» » Nonlinear Pricing: Theory and Applications

Nonlinear Pricing: Theory and Applications download epub

by Christopher T. May


Epub Book: 1767 kb. | Fb2 Book: 1262 kb.

Nonlinear Pricing sheds much needed light on the principles behind this innovative view of reality and provides clear . Christopher T. May is the author of Nonlinear Pricing: Theory and Applications, published by Wiley. Библиографические данные.

Nonlinear Pricing sheds much needed light on the principles behind this innovative view of reality and provides clear explanations of how it is employed to predict-at least partially-the unpredictable. Beginning with an incisive introduction to the topic, May presents the roots of nonlinearity through the examples of calendrics, geometry, and music. Nonlinear Pricing: Theory and Applications Wiley Trading (Том 65).

Nonlinear Pricing: Theory & Application by Christopher T. May makes nice reading even for people like me who are not economists. This is an ambitious book as it presents economics starting from fundamental physics. It deserves a large readership. Ilya Prigogine, 1977 Nobel Laureate, Chemistry; author, The End of Certainty; and the world′s foremost non–equilibrium scientist.

Nonlinear Pricing book. Start by marking Nonlinear Pricing: Theory & Applications as Want to Read: Want to Read savin. ant to Read.

In this groundbreaking new book, leading hedge fund manager Christopher T. May explores the nature . May explores the nature and role of nonlinearity, an inherent part of everyday reality, and illustrates a profit–making strategy. One of the many striking applications of nonlinear technology in recent years, nonlinear pricing uses cutting–edge technology to identify and exploit patterns hidden within the seemingly helter–skelter rise and fall of daily stock prices

Price Theory and Applications. Book · January 2005 with 934 Reads

Price Theory and Applications. Book · January 2005 with 934 Reads. How we measure 'reads'.

Nonlinear Pricing : Theory and Applications. One of the many striking applications of nonlinear technology in recent years, nonlinear pricing uses cutting-edge technology to identify and exploit patterns hidden within the seemingly helter-skelter rise and fall of daily stock prices. Nonlinear Pricing sheds much needed light on the principles behind this innovative view of reality and provides clear explanations of how it is employed to predict-at least partially-the unpredictable.

May, Christopher . 1961-. Varying Form of Title: Non-linear pricing.

This book focuses on theory and methods, with applications in mind. It is quite theory-heavy, with many rigorously established theoretical results

This book focuses on theory and methods, with applications in mind. It is quite theory-heavy, with many rigorously established theoretical results. It is also very timely and covers many recent developments in nonlinear time series analysi. eaders can get a very up-to-date view of the current developments in nonlinear time series analysis from this book. Journal of the American Statistical Association, December 2014. he book will definitely help readers who are very mathematically inclined and keen on rigour and interested in further pursuing the probabilistic aspects.

Annals of mathematical sciences and applications.

Po mathematics, interdisciplinary applications. Other journals in category. Annals of mathematical sciences and applications.

Электронная книга "Nonlinear Optimization with Engineering Applications", Michael Bartholomew-Biggs. Эту книгу можно прочитать в Google Play Книгах на компьютере, а также на устройствах Android и iOS. Выделяйте текст, добавляйте закладки и делайте заметки, скачав книгу "Nonlinear Optimization with Engineering Applications" для чтения в офлайн-режиме.

One of the many striking applications of nonlinear technology inrecent years, nonlinear pricing uses cutting-edge technology toidentify and exploit patterns hidden within the seeminglyhelter-skelter rise and fall of daily stock prices. NonlinearPricing sheds much needed light on the principles behind thisinnovative view of reality and provides clear explanations of howit is employed to predict-at least partially-theunpredictable.Beginning with an incisive introduction to the topic, May presentsthe roots of nonlinearity through the examples of calendrics,geometry, and music. He then illustrated the application andintegration of various nonlinear technologies, including geneticalgorithms, fuzzy logic, fractal imaging, and nonlinear dynamics,to such essentials as trading strategies, asset allocation, riskmanagement, and derivative pricing and hedging. Along withpractical methodologies and a wealth of real-world examples, thiscomprehensive resource contains a glossary of terms, a bibliographyand in-depth information on:* Fractal analysis-power law distributions, fractional Brownianmotion, and their relationships* The Hurst Exponent-the KAOS screen and its practicalimplementation* Resonance-time domain versus frequency domain, Brownian motion,and the Gaussian distribution* Advanced concepts-Soros's Reflexivity, non-equilibrium economics,kernel of theoretical nonlinear pricing, May's Law, resolution andresonanceWritten by one of the few practitioners using this breakthroughmethodology to trade the markets successfully, Nonlinear Pricingfills an important niche in investment literature. It is a mustread for anyone seeking to understand-and capitalizeon-twenty-first century financial economics.CHRISTOPHER MAY (New York, NY) runs TLB Partners, LP, an onshorehedge fund and May Nonlinear US Equity Fund, an offshore fund.

