the author's research on China's financial reforms, adopting the fictitious economy theory, in the past 10 years. Financial Reforms and Development in China focuses on the developmental process and main features of the fictitious economy; the essence and the law of the fictitious capital (including credit capital, knowledge capital, social capital, etc.); the relationship between the fictitious economy and the real economy. The book attempts to use the fictitious economy theory to analyze the chaos and self-organization of financial system, financial crisis, inflation and deflation, economic globalization, and knowledge-based economy and society. The book, comprising 12 chapters, covers all the main aspects of China's financial reform and provides readers with a practitioner's reading of China's financial markets, including financial globalization, the financial system and product innovation, financial crisis, financial security, financial regulation, universal banking, capital markets, money market, commercial banks, rural finance, futures markets, foreign exchange markets, financial derivatives, equity markets, insurance and so on. The book is invaluable from the perspectives of its contribution to economic theory, in developing an understanding of the actual workings of China's economic and financial reforms in the past decade, and in forecasting future developments in China's economy and financial markets. It will appeal to academics, undergraduate students, graduate students, professionals, general readers interested in finance, the financial reform and market in China, as well as China's development and the fictitious economy. Contents:Introduction: Finance from the Perspective of Fictitious EconomyFinancial Globalization and China's Financial ReformCauses of Deflation and China's CountermeasuresSystematic Analysis and Proposals for Improvement and Modification of China's Stock MarketStrategic Thinking about the Development of China's Money MarketThe Reform of China's State-Owned Commercial Banks: Objectives and MeasuresSeeking Effective Ways to Develop Chinese Rural FinanceStatus Quo and Prospects of China's Venture Capital IndustryAnalysis and Suggestions on Chinese Housing ReformGlobal Financial Crisis and the Strategy for ChinaThe Reform of RMB Exchange Rate SystemConclusion: Three Directions for China's Financial Reforms Readership: Academics, undergraduate students, graduate students, professionals, general readers interested in China's financial reform, financial market, China's development, fictitions economy. Keywords:China's Financial Reform;Financial System and Product Innovation;Financial Crisis;Financial Security;Financial Regulation;Universal Banking;Capital Markets;Money Market;Commercial Banks;Rural Finance;Futures Markets;Foreign Exchange Markets;Financial Derivatives;Equity Markets;Insurance
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Advances in Time Series Analysis and Forecasting

Selected Contributions from ITISE 2016

Author: Ignacio Rojas,Héctor Pomares,Olga Valenzuela

Publisher: Springer

ISBN: 3319557890

Category: Business & Economics

Page: 414

View: 6368

This volume of selected and peer-reviewed contributions on the latest developments in time series analysis and forecasting updates the reader on topics such as analysis of irregularly sampled time series, multi-scale analysis of univariate and multivariate time series, linear and non-linear time series models, advanced time series forecasting methods, applications in time series analysis and forecasting, advanced methods and online learning in time series and high-dimensional and complex/big data time series. The contributions were originally presented at the International Work-Conference on Time Series, ITISE 2016, held in Granada, Spain, June 27-29, 2016. The series of ITISE conferences provides a forum for scientists, engineers, educators and students to discuss the latest ideas and implementations in the foundations, theory, models and applications in the field of time series analysis and forecasting. It focuses on interdisciplinary and multidisciplinary research encompassing the disciplines of computer science, mathematics, statistics and econometrics.
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Finanzprognosen für die Aktienbörse auf der Basis der Chaostheorie

