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.