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Book Categories |
List of Contributors | ||
Pt. I | Introduction to Prediction in the Financial Markets | |
1 | Introduction to the Financial Markets | 3 |
2 | Univariate and Multivariate Time Series Predictions | 11 |
3 | Evidence of Predictability in Financial Markets | 23 |
4 | Bond Pricing and the Yield Curve | 35 |
5 | Data Selection | 41 |
Pt. II | Theory of Prediction Modelling | |
6 | General Form of Models of Financial Markets | 49 |
7 | Overfitting Generalisation and Regularisation | 55 |
8 | The Bootstrap, Bagging and Ensembles | 61 |
9 | Linear Models | 69 |
10 | Input Selection | 77 |
Pt. III | Theory of Specific Prediction Models | 87 |
11 | Neural Networks | 87 |
12 | Learning Trading Strategies for Imperfect Markets | 95 |
13 | Dynamical Systems Perspective and Embedding | 109 |
14 | Vector Machines | 117 |
15 | Bayesian Methods and Evidence | 123 |
Pt. IV | Prediction Model Applications | |
16 | Yield Curve Modelling | 133 |
17 | Predicting Bonds Using the Linear Relevance Vector Machine | 145 |
18 | Artificial Neural Networks | 157 |
19 | Adaptive Lag Networks | 167 |
20 | Network Integration | 175 |
21 | Cointegration | 181 |
22 | Joint Optimisation in Statistical Arbitrage Trading | 193 |
23 | Univariate Modelling | 203 |
24 | Combining Models | 211 |
Pt. V | Optimising and Beyond | |
25 | Portfolio Optimisation | 221 |
26 | Multi-Agent Modelling | 247 |
27 | Financial Prediction Modelling: Summary and Future Avenues | 253 |
Further Reading | 259 | |
References | 261 | |
Index | 269 |
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