Modelling and Forecasting Financial Data: Techniques of Nonlinear Dynamics

List of Figures. List of Tables. Preface. Contributing Authors. Introduction; A.S. Soofi, Liangyue Cao. Part I: Embedding Theory: Time-Delay Phase Space Reconstruction and Detection of Nonlinear Dynamics. 1. Embedding Theory: Introduction and Applications to Time Series Analysis; F. Strozzi, J.M. Zaldivar. 2. Determining Minimum Embedding Dimension; Liangyue Cao. 3. Mutual Infomation and Relevant Variables for Predictions; B. Pompe. Part. II: Methods of Nonlinear Modelling and Forecasting. 4. State Space Local Linear Prediction; D. Kugiumtzis. 5. Local Polynomial Prediction and Volatility Estimation in Financial Time Series; Zhan-Qian Lu. 6. Kalman Filtering of Time Series Data; D.M. Walker. 7. Radial Basis Functions Networks; A. Braga, et al. 8. Nonlinear Prediction of Time Series Using Wavelet Network Method; Liangyue Cao. Part III: Modelling and Predicting Multivariate and Input-Output Time Series. 9. Nonlinear Modelling and Prediction of Multivariate Financial Time Series; Liangyue Cao. 10. Analysis of Economic Time Series Using NARMAX Polynomial Models; L.A. Aquirre, A. Aguirre. 11. Modeling dynamical systems by Error Correction Neural Networks; H.-G. Zimmermann, et al. Part IV: Problems in Modelling and Prediction. 12. Surrogate Data Test on Time Series; D. Kugiumtzis. 13. Validation of Selected Global Models; C. Letellier. 14. Testing Stationarity in Time Series; A. Witt, J. Kurths. 15. Analysis of Economic Delayed-Feedbak Dynamics; H.U. Voss, J. Kurths. 16. Global Modeling and Differential Embedding; J. Maquet, et al. 17. Estimation of Rules Underlying Fluctuating Data; S. Siegert, et al. 18. Nonlinear Noise Reduction; R. Hegger, et al. 19. Optimal Model Size; Jianming Ye. 20. Influence of Measured Time Series in the Reconstruction of Nonlinear Multivariable Dynamics; C. Letellier, L.A. Aguirre. Part. V: Applications in Economics and Finance. 21. Nonlinear Forecasting of Noisy Financial Data; A.S. Soofi, L. Cao. 22. Canonical Variate Analysis and its Applications to Financial Data; B. Pilgram, et al. Index.