Author: Adrian Pehl

Publisher: diplom.de

ISBN: 3832431683

Category: Business & Economics

Page: 112

View: 3121

Inhaltsangabe:Problemstellung: Seit geraumer Zeit haben sich bereits Naturwissenschaftler mit der Chaostheorie befasst, deren Ziel es unter anderem ist, Erklärungen für den Wechsel eines Systems von einem stabilen in einen instabilen, unvorhersehbaren Zustand zu finden. Vor allem in dieser Dekade haben sich Kapitalmarkttheoretiker hervorgetan, die die aus der Chaostheorie entstandenen Ergebnisse aufgriffen und auf die Geschehnisse der Börsen übertrugen. Fraglich ist, ob diese Übertragung zulässig ist oder ob hier zwei prinzipiell unterschiedliche Dinge miteinander kombiniert werden. Die Kritik an den oben genannten Gleichgewichtsmodellen lautet unter anderem, dass sie anscheinend nur in weniger „turbulenten“ Börsenzeiten zu funktionieren scheinen, also gerade dann, wenn die Vermutung eines Gleichgewichts an den Märkten besonders nahe liegt. Was passiert also, wenn die Märkte sich nicht im „Ruhezustand“ oder nahe daran befinden, bzw. wenn die Aktienpreise nicht dem „Fair Value“ entsprechen, sondern weit davon entfernt sind? Betrachtet werden dabei nicht nur die oben genannten Crashs und die daraus möglicherweise resultierenden Unterbewertungen einzelner Aktien, sondern auch mögliche Übertreibungen oder Überbewertungen. Sind chaostheoretische Erkenntnisse nun in der Lage, diese bislang als „Anomalien“ bezeichneten Phänomene zu beschreiben und zu erklären? Welche Methoden wendet die Chaostheorie dazu an? Welche Bedeutung haben chaostheoretische Erkenntnisse für die Praxis? Können diese zweckmäßige Dienste für die Prognosen von Aktienkursen leisten? Welcher Zeitbegriff ist für die Finanzprognose wesentlich? Diese Fragen sollten als Ausgangsbasis für den Fortgang dieser Arbeit dienen. Dabei erhebt diese Ausarbeitung, stets unter Berücksichtigung des Umfanges wie auch der Literaturbasis, keinen Anspruch auf Vollständigkeit, möchte jedoch auf die Beantwortung zumindest ansatzweise hinarbeiten. Inhaltsverzeichnis:Inhaltsverzeichnis: Abbildungsverzeichnis Tabellenverzeichnis Abkürzungsverzeichnis Symbolverzeichnis 1.Zur Problemstellung1 2.Zum Gang der Untersuchung3 3.Zur Begriffsbestimmung5 3.1Finanzprognose im Sinne der Thematik5 3.2Chaos im Sinne der Chaostheorie6 3.2.1Chaotische Eigenschaften in iterierten Funktionssystemen8 3.2.2Fraktale Eigenschaften in iterierten Funktionssystemen13 4.Übertragbarkeit der Chaostheorie auf die Aktienbörse19 4.1Hinterfragung der Modernen Portfoliotheorie19 4.1.1Hinsichtlich der [...]
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Multifractal Detrended Analysis Method and Its Application in Financial Markets

Author: Guangxi Cao,Ling-Yun He,Jie Cao

Publisher: Springer

ISBN: 9811079161

Category: Business & Economics

Page: 255

View: 1352

This book collects high-quality papers on the latest fundamental advances in the state of Econophysics and Management Science, providing insights that address problems concerning the international economy, social development and economic security. This book applies the multi-fractal detrended class method, and improves the method with different filters. The authors apply those methods to a variety of areas: financial markets, energy markets, gold market and so on. This book is arguably a systematic research and summary of various kinds of multi-fractal detrended methods. Furthermore, it puts forward some investment suggestions on a healthy development of financial markets.
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China's Reality and Global Vision

Management Research and Development in China

Author: Siwei Cheng

Publisher: World Scientific

ISBN: 9814287911

Category: Electronic books

Page: 358

View: 4180

This unique book presents the contemporary achievements in management research and managerial practice of Chinese enterprises. Featuring a collection of keynote and plenary speeches by well-known international scholars and CEOs of multinational and national corporations, this book puts forth their solutions to management challenges from both China''s reality and global concerns. Comprehensively discussed and examined, the various topics being broached are strategic management; organizational behaviors; accounting and finance; management science; information and technology management; as well as innovations. This book not only highlights the cutting-edge findings of management research in China but is also a reflection of the changes of management theory and applications in the face of China''s economic reform and open-door policy; hence making it a useful resource for readers interested in China''s management and economic development.
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Chaos and Order in the Capital Markets

