TY - BOOK ID - 646808 TI - Dynamics of markets PY - 2009 SN - 9780521429627 0521429625 9780511805448 9780511651700 0511651708 051160369X 9780511603693 0511805446 1107189012 0511699271 0511604475 051160291X PB - Cambridge Cambridge University Press DB - UniCat KW - Statistical physics KW - statistieken KW - Finance KW - Business mathematics. KW - Markets KW - Statistical physics. KW - Mathematical models. KW - Statistical methods. KW - AA / International- internationaal KW - 305.91 KW - 305.970 KW - 333.605 KW - 331.062 KW - -Finance KW - -Business mathematics KW - -Statistical physics KW - 332.0151 KW - Physics KW - Mathematical statistics KW - Public markets KW - Commerce KW - Fairs KW - Market towns KW - Arithmetic, Commercial KW - Business KW - Business arithmetic KW - Business math KW - Commercial arithmetic KW - Mathematics KW - Funding KW - Funds KW - Economics KW - Currency question KW - Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles. KW - Algemeenheden: Autoregression and moving average representation. ARIMA. ARMAX. Lagrange multiplier. Wald. Function (mis) specification. Autocorrelation. Homoscedasticity. Heteroscedasticity. ARCH. GARCH. Integration and co-integration. Unit roots. KW - Nieuwe financiële instrumenten. KW - Anticyclisch beleid. Rational expectations. KW - Mathematical models KW - Statistical methods KW - Business mathematics KW - Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles KW - Algemeenheden: Autoregression and moving average representation. ARIMA. ARMAX. Lagrange multiplier. Wald. Function (mis) specification. Autocorrelation. Homoscedasticity. Heteroscedasticity. ARCH. GARCH. Integration and co-integration. Unit roots KW - Anticyclisch beleid. Rational expectations KW - Nieuwe financiële instrumenten KW - Marché financier KW - General and Others KW - Marché financier UR - https://www.unicat.be/uniCat?func=search&query=sysid:646808 AB - This second edition presents the advances made in finance market analysis since 2005. The book provides a careful introduction to stochastic methods along with approximate ensembles for a single, historic time series. The new edition explains the history leading up to the biggest economic disaster of the 21st century. Empirical evidence for finance market instability under deregulation is given, together with a history of the explosion of the US Dollar worldwide. A model shows how bounds set by a central bank stabilized FX in the gold standard era, illustrating the effect of regulations. The book presents economic and finance theory thoroughly and critically, including rational expectations, cointegration and arch/garch methods, and replaces several of those misconceptions by empirically based ideas. This book will be of interest to finance theorists, traders, economists, physicists and engineers, and leads the reader to the frontier of research in time series analysis. ER -