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This text gives budding actuaries and financial analysts a foundation in multiple regression and time series. They will learn about these statistical techniques using data on the demand for insurance, lottery sales, foreign exchange rates, and other applications. Although no specific knowledge of risk management or finance is presumed, the approach introduces applications in which statistical techniques can be used to analyze real data of interest. In addition to the fundamentals, this book describes several advanced statistical topics that are particularly relevant to actuarial and financial practice, including the analysis of longitudinal, two-part (frequency/severity), and fat-tailed data. Datasets with detailed descriptions, sample statistical software scripts in 'R' and 'SAS', and tips on writing a statistical report, including sample projects, can be found on the book's Web site: http://research.bus.wisc.edu/RegActuaries.

Insurance --- Finance --- Regression analysis --- Finances --- Analyse de régression --- Statistical methods --- Méthodes statistiques --- Regression Analysis --- E-books --- AA / International- internationaal --- 305.0 --- 306.4 --- 304.0 --- 368.00 --- Toegepaste econometrie en statistiek (algemene naslagwerken). Statistische onderzoekingen en studiën. --- Correlatie, regressie (toegepaste statistiek). --- Zuivere statistische analyse (algemene naslagwerken). Tijdreeksen. --- Theorieën over verzekeringen. Actuariële wetenschappen. --- Regression analysis. --- Analysis, Regression --- Linear regression --- Regression modeling --- Multivariate analysis --- Structural equation modeling --- Actuarial statistics --- Insurance statistics --- Statistical methods. --- Mathematics --- Analyse de régression --- Méthodes statistiques --- Zuivere statistische analyse (algemene naslagwerken). Tijdreeksen --- Toegepaste econometrie en statistiek (algemene naslagwerken). Statistische onderzoekingen en studiën --- Correlatie, regressie (toegepaste statistiek) --- Theorieën over verzekeringen. Actuariële wetenschappen --- Assegurances --- Matemàtica financera. --- Anàlisi de regressió. --- Mètodes estadístics. --- Mètodes estadístics --- Estadística --- Estadística matemàtica --- Aritmètica comercial --- Matemàtica comercial --- Negocis --- Matemàtica --- Economia financera --- Economia --- Moneda --- Qüestió monetària --- Estadística actuarial --- Insurance - Statistical methods --- Finance - Statistical methods

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This highly praised introductory treatment describes the parallels between statistical physics and finance - both those established in the 100-year long interaction between these disciplines, as well as new research results on financial markets. The random-walk technique, well known in physics, is also the basic model in finance, upon which are built, for example, the Black-Scholes theory of option pricing and hedging, plus methods of portfolio optimization. Here the underlying assumptions are assessed critically. Using empirical financial data and analogies to physical models such as fluid flows, turbulence, or superdiffusion, the book develops a more accurate description of financial markets based on random walks. With this approach, novel methods for derivative pricing and risk management can be formulated. Computer simulations of interacting-agent models provide insight into the mechanisms underlying unconventional price dynamics. It is shown that stock exchange crashes can be modelled in ways analogous to phase transitions and earthquakes, and sometimes have even been predicted successfully. This third edition of The Statistical Mechanics of Financial Markets especially stands apart from other treatments because it offers new chapters containing a practitioner's treatment of two important current topics in banking: the basic notions and tools of risk management and capital requirements for financial institutions, including an overview of the new Basel II capital framework which may well set the risk management standards in scores of countries for years to come.

Capital market --- Finance --- Financial engineering --- Statistical physics --- 305.91 --- AA / International- internationaal --- Physics --- Mathematical statistics --- Computational finance --- Engineering, Financial --- Capital markets --- Market, Capital --- Financial institutions --- Loans --- Money market --- Securities --- Crowding out (Economics) --- Efficient market theory --- Statistical methods --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles --- Financial engineering. --- Statistical physics. --- Statistical methods. --- Mathematics. --- Statistics. --- Economic theory. --- Game Theory, Economics, Social and Behav. Sciences. --- Complex Systems. --- Statistics for Business, Management, Economics, Finance, Insurance. --- Economic Theory/Quantitative Economics/Mathematical Methods. --- Statistical Physics and Dynamical Systems. --- Economic theory --- Political economy --- Social sciences --- Economic man --- Statistical analysis --- Statistical data --- Statistical science --- Mathematics --- Econometrics --- Math --- Science --- Game theory. --- Dynamical systems. --- Statistics . --- Dynamical systems --- Kinetics --- Mechanics, Analytic --- Force and energy --- Mechanics --- Statics --- Games, Theory of --- Theory of games --- Mathematical models --- Finances --- Mercat financer --- Estadística matemàtica --- Física estadística --- Processos estocàstics --- Física --- Integrals de camí --- Mecànica estadística --- Percolació (Física estadística) --- Sistemes oberts (Física) --- Teoria cinètica de la matèria --- Teoria cinètica dels líquids --- Transformacions de fase (Física estadística) --- Càlcul estocàstic --- Funcions aleatòries --- Processos aleatoris --- Probabilitats --- Anàlisi estocàstica --- Aproximació estocàstica --- Camps aleatoris --- Filtre de Kalman --- Fluctuacions (Física) --- Martingales (Matemàtica) --- Mètode de Montecarlo --- Processos de Markov --- Processos de ramificació --- Processos gaussians --- Processos puntuals --- Rutes aleatòries (Matemàtica) --- Semimartingales (Matemàtica) --- Sistemes estocàstics --- Teoremes de límit (Teoria de probabilitats) --- Teoria de cues --- Teoria de l'estimació --- Teoria de la predicció --- Estadística descriptiva --- Inferència estadística --- Matemàtica estadística --- Mètodes estadístics --- Estadística --- Anàlisi d'error (Matemàtica) --- Anàlisi de regressió --- Anàlisi de sèries temporals --- Anàlisi de variància --- Anàlisi multivariable --- Anàlisi seqüencial --- Astronomia estadística --- Correlació (Estadística) --- Dependència (Estadística) --- Estadística no paramètrica --- Estadística robusta --- Mètode dels moments (Estadística) --- Models lineals (Estadística) --- Models no lineals (Estadística) --- Tests d'hipòtesi (Estadística) --- Biometria --- Mostreig (Estadística) --- Mercat de capitals --- Mercat de capitals a llarg termini --- Mercats financers --- Capital --- Borsa de valors --- Agències d'avaluació de crèdit --- Mercat monetari --- Economia financera --- Operacions financeres --- Economia --- Actius financers derivats --- Amortització --- Beneficis --- Bons --- Capitalistes --- Crèdit --- Deflació --- Dones en les finances --- Enginyeria financera --- Entitats financeres --- Especulació --- Finances eclesiàstiques --- Finances internacionals --- Finances privades --- Finances públiques --- Gestió financera --- Gestió pressupostària --- Qüestió monetària