JSS Research Series in Statistics

Indexation and Causation of Financial Markets

Authors: Tanokura, Yoko, Kitagawa, Genshiro

  • ​Provides a method of analysis for nonstationary non-Gaussian multivariate time series
  • Develops a means of constructing an index for financial time series
  • Explains a practical statistical technique for global investment management
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eBook $39.99
price for USA (gross)
  • ISBN 978-4-431-55276-5
  • Digitally watermarked, DRM-free
  • Included format: EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $54.99
price for USA
  • ISBN 978-4-431-55275-8
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
About this book

​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.

Reviews

“The book develops a new practical method for constructing an index of prices of a financial asset for which the distributions are skewed and heavy-tailed. … The book is valuable and concise reading for professionals in the area of finance and financial econometrics.” (Pavel Stoynov, zbMATH 1338.91009, 2016)


Table of contents (4 chapters)

  • Introduction

    Tanokura, Yoko (et al.)

    Pages 1-11

  • Method for Constructing a Distribution-Free Index

    Tanokura, Yoko (et al.)

    Pages 13-34

  • Power Contribution Analysis of a Multivariate Feedback System

    Tanokura, Yoko (et al.)

    Pages 35-47

  • Application to Financial and Economic Time Series Data

    Tanokura, Yoko (et al.)

    Pages 49-99

Buy this book

eBook $39.99
price for USA (gross)
  • ISBN 978-4-431-55276-5
  • Digitally watermarked, DRM-free
  • Included format: EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $54.99
price for USA
  • ISBN 978-4-431-55275-8
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Indexation and Causation of Financial Markets
Authors
Series Title
JSS Research Series in Statistics
Copyright
2015
Publisher
Springer Japan
Copyright Holder
The Author(s)
eBook ISBN
978-4-431-55276-5
DOI
10.1007/978-4-431-55276-5
Softcover ISBN
978-4-431-55275-8
Series ISSN
2364-0057
Edition Number
1
Number of Pages
X, 103
Number of Illustrations and Tables
17 b/w illustrations, 33 illustrations in colour
Topics