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Distributional Regularities Of Financial Returns
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Book Synopsis Distributional Regularities of Financial Returns by : Jakob Blatz
Download or read book Distributional Regularities of Financial Returns written by Jakob Blatz and published by GRIN Verlag. This book was released on 2011-02 with total page 65 pages. Available in PDF, EPUB and Kindle. Book excerpt: Seminar paper from the year 2008 in the subject Economics - Finance, grade: 1,7, Christian-Albrechts-University of Kiel, language: English, abstract: There is a long tradition of scholars seeking to understand the distributional regularities of financial returns. Research traces back to the turn of the 19th century. Since then, it underwent a lot of drastic changes, which are to be shown in this paper. The aim of this paper is to show theoretical models that account for the distributional regularities in financial returns as well as to illustrate the empirical analysis. It is necessary to understand the evolution of research on this topic because it came about in a consecutive manner. Thus, this paper will document over one hundred years of research on distributional properties of financial returns. The second chapter will start with the results of Louis Bachelier and his normal distribution hypothesis. Then it will describe Benoît Mandelbrot's groundbreaking results, which rejected Bachelier's normal hypothesis and introduced the Lévy-stable distributions. Mandelbrot's work had such an impact that it will be described in greater detail. The third chapter will present the results of research that followed after Mandelbrot's findings. It will also display and explain the results of recent research.
Book Synopsis The Redistributive Effects of Financial Deregulation by : Mr.Anton Korinek
Download or read book The Redistributive Effects of Financial Deregulation written by Mr.Anton Korinek and published by International Monetary Fund. This book was released on 2013-12-17 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial regulation is often framed as a question of economic efficiency. This paper, by contrast, puts the distributive implications of financial regulation center stage. We develop a model in which the financial sector benefits from risk-taking by earning greater expected returns. However, risktaking also increases the incidence of large losses that lead to credit crunches and impose negative externalities on the real economy. We describe a Pareto frontier along which different levels of risktaking map into different levels of welfare for the two parties. A regulator has to trade off efficiency in the financial sector, which is aided by deregulation, against efficiency in the real economy, which is aided by tighter regulation and a more stable supply of credit. We also show that financial innovation, asymmetric compensation schemes, concentration in the banking system, and bailout expectations enable or encourage greater risk-taking and allocate greater surplus to the financial sector at the expense of the rest of the economy.
Book Synopsis Return Distributions in Finance by : Stephen Satchell
Download or read book Return Distributions in Finance written by Stephen Satchell and published by Elsevier. This book was released on 2000-12-08 with total page 329 pages. Available in PDF, EPUB and Kindle. Book excerpt: Quantitative methods have revolutionised the area of trading, regulation, risk management, portfolio construction, asset pricing and treasury activities, and governmental activity such as central banking. One of the original contributions in this area is the classic by Cootner entitled 'The Random Nature of Stock Market Prices'. This work investigated the statistical properties of asset prices and was one of the first works to investigate this area in a rigorous manner. Much has happened in this field in the last 35 years and 'Return Distributions in Finance' contains much new information that reflects this huge growth. The authors combined experience reflects not only the new theory but also the new practice in this fascinating area. The rise of financial engineering now allows us to change the nature of asset returns to whatever pattern we desire, albeit at a cost. Benefits and costs can only be understood if we understand the underlying processes. 'Return Distributions in Finance' allows us to gain that understanding. Assists in understanding asset return distributions Provides a full overview of financial risk management techniques in asset allocation Demonstrates how to use asset return forecast applications
Book Synopsis Applications of State Space Models in Finance by : Sascha Mergner
Download or read book Applications of State Space Models in Finance written by Sascha Mergner and published by Universitätsverlag Göttingen. This book was released on 2009 with total page 235 pages. Available in PDF, EPUB and Kindle. Book excerpt: State space models play a key role in the estimation of time-varying sensitivities in financial markets. The objective of this book is to analyze the relative merits of modern time series techniques, such as Markov regime switching and the Kalman filter, to model structural changes in the context of widely used concepts in finance. The presented material will be useful for financial economists and practitioners who are interested in taking time-variation in the relationship between financial assets and key economic factors explicitly into account. The empirical part illustrates the application of the various methods under consideration. As a distinctive feature, it includes a comprehensive analysis of the ability of time-varying coefficient models to estimate and predict the conditional nature of systematic risks for European industry portfolios.
