Indexation and Causation of Financial Markets

Business & Finance, Economics, Statistics, Nonfiction, Science & Nature, Mathematics
Cover of the book Indexation and Causation of Financial Markets by Yoko Tanokura, Genshiro Kitagawa, Springer Japan
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
Author: Yoko Tanokura, Genshiro Kitagawa ISBN: 9784431552765
Publisher: Springer Japan Publication: January 7, 2016
Imprint: Springer Language: English
Author: Yoko Tanokura, Genshiro Kitagawa
ISBN: 9784431552765
Publisher: Springer Japan
Publication: January 7, 2016
Imprint: Springer
Language: English

​This book presents a new statistical method of constructing a price index of a financial asset where the price distributions are skewed and heavy-tailed and investigates the effectiveness of the method. In order to fully reflect the movements of prices or returns on a financial asset, the index should reflect their distributions. However, they are often heavy-tailed and possibly skewed, and identifying them directly is not easy. This book first develops an index construction method depending on the price distributions, by using nonstationary time series analysis. Firstly, the long-term trend of the distributions of the optimal Box–Cox transformed prices is estimated by fitting a trend model with time-varying observation noises. By applying state space modeling, the estimation is performed and missing observations are automatically interpolated. Finally, the index is defined by taking the inverse Box–Cox transformation of the optimal long-term trend. This book applies the method to various financial data. For example, applying it to the sovereign credit default swap market where the number of observations varies over time due to the immaturity, the spillover effects of the financial crisis are detected by using the power contribution analysis measuring the information flows between indices. The investigations show that applying this method to the markets with insufficient information such as fast-growing or immature markets can be effective.

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

​This book presents a new statistical method of constructing a price index of a financial asset where the price distributions are skewed and heavy-tailed and investigates the effectiveness of the method. In order to fully reflect the movements of prices or returns on a financial asset, the index should reflect their distributions. However, they are often heavy-tailed and possibly skewed, and identifying them directly is not easy. This book first develops an index construction method depending on the price distributions, by using nonstationary time series analysis. Firstly, the long-term trend of the distributions of the optimal Box–Cox transformed prices is estimated by fitting a trend model with time-varying observation noises. By applying state space modeling, the estimation is performed and missing observations are automatically interpolated. Finally, the index is defined by taking the inverse Box–Cox transformation of the optimal long-term trend. This book applies the method to various financial data. For example, applying it to the sovereign credit default swap market where the number of observations varies over time due to the immaturity, the spillover effects of the financial crisis are detected by using the power contribution analysis measuring the information flows between indices. The investigations show that applying this method to the markets with insufficient information such as fast-growing or immature markets can be effective.

More books from Springer Japan

Cover of the book Harmonic Analysis on Exponential Solvable Lie Groups by Yoko Tanokura, Genshiro Kitagawa
Cover of the book Applications to Marine Disaster Prevention by Yoko Tanokura, Genshiro Kitagawa
Cover of the book C-Type Lectin Receptors in Immunity by Yoko Tanokura, Genshiro Kitagawa
Cover of the book Integrative Observations and Assessments by Yoko Tanokura, Genshiro Kitagawa
Cover of the book Smart Modeling and Simulation for Complex Systems by Yoko Tanokura, Genshiro Kitagawa
Cover of the book A Shrinking Society by Yoko Tanokura, Genshiro Kitagawa
Cover of the book Translational Research in Muscular Dystrophy by Yoko Tanokura, Genshiro Kitagawa
Cover of the book Abiotic Stress Biology in Horticultural Plants by Yoko Tanokura, Genshiro Kitagawa
Cover of the book Systemic Sclerosis by Yoko Tanokura, Genshiro Kitagawa
Cover of the book Sports Management and Sports Humanities by Yoko Tanokura, Genshiro Kitagawa
Cover of the book Symmetry and Economic Invariance by Yoko Tanokura, Genshiro Kitagawa
Cover of the book IgG4-Related Disease by Yoko Tanokura, Genshiro Kitagawa
Cover of the book Hidden Order and Exotic Superconductivity in the Heavy-Fermion Compound URu2Si2 by Yoko Tanokura, Genshiro Kitagawa
Cover of the book Neurochemical Monitoring in the Intensive Care Unit by Yoko Tanokura, Genshiro Kitagawa
Cover of the book The Biodiversity Observation Network in the Asia-Pacific Region by Yoko Tanokura, Genshiro Kitagawa
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy