Jun

3

The value of a reference text can be measured by how the reader applies or adapts the knowledge therein. The following work is regularly very helpful and a highly practical assistance to my speculations: Runs and Scans with Applications by N. Balakrishnan and Markos V. Koutras. (First published by Wiley in2002) 

I am ashamed to say that I bought the book just from the picture on the front cover (take a look — those interested in counting will understand what I mean) It hooked me immediately. Some of the chapter headings say it all: Chapter 2: Waiting for the first run Occurrence; Chapter 4: Waiting for Multiple Run Occurrences; Chapter 5: Number of Run Occurrences; Chapter 6: Multivariate run related Distributions, and so on.

Some of the things in the book are not relevant to financial time series analysis but much of it is. There are some fascinating real world applications also that can be adapted to transformed price data. Section 12.7 was particularly helpful and fascinating amongst so much else.


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