Book Chapter: A mixture price trend model for long-term risk management
| Title | A mixture price trend model for long-term risk management |
|---|---|
| Authors | Fung, SL Ching, WK Siu, KTK |
| Issue Date | 2010 |
| Publisher | Information Science Reference |
| Citation | A mixture price trend model for long-term risk management. In Wang, J and Wang, S (Eds.), Business intelligence in economic forecasting: technologies and techniques, p. 157-173. Hershey, PA: Information Science Reference, 2010 [How to Cite?] DOI: http://dx.doi.org/10.4018/978-1-61520-629-2.ch009 |
| Abstract | In financial forecasting, a long-standing challenging issue is to develop an appropriate model for forecasting long-term risk management of enterprises. In this chapter, using financial markets as an example, we introduce a mixture price trend model for long-term forecasts of financial asset prices with a view to applying it for long-term financial risk management. The key idea of the mixture price trend model is to provide a general and flexible way to incorporate various price trend behaviors and to extract information from price trends for long-term forecasting. Indeed, the mixture price trend model can incorporate model uncertainty in the price trend model, which is a key element for risk management and is overlooked in some of the current literatures. The mixture price trend model also allows the incorporation of users’ subjective views on long-term price trends. An efficient estimation method is introduced. Statistical analysis of the proposed model based on real data will be conducted to illustrate the performance of the model. |
| ISSN | 9781615206292 |
| DOI | http://dx.doi.org/10.4018/978-1-61520-629-2.ch009 |
| dc.contributor.author | Fung, SL |
|---|---|
| dc.contributor.author | Ching, WK |
| dc.contributor.author | Siu, KTK |
| dc.date.accessioned | 2010-12-23T08:51:45Z |
| dc.date.available | 2010-12-23T08:51:45Z |
| dc.date.issued | 2010 |
| dc.description.abstract | In financial forecasting, a long-standing challenging issue is to develop an appropriate model for forecasting long-term risk management of enterprises. In this chapter, using financial markets as an example, we introduce a mixture price trend model for long-term forecasts of financial asset prices with a view to applying it for long-term financial risk management. The key idea of the mixture price trend model is to provide a general and flexible way to incorporate various price trend behaviors and to extract information from price trends for long-term forecasting. Indeed, the mixture price trend model can incorporate model uncertainty in the price trend model, which is a key element for risk management and is overlooked in some of the current literatures. The mixture price trend model also allows the incorporation of users’ subjective views on long-term price trends. An efficient estimation method is introduced. Statistical analysis of the proposed model based on real data will be conducted to illustrate the performance of the model. |
| dc.identifier.citation | A mixture price trend model for long-term risk management. In Wang, J and Wang, S (Eds.), Business intelligence in economic forecasting: technologies and techniques, p. 157-173. Hershey, PA: Information Science Reference, 2010 [How to Cite?] DOI: http://dx.doi.org/10.4018/978-1-61520-629-2.ch009 |
| dc.identifier.doi | http://dx.doi.org/10.4018/978-1-61520-629-2.ch009 |
| dc.identifier.epage | 173 |
| dc.identifier.hkuros | 183224 |
| dc.identifier.issn | 9781615206292 |
| dc.identifier.spage | 157 |
| dc.identifier.uri | http://hdl.handle.net/10722/130427 |
| dc.language | eng |
| dc.publisher | Information Science Reference |
| dc.publisher.place | Hershey, PA |
| dc.relation.ispartof | Business intelligence in economic forecasting: technologies and techniques |
| dc.title | A mixture price trend model for long-term risk management |
| dc.type | Book_Chapter |