4. Adaptive Modeling Concepts in Dynamic Markets

  1. William S. Mallios

Published Online: 5 MAY 2011

DOI: 10.1002/9780470880616.ch4

Forecasting in Financial and Sports Gambling Markets: Adaptive Drift Modeling

Forecasting in Financial and Sports Gambling Markets: Adaptive Drift Modeling

How to Cite

Mallios, W. S. (2010) Adaptive Modeling Concepts in Dynamic Markets, in Forecasting in Financial and Sports Gambling Markets: Adaptive Drift Modeling, John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/9780470880616.ch4

Author Information

  1. Craig School of Busines, California State University, Fresno, Fresno, California, USA

Publication History

  1. Published Online: 5 MAY 2011
  2. Published Print: 27 DEC 2010

ISBN Information

Print ISBN: 9780470484524

Online ISBN: 9780470880616

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Keywords:

  • adaptive modeling concepts in dynamic markets;
  • algorithmic trading—use of quantitative (quant) rules - finesse trade execution—by hedge funds, pension funds and mutual funds;
  • market volatility and fat-tailed distributions

Summary

This chapter contains sections titled:

  • Quant Funds and Algorithmic Trading

  • Market Volatility and Fat-Tailed Distributions

  • Adaptive ARMA(1, 1) Drift Processes

  • Time-Varying Volatility