Modelling-Financial-Times-Series- Sthepen J. Taylor

Modelling-Financial-Times-Series- Sthepen J. Taylor

(Parte 1 de 11)

M o d ell in g Fin an ci a1

Time Series Second Edition

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STEPHEN J* TAYLOR Imcaster University, UK

Modelling Financial Time Serices world scientific

Published by

World Scientific Publishing Co. Pte. Ltd. 5 Toh Tuck Link, Singapore 596224 USA oflice: 27 Warren Street, Suite 401-402, Hackensack, NJ 07601 UK ofice: 57 Shelton Street, Covent Garden, London WC2H 9HE

Library of Congress Cataloging-in-Publication Data

Taylor, Stephen (Stephen J.) Modelling financial time series /by Stephen J Taylor. -- 2nd ed.

Reprint of the edition originally published: Chichester [West Sussex] ; New York :

Includes bibliographical references and index. ISBN-I 3: 978-981-277-084-4 ISBN- 10: 98 1 -277-084-4 p. cm. Wiley, c1986.

1. Stocks--Prices--Mathematical models. 2. Commodity exchanges--Mathematical models. 3. Financial futures--Mathematical models. 4. Time-series analysis. I. Title. HG4636.T35 2007 332.63'22201 1 --dc22 2007043574

British Library Cataloguing-in-Publication Data A catalogue record for this book is available from the British Library.

Copyright 0 2008 by World Scientific Publishing Co. Re. Ltd.

All rights reserved. This book. or parts thereof; may not be reproduced in any form or by any means, electronic. or tnechanical, including photocopying, recording or any information storage and retrieval system now known or to be invented, without written permission,from the Publisher.

For photocopying of material in this volume, please pay a copying fee through the Copyright Clearance Center, Inc., 2 Rosewood Drive, Danvers, MA 01923, USA. In this case permission to photocopy is not required from the publisher.

Printed in Singapore by World Scientific Printers (S) Pte Ltd

To my priceless wife Sa Ily

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Preface to the 2nd edition Preface to the 1st edition

1 INTRODUCTION 1 .I Financial time series

1.2 About this study 1.3 1.4 1.5

The world’s major financial markets

Examples of daily price series A selective review of previous research important questions The random walk hypothesis

The efficient market hypothesis

1.6 Daily returns 1.7 Models 1.8 Models in this book

1.9 Stochastic processes General remarks

Stationary processes Autocorrelation

Spectral density White noise

ARMA processes Gaussian processes

1 .I0 Linear stochastic processes Their definition

Autocorrelation tests

2 FEATURES OF FINANCIAL RETURNS 2.1 Constructing financial time series

Sources Time scales Additional information Using futures contracts vii

Page xv xxv

... Vlll Contents

2.2 Prices studied 28

Spot prices 28 Futures prices 30

Commodity futures 30 Financial futures 31

Extended series 32 2.3 Average returns and risk premia 32

Spot commodities 36 Spot currencies 36

Commodity futures 36 2.4 Standard deviations 38

Futures and contract age 40

2.5 Calendar effects 41

Day-of-t he-wee k 41 Stocks 41 Currencies 41

Agricultural futures 42 Standard deviations 42

Annual expected returns 3 Common stocks and ordinary shares

Risks compared 39

Month-of-the-year effects for stocks 43 2.6 Skewness 4

(Parte 1 de 11)