A New View of Cycles, Prices, and Market Volatility

Author: Edgar E. Peters

Publisher: John Wiley & Sons

ISBN: 9780471139386

Category: Business & Economics

Page: 274

View: 6656

The latest developments in chaos theory – from an industry expert Chaos and Order in the Capital Markets was the first book to introduce and popularize chaos as it applies to finance. It has since become the classic source on the topic. This new edition is completely updated to include the latest ripples in chaos theory with new chapters that tie in today′s hot innovations, such as fuzzy logic, neural nets, and artificial intelligence. Critical praise for Peters and the first edition of Chaos and Order in the Capital Markets "The bible of market chaologists." – BusinessWeek "Ed Peters has written a first–class summary suitable for any investment professional or skilled investor." – Technical Analysis of Stocks & Commodities "It ranks among the most provocative financial books of the past few years. Reading this book will provide a generous payback for the time and mental energy expended." – Financial Analysts Journal This second edition of Chaos and Order in the Capital Markets brings the topic completely up to date with timely examples from today′s markets and descriptions of the latest wave of technology, including genetic algorithms, wavelets, and complexity theory. Chaos and Order in the Capital Markets was the very first book to explore and popularize chaos theory as it applies to finance. It has since become the industry standard, and is regarded as the definitive source to which analysts, investors, and traders turn for a comprehensive overview of chaos theory. Now, this invaluable reference – touted by BusinessWeek as "the bible of market chaologists" – has been updated and revised to bring you the latest developments in the field. Mainstream capital market theory is based on efficient market assumptions, even though the markets themselves exhibit characteristics that are symptomatic of nonlinear dynamic systems. As it explores – and validates – this nonlinear nature, Chaos and Order repudiates the "random walk" theory and econometrics. It shifts the focus away from the concept of efficient markets toward a more general view of the forces underlying the capital market system. Presenting new analytical techniques, as well as reexamining methods that have been in use for the past forty years, Chaos and Order offers a thorough examination of chaos theory and fractals as applied to investments and economics. This new edition includes timely examples from today′s markets and descriptions of cutting–edge technologies–genetic algorithms, wavelets, complexity theory–and hot innovations, such as fuzzy logic and artificial intelligence. Beyond the history of current capital market theory, Chaos and Order covers the crucial characteristics of fractals, the analysis of fractal time series through rescaled range analysis (R/S), the specifics of fractal statistics, and the definition and analysis of chaotic systems. It offers an in–depth exploration of: ∗ Random walks and efficient markets – the development of the efficient market hypothesis (EMH) and modern portfolio theory ∗ The linear paradigm – why it has failed ∗ Nonlinear dynamic systems – phase space, the Henon Map, Lyapunov exponents ∗ Applying chaos and nonlinear methods – neural networks, genetic algorithms ∗ Dynamical analysis of time series – reconstructing a phase space, the fractal dimension Tonis Vaga′s Coherent Market Hypothesis – the theory of social imitation, control parameters, Vaga′s implementations Plus, Chaos and Order now contains a Windows–compatible disk including data sets for running analyses described in the appendices. Written by a leading expert in the field, Chaos and Order in the Capital Markets has all the information you need for a complete, up–to–date look at chaos theory. This latest edition will undoubtedly prove to be as invaluable as the first.
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Financial Market Risk

Measurement and Analysis

Author: Cornelis Los

Publisher: Routledge

ISBN: 1134469314

Category: Business & Economics

Page: 496

View: 9277

This new book uses advanced signal processing technology to measure and analyze risk phenomena of the financial markets. It explains how to scientifically measure, analyze and manage non-stationarity and long-term time dependence (long memory) of financial market returns. It studies, in particular, financial crises in persistent financial markets, such as stock, bond and real estate market, and turbulence in antipersistent financial markets, such as anchor currency markets. It uses Windowed Fourier and Wavelet Multiresolution Analysis to measure the degrees of persistence of these complex markets, by computing monofractal Hurst exponents and multifractal singularity spectra. It explains how and why financial crises and financial turbulence may occur in the various markets and why we may have to reconsider the current wave of term structure modeling based on affine models. It also uses these persistence measurements to improve the financial risk management of global investment funds, via numerical simulations of the nonlinear diffusion equations describing the underlying high frequency dynamic pricing processes.
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The Vega Factor