Book Synopsis Handbook of the Economics of Finance by : George M. Constantinides
Download or read book Handbook of the Economics of Finance written by George M. Constantinides and published by Newnes. This book was released on 2013-02-08 with total page 873 pages. Available in PDF, EPUB and Kindle. Book excerpt: The 12 articles in this second of two parts condense recent advances on investment vehicles, performance measurement and evaluation, and risk management into a coherent springboard for future research. Written by world leaders in asset pricing research, they present scholarship about the 2008 financial crisis in contexts that highlight both continuity and divergence in research. For those who seek authoritative perspectives and important details, this volume shows how the boundaries of asset pricing have expanded and at the same time have grown sharper and more inclusive. Offers analyses by top scholars of recent asset pricing scholarship Explains how the 2008 financial crises affected theoretical and empirical research Covers core and newly developing fields
Book Synopsis Handbook of Financial Markets: Dynamics and Evolution by : Thorsten Hens
Download or read book Handbook of Financial Markets: Dynamics and Evolution written by Thorsten Hens and published by Elsevier. This book was released on 2009-06-12 with total page 607 pages. Available in PDF, EPUB and Kindle. Book excerpt: The models of portfolio selection and asset price dynamics in this volume seek to explain the market dynamics of asset prices. Presenting a range of analytical, empirical, and numerical techniques as well as several different modeling approaches, the authors depict the state of debate on the market selection hypothesis. By explicitly assuming the heterogeneity of investors, they present models that are descriptive and normative as well, making the volume useful for both finance theorists and financial practitioners. Explains the market dynamics of asset prices, offering insights about asset management approaches Assumes a heterogeneity of investors that yields descriptive and normative models of portfolio selections and asset pricing dynamics
Book Synopsis Econophysics of Wealth Distributions by : Arnab Chatterjee
Download or read book Econophysics of Wealth Distributions written by Arnab Chatterjee and published by Springer Science & Business Media. This book was released on 2007-06-25 with total page 251 pages. Available in PDF, EPUB and Kindle. Book excerpt: We all know the hard fact: neither wealth nor income is ever uniform for us all. Justified or not, they are unevenly distributed; few are rich and many are poor! Investigations for more than hundred years and the recent availability of the income distribution data in the internet (made available by the finance ministries of various countries; from the tax return data of the income tax departments) have revealed some remarkable features. Irrespective of many differences in culture, history, language and, to some extent, the economic policies followed in different countries, the income distribution is seen to fol low a particular universal pattern. So does the wealth distribution. Barring an initial rise in population with income (or wealth; for the destitutes), the population decreases either exponentially or in a log-normal way for the ma jority of 'middle income' group, and it eventually decreases following a power law (Pareto law, following Vilfredo Pareto's observation in 1896) for the rich est 5-10 % of the population! This seems to be an universal feature - valid for most of the countries and civilizations; may be in ancient Egypt as well! Econophysicists tried to view this as a natural law for a statistical ma- body-dynamical market system, analogous to gases, liquids or solids: classical or quantum.
Book Synopsis Distributional Effects of Crises by : Marina Halac
Download or read book Distributional Effects of Crises written by Marina Halac and published by World Bank Publications. This book was released on 2003 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial crises affect income distribution by way of different channels. The authors argue that financial transfers are an important channel which has been overlooked by the literature. They study the role of financial transfers by analyzing some of the most severe Latin American crises during the past decades (Chile 1981-83, Mexico 1994-95, Ecuador 1998-2000, Argentina 2001-02, and Uruguay 2002). First, the authors investigate transfers to the financial sector-those from nonparticipants to participants of the financial sector. Second, they explore who receives these financial transfers by identifying the winners and losers within the financial sector. Their analysis suggests that financial transfers during crises are large and expected to increase income inequality.
Book Synopsis Performance of Financial Institutions by : Patrick T. Harker
Download or read book Performance of Financial Institutions written by Patrick T. Harker and published by Cambridge University Press. This book was released on 2000-05-18 with total page 516 pages. Available in PDF, EPUB and Kindle. Book excerpt: The efficient operation of financial intermediaries--banks, insurance and pension fund firms, government agencies and so on--is instrumental for the efficient functioning of the financial system and the fueling of the economies of the twenty-first century. But what drives the performance of these institutions in today's global environment? In this volume, world-renowned scholars bring their expertise to bear on the issues. Primary among them are the definition and measurement of efficiency of a financial institution, benchmarks of efficiency, identification of the drivers of performance and measurement of their effects on efficiency, the impact of financial innovation and information technologies on performance, the effects of process design, human resource management policies, as well as others.
