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Universitext

Statistics of Financial Markets

An Introduction

Authors: Franke, Jürgen, Härdle, Wolfgang Karl, Hafner, Christian Matthias

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  • Offers an essential introduction to the growing field of statistical applications in finance
  • Addresses option pricing, analysis of financial time series, portfolio selection and risk management, and various financial applications
  • Includes chapters on neural networks and deep learning, and crypto-currencies
  • Using statistical software, readers can “learn by doing” and directly apply the methods 
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eBook $79.99
price for USA in USD (gross)
  • ISBN 978-3-030-13751-9
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $99.99
price for USA in USD
  • ISBN 978-3-030-13750-2
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
About this Textbook

Now in its fifth edition, this book offers a detailed yet concise introduction to the growing field of statistical applications in finance. The reader will learn the basic methods for evaluating option contracts, analyzing financial time series, selecting portfolios and managing risks based on realistic assumptions about market behavior. The focus is both on the fundamentals of mathematical finance and financial time series analysis, and on applications to specific problems concerning financial markets, thus making the book the ideal basis for lectures, seminars and crash courses on the topic. All numerical calculations are transparent and reproducible using quantlets.

For this new edition the book has been updated and extensively revised and now includes several new aspects such as neural networks, deep learning, and crypto-currencies. Both R and Matlab code, together with the data, can be downloaded from the book’s product page and the Quantlet platform.

The Quantlet platform quantlet.de, quantlet.com, quantlet.org is an integrated QuantNet environment consisting of different types of statistics-related documents and program codes. Its goal is to promote reproducibility and offer a platform for sharing validated knowledge native to the social web. QuantNet and the corresponding Data-Driven Documents-based visualization allow readers to reproduce the tables, pictures and calculations inside this Springer book.

This book provides an excellent introduction to the tools from probability and statistics necessary to analyze financial data. Clearly written and accessible, it will be very useful to students and practitioners alike.”

Yacine Ait-Sahalia, Otto Hack 1903 Professor of Finance and Economics, Princeton University

About the authors

Jürgen Franke is a Professor of Applied Mathematical Statistics at Technische Universität Kaiserslautern, Germany, and is affiliated as advisor to the Fraunhofer Institute for Industrial Mathematics, Kaiserslautern. His research focuses on nonlinear time series, nonparametric statistics and machine learning with applications in time series and risk analysis for finance and industry. 

Wolfgang Karl Härdle is a Ladislaus von Bortkiewicz Professor of Statistics at the Humboldt-Universität Berlin, Germany, and director of the IRTG 1792 “High Dimensional Non-stationary Time Series.” He teaches quantitative finance and semi-parametric statistics. His research focuses on dynamic factor models, multivariate statistics in finance, and computational statistics. He is an elected member of the ISI (International Statistical Institute) and advisor to the Guanghua School of Management, Peking University, China.

Christian Matthias Hafner is a Professor of Econometrics at the Université Catholique de Louvain and President of the Louvain School of Statistics, Biostatistics and Actuarial Sciences. His work is mainly concerned with applied non- and semiparametric statistics, time series analysis, volatility models, and financial econometrics.


Table of contents (23 chapters)

Table of contents (23 chapters)

Buy this book

eBook $79.99
price for USA in USD (gross)
  • ISBN 978-3-030-13751-9
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $99.99
price for USA in USD
  • ISBN 978-3-030-13750-2
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Statistics of Financial Markets
Book Subtitle
An Introduction
Authors
Series Title
Universitext
Copyright
2019
Publisher
Springer International Publishing
Copyright Holder
Springer Nature Switzerland AG
eBook ISBN
978-3-030-13751-9
DOI
10.1007/978-3-030-13751-9
Softcover ISBN
978-3-030-13750-2
Series ISSN
0172-5939
Edition Number
5
Number of Pages
XXXVI, 585
Number of Illustrations
49 b/w illustrations, 288 illustrations in colour
Topics