Mathematical techniques in financial market trading /

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The present book contains much more materials than the author's previous book "The Science of Financial Market Trading". Spectrum analysis is again emphasized for the characterization of technical indicators employed by traders and investors. New indicators are created. Mathematical a...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Mak, Don K.
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Hackensack, N.J. : World Scientific, ©2006.
Temas:
Investments > Mathematics.
Finance > Mathematical models.
Speculation > Mathematical models.
Investissements > Mathématiques.
Finances > Modèles mathématiques.
Spéculation > Modèles mathématiques.
BUSINESS & ECONOMICS > Investments & Securities > General.
Finance > Mathematical models
Investments > Mathematics
Speculation > Mathematical models
Acceso en línea:Texto completo
Tabla de Contenidos:
  • Cover
  • Contents
  • Preface
  • 1. Introduction
  • 2. Scientific Review of the Financial Market
  • 2.1 Econophysics
  • 2.1.1 Log-Normal Distribution of Stock Market Data
  • 2.1.2 Levy Distribution
  • 2.1.3 Tsallis Entropy
  • 2.2 Non-Randomness of the Market
  • 2.2.1 Random Walk Hypothesis and Efficient Market Hypothesis
  • 2.2.2 Variance-Ratio Test
  • 2.2.3 Long-Range Dependence?
  • 2.2.4 Varying Non-Randomness
  • 2.3 Financial Market Crash
  • 2.3.1 Log-Periodicity Phenomenological Model
  • 2.3.2 Omori Law
  • 3. Causal Low Pass Filters
  • 3.1 Ideal Causal Trending Indicator
  • 3.2 Exponential Moving Average
  • 3.3 Butterworth Filters
  • 3.4 Sinc Function n = 213;
  • 3.5 Sinc Function n = 413;
  • 3.6 Adaptive Exponential Moving Average
  • 4. Reduced Lag Filters
  • 4.1 "Zero-lag" EMA (ZEMA)
  • 4.2 Modified EMA (MEMA)
  • 4.2.1 Modified EMA (MEMA) with a Skip 1 Cubic Velocity
  • 4.2.2 Modified EMA (MEMA) with a Skip 2 Cubic Velocity.

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