Oil Volatility and the Next Global Crisis

Author: Kent Moors

Publisher: John Wiley & Sons

ISBN: 1118077091

Category: Business & Economics

Page: 448

View: 3153

How oil volatility is affecting the global political scene, and where the oil market is heading The world is rapidly moving towards an oil environment defined by volatility. The Vega Factor: Oil Volatility and the Next Global Crisis takes an in-depth look at the most important topics in the industry, including strategic risk, why traditional pricing mechanisms will no longer govern the market, and how the current government approaches have only worsened an already bad situation. Details the industry's players, including companies, traders, and governments Describes the priorities that will need to be revised, and the policies needed to achieve stability Explains how today's oil market is fundamentally different from the pre-crisis market Oil prices affect everyone. The Vega Factor explains the new international oil environment of increasing consolidation and decreasing competition, and reveals how consumers and investors can navigate price volatility and new government policies.
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The Volatility Machine

Emerging Economics and the Threat of Financial Collapse

Author: Michael Pettis

Publisher: Oxford University Press

ISBN: 9780195349481

Category: Business & Economics

Page: 272

View: 2425

This book presents a radically different argument for what has caused, and likely will continue to cause, the collapse of emerging market economies. Pettis combines the insights of economic history, economic theory, and finance theory into a comprehensive model for understanding sovereign liability management and the causes of financial crises. He examines recent financial crises in emerging market countries along with the history of international lending since the 1820s to argue that the process of international lending is driven primarily by external events and not by local politics and/or economic policies. He draws out the corporate finance implications of this approach to argue that most of the current analyses of the recent financial crises suffered by Latin America, Asia, and Russia have largely missed the point. He then develops a sovereign finance model, analogous to corporate finance, to understand the capital structure needs of emerging market countries. Using this model, he finally puts into perspective the recent crises, a new sovereign liability management theory, the implications of the model for sovereign debt restructurings, and the new financial architecture. Bridging the gap between finance specialists and traders, on the one hand, and economists and policy-makers on the other, The Volatility Machine is critical reading for anyone interested in where the international economy is going over the next several years.
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Historical Social Research

Author: N.A

Publisher: N.A

ISBN: N.A

Category: Social history

Page: N.A

View: 2300

International journal for the application of formal methods to history.
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More Than You Know

Finding Financial Wisdom in Unconventional Places (Updated and Expanded)

Author: Michael J. Mauboussin

Publisher: Columbia University Press

ISBN: 023151347X

Category: Business & Economics

Page: 320

View: 2492

Since its first publication, Michael J. Mauboussin's popular guide to wise investing has been translated into eight languages and has been named best business book by BusinessWeek and best economics book by Strategy+Business. Now updated to reflect current research and expanded to include new chapters on investment philosophy, psychology, and strategy and science as they pertain to money management, this volume is more than ever the best chance to know more than the average investor. Offering invaluable tools to better understand the concepts of choice and risk, More Than You Know is a unique blend of practical advice and sound theory, sampling from a wide variety of sources and disciplines. Mauboussin builds on the ideas of visionaries, including Warren Buffett and E. O. Wilson, but also finds wisdom in a broad and deep range of fields, such as casino gambling, horse racing, psychology, and evolutionary biology. He analyzes the strategies of poker experts David Sklansky and Puggy Pearson and pinpoints parallels between mate selection in guppies and stock market booms. For this edition, Mauboussin includes fresh thoughts on human cognition, management assessment, game theory, the role of intuition, and the mechanisms driving the market's mood swings, and explains what these topics tell us about smart investing. More Than You Know is written with the professional investor in mind but extends far beyond the world of economics and finance. Mauboussin groups his essays into four parts-Investment Philosophy, Psychology of Investing, Innovation and Competitive Strategy, and Science and Complexity Theory-and he includes substantial references for further reading. A true eye-opener, More Than You Know shows how a multidisciplinary approach that pays close attention to process and the psychology of decision making offers the best chance for long-term financial results.
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Nonlinear Pricing