Comments: (7)

Zovaithug
I found this book to be an interesting read but was ultimately left disappointed because the book does not provide much useful information about implementing non-linear pricing models, particularly for use pricing securities, options, or derivatives. The author is absolutely on the mark in his discussions of the flaws underlying the majority of financial economics theory. He also clearly has applied these approaches because the book includes numerous insightful comments and observations. I recognize that nonlinear math can be very difficult and that many valuable insights can be obtained without a detailed understanding of the math. However, the author could (and should) have provided greater coverage of the math. I would have liked to have seen coverage of the math necessary to implement fractal brownian motion into simulations or pricing models.
Dusho
This is a fascinating book, written by a financial markets practitioner who has come to terms with the fact that most of the ways in which he has been taught to look at investment choices don't work properly.
So if you are interested in investment strategies and what can go wrong with them and why they go wrong, then this is a starting point for an investigation.
May first explains why he thinks that market analysts have got it wrong. He describes how the tools available and the ways of thinking that are used are all linear - and this is not how the world works. The analogy he uses is with the shift from Newton to Einstein. We used to believe the world was like clockwork, and relationships were stable. But Einstein showed that this is only true in some cases - the theory of relativity gives far more possible outcomes of any situation.
He goes on to look at theories of evolution and new ways of approaching the mathematics of change - complex systems and dynamics. With this as background, May turns to the financial markets themselves and how to go beyond linear systems in practice. Here his frustration with the system comes over loud and clear. He can show how the standard models fail - and does so in the book. But standard analysis dies hard and his sense of loneliness in the effort to move on is patent.
He develops and explains one particular non-linear tool of analysis in detail. It is a way of identifying the elements in the movements in a stock price which take it outside the classical analysis and measures the extent to which there are long run movements which depend on previous movements. It is the Hurst exponent, named after someone who noticed this phenomenon in records of the Nile's floods. May has convinced Bloomberg to put this measure up on their system.
But he also explains that this is only one possible way of getting at non-linearity in financial systems. He believes that there is still a long way to go in getting at the heart of understanding stock price movements. Even so, this is a step in the right direction and gives a good feel for the way that financial economics needs to go to improve its performance.
I particularly liked the mix between the hard stuff (and some may be hard to those without any background in the math) and the nitty gritty from someone with the hands on experience in the markets. If you want to know what it feels like to be developing new stuff in a sceptical world and at the same time, improve your knowledge on the investment front - read this book.
Other books that would also flesh out the issues here, both for financial markets and in economics are by Ed Peters and by Paul Ormerod.
Nanecele
If you're looking for a good primer in fractal economics, do not waste your money, or worse, time with this book. You can get more information and less noise from E. Peters's "Chaos and Order in the Capital Markets". The most useful information you'll get from this book is a description of the Hurst exponent; the rest is, well...
I don't mind random musings with an articulate friend after dinner, but please don't do it in a pedagogical-sounding, inflated tome. Let the quotes describe themselves:
"... this chapter will present a challenge because it exists at a rarified level of understanding."
"I maintain, as any good scientist does, that the theory must fit the facts".
"The mathematics in this chapter may be complex to the financial economics professional" (I found the series summation as the most complex math in that chapter.)
Errors and carelessness are so prevalent, this book really brings down my opinion of the JW editors. Concepts of dependent and independent variables are mixed up, atrocious-looking graphs of normal and Levy distributions are shown, notations like "m2" are printed instead of "m(superscript)2" to mean m-squared, etc.
Most of the time is spent waxing philosophical connections among shallowly described concepts like Fourier transform, superstrings, the scriptures, Brownian motion, Socratic logic, etc. To be fair, if this sort of shooting-the-breeze provides a relaxing read for you, this book might fit the bill.
The author breathlessly describes "original concepts" like fixing risk for varying returns in security portfolios: this is already done with instruments like mortgage securities.
Perhaps the author's own quotation of Occam's Razor should have been heeded, "That which is not needed should not be included".
I did find the Bloomberg KAOS screen description on page 128 useful. If you use Bloomberg, you can also get that from the manuals.
Braswyn
Chaos theory, genetic algorithms, neural networks, fuzzy logic etc. are all keywords in modern financial markets theory.How to integrate all this non-homogeneous approaches in one ? This is the major task that Chris May undertakes in this book. The result is Nonlinear Pricing, that is a modern approach to asset price dynamics in financial markets not using the usual normal and linear approximations of asset prices.One of the general merits of the book is that it introduces the reader to all these topics in a historical prospective. Then the author has his own contribution to fractal market theory contained in a specialized Bloomberg system screen.Of course there is more in nonlinear pricing than this but the author lays enough good philosophical concepts to help further work cementing a financial markets theory where regressions are not just linear, returns are not log-normal etc. The book is written very intuitively and for a text of this complexity it choses the right approach to stay at the surface and integrate ! Enjoy it!
Nonlinear Pricing: Theory and Applications download epub
Business & Finance
Author: Christopher T. May
ISBN: 0471245518
Category: Other
Subcategory: Business & Finance
Language: English
Publisher: Wiley; 1 edition (February 8, 1999)
Pages: 361 pages