"Analysis of financial time series, third edition, is an ideal book for introductory courses on time series at the graduate level and a valuable supplement for statistics courses in time series at the upper-undergraduate level." (Mathematical Reviews, 2011)
"Nevertheless, all in all the book can be a very useful reference for students as well as for professionals." (Zentralblatt MATH, 2011)
"Factor models, an important technique used in quantitative finance, are given a full treatment with macroeconomic factor models and fundamental factor models.
The coverage of the book is comprehensive. It starts from basic time series techniques and finishes with advanced concepts such as state space models and MCMC methods. There is a balance between the theoretical background necessary to appreciate the nuances and the practical aspect of implementation. More importantly it gives insights about what time series models can't address. The book has an excellent supporting website which has all the programs and data sets which helps to internalize the concepts. Finally, teaching professionals should find the solutions manual as a valuable tool to explain concepts and to ensure understanding." (BookPleasures.com, January 2011)
"This book provides a broad, mature, and systematic introduction to current financial econometric models and their applications to modeling and prediction of financial time series data. It utilizes real-world examples and real financial data throughout the book to apply the models and methods described." (Insurance News Net, 8 December 2010)
I am a fan of books which bridge the gap in learning for students from standard theory and applications into the world of finance.
And this book is really a must for professionals or investors who really want to employ models in their trading. Books like Hull and other standard texts for options are great at the mathematical theories, but don't really do a great job with modeling, let alone time series.
This book does require more than a basic understanding of statistics. Though the first few chapters do give a nice foundation or review so to speak. The math components of the book are not instructional, so it is not an easy read for someone without the math background.
The goal of this book is to be both instructional on how to build models. The author is instructional on the various theories used in financial modeling. Where the author really hits home is the analysis of how various metrics in the market should be analyzed. For instance, building various pricing models based on seasonal and intraday pricing. This is where the average investor would gain some real insight into the flaws of some of the models they are using on the internet. The average investor should understand the microstructure of the markets and how traders exploit them.
I have alot of books on financial modeling and engineering, and very few I think are suitable for everyone, and this is a must.
The strength of the book is that it explains the concepts very intuitively, without using too many math formula. So the book can be used by practitioners as well as graduate students. There are tons of examples in financial markets which are interesting in themselves.
I purchased the ebook, and overall, I am satisfied. However, there are problems with the equations. Inequality signs do not appear, which will create much confusion for those, not versed in the mathematics of time series. It would be nice if the author/creator of the ebook would do the following:
(1) Look at the result before you proceed to far down the road in your editing. The font size of the equations is too small relative to the text. (2) Make certain the inequality signs show up!!
Having made these statements, I travel and find that ebooks are indispensable references on my iPad2. Even with these problems, I can struggle through and understand the material (at least, so far).
I found the book especially simple as an introduction to the field. But it also goes sufficiently deep and robust for students and readers interested in more detailed treatment. The R, S-Plus and other software demostrations are very useful tools to launch the student into his own use of these tools for specific research.
It's very good to see the demonstration of the examples are all in R or S-plus in this edition. The book is particular using the Rmetrics series packages as the sources of time series analysis, and the website of the book tells you which particular package you need for the topic of the time series and this definitely reduces the time of looking for packages in R for the analysis. As I just got the book, if any further comments, I will post here.
Product Details :
Hardcover: 712 pages
Publisher: Wiley; 3 edition (August 30, 2010)
Language: English
ISBN-10: 0470414359
ISBN-13: 978-0470414354
Product Dimensions: 6.5 x 1.7 x 9.2 inches
More Details about Analysis of Financial Time Series, 3rd edition
or
Download Analysis of Financial Time Series, 3rd edition PDF Ebook
No comments:
Post a Comment