Theory and Applications

Author: Christopher T. May

Publisher: John Wiley & Sons

ISBN: 9780471245513

Category: Business & Economics

Page: 361

View: 8646

Presenting a practical methodology for trading the markets using non-linear pricing, this book demonstrates that stock prices are partially predictable if nonlinearity is employed. The text shows how to make use of chaos theory within the trading markets.
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Fractal graphics for Windows

Author: Dick Oliver,Daniel Hoviss

Publisher: Prentice Hall

ISBN: 9780672303470

Category: Computers

Page: 555

View: 361

A book for beginning Windows programmers who want to have fun learning the ropes, and for Windows experts who want to unlock the promise of fractals. The book includes a 16-page color insert of dazzling windows fractals color plates, plus 3D glasses. The disk includes over 200 full-color, modifiable example fractals and bonus programs with working C source code.
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Complexity, Risk, and Financial Markets

Author: Edgar E. Peters

Publisher: John Wiley & Sons

ISBN: 0471437093

Category: Business & Economics

Page: 240

View: 1885

A groundbreaking look at complexity theory and its implications in the world of finance Complexity theory tells us that processes with a large number of seemingly independent agents-such as free markets-can spontaneously organize themselves into a coherent system. In this fascinating book, Edgar Peters brings together scientific theory, the artistic process, and economics to show how the randomness and uncertainty of complexity theory can be applied to financial markets. Written in an engaging and accessible style, this is a thoughtful, conceptual look at the way free markets are, by their nature, continually evolving complex systems. Expanding on previous explorations of chaos theory, Peters draws on real-life examples ranging from the Asian crisis to America's love of conspiracy to show that complexity and randomness are necessary for the free markets to operate in a competitive manner.
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Risk

Author: N.A

Publisher: N.A

ISBN: N.A

Category: Risk management

Page: N.A

View: 9965

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Econophysics Approaches to Large-Scale Business Data and Financial Crisis

Proceedings of Tokyo Tech-Hitotsubashi Interdisciplinary Conference + APFA7

Author: Misako Tokyo Institute of Technology,Tsutomu Watanabe,Hideki Takayasu

Publisher: Springer Science & Business Media

ISBN: 9784431538530

Category: Science

Page: 315

View: 7800

In recent years, as part of the increasing “informationization” of industry and the economy, enterprises have been accumulating vast amounts of detailed data such as high-frequency transaction data in nancial markets and point-of-sale information onindividualitems in theretail sector. Similarly,vast amountsof data arenow ava- able on business networks based on inter rm transactions and shareholdings. In the past, these types of information were studied only by economists and management scholars. More recently, however, researchers from other elds, such as physics, mathematics, and information sciences, have become interested in this kind of data and, based on novel empirical approaches to searching for regularities and “laws” akin to those in the natural sciences, have produced intriguing results. This book is the proceedings of the international conference THICCAPFA7 that was titled “New Approaches to the Analysis of Large-Scale Business and E- nomic Data,” held in Tokyo, March 1–5, 2009. The letters THIC denote the Tokyo Tech (Tokyo Institute of Technology)–Hitotsubashi Interdisciplinary Conference. The conference series, titled APFA (Applications of Physics in Financial Analysis), focuses on the analysis of large-scale economic data. It has traditionally brought physicists and economists together to exchange viewpoints and experience (APFA1 in Dublin 1999, APFA2 in Liege ` 2000, APFA3 in London 2001, APFA4 in Warsaw 2003, APFA5 in Torino 2006, and APFA6 in Lisbon 2007). The aim of the conf- ence is to establish fundamental analytical techniques and data collection methods, taking into account the results from a variety of academic disciplines.
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