Book Synopsis Financial Modeling Under Non-Gaussian Distributions by : Eric Jondeau
Download or read book Financial Modeling Under Non-Gaussian Distributions written by Eric Jondeau and published by Springer Science & Business Media. This book was released on 2007-04-05 with total page 541 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book examines non-Gaussian distributions. It addresses the causes and consequences of non-normality and time dependency in both asset returns and option prices. The book is written for non-mathematicians who want to model financial market prices so the emphasis throughout is on practice. There are abundant empirical illustrations of the models and techniques described, many of which could be equally applied to other financial time series.
Book Synopsis Financial Modelling with Jump Processes by : Peter Tankov
Download or read book Financial Modelling with Jump Processes written by Peter Tankov and published by CRC Press. This book was released on 2003-12-30 with total page 552 pages. Available in PDF, EPUB and Kindle. Book excerpt: WINNER of a Riskbook.com Best of 2004 Book Award! During the last decade, financial models based on jump processes have acquired increasing popularity in risk management and option pricing. Much has been published on the subject, but the technical nature of most papers makes them difficult for nonspecialists to understand, and the mathematic
Book Synopsis Financial Markets and the Real Economy by : John H. Cochrane
Download or read book Financial Markets and the Real Economy written by John H. Cochrane and published by Now Publishers Inc. This book was released on 2005 with total page 117 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.
Download or read book Minority Games written by Damien Challet and published by OUP Oxford. This book was released on 2004-11-04 with total page 364 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Minority Game is a physicist's attempt to explain market behaviour by the interaction between traders. With a minimal set of ingredients and drastic assumptions, this model reproduces market ecology among different types of traders. Its emphasis is on speculative trading and information flow. The book first describes the philosophy lying behind the conception of the Minority Game in 1997, and includes in particular a discussion about the El Farol bar problem. It then reviews the main steps in later developments, including both the theory and its applications to market phenomena. 'Minority Games' gives a colourful and stylized, but also realistic picture of how financial markets operate.
Book Synopsis Linear Models and Time-Series Analysis by : Marc S. Paolella
Download or read book Linear Models and Time-Series Analysis written by Marc S. Paolella and published by John Wiley & Sons. This book was released on 2018-10-10 with total page 896 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive and timely edition on an emerging new trend in time series Linear Models and Time-Series Analysis: Regression, ANOVA, ARMA and GARCH sets a strong foundation, in terms of distribution theory, for the linear model (regression and ANOVA), univariate time series analysis (ARMAX and GARCH), and some multivariate models associated primarily with modeling financial asset returns (copula-based structures and the discrete mixed normal and Laplace). It builds on the author's previous book, Fundamental Statistical Inference: A Computational Approach, which introduced the major concepts of statistical inference. Attention is explicitly paid to application and numeric computation, with examples of Matlab code throughout. The code offers a framework for discussion and illustration of numerics, and shows the mapping from theory to computation. The topic of time series analysis is on firm footing, with numerous textbooks and research journals dedicated to it. With respect to the subject/technology, many chapters in Linear Models and Time-Series Analysis cover firmly entrenched topics (regression and ARMA). Several others are dedicated to very modern methods, as used in empirical finance, asset pricing, risk management, and portfolio optimization, in order to address the severe change in performance of many pension funds, and changes in how fund managers work. Covers traditional time series analysis with new guidelines Provides access to cutting edge topics that are at the forefront of financial econometrics and industry Includes latest developments and topics such as financial returns data, notably also in a multivariate context Written by a leading expert in time series analysis Extensively classroom tested Includes a tutorial on SAS Supplemented with a companion website containing numerous Matlab programs Solutions to most exercises are provided in the book Linear Models and Time-Series Analysis: Regression, ANOVA, ARMA and GARCH is suitable for advanced masters students in statistics and quantitative finance, as well as doctoral students in economics and finance. It is also useful for quantitative financial practitioners in large financial institutions and smaller finance outlets.
Download or read book MSIEID 2022 written by Haocun Wu and published by European Alliance for Innovation. This book was released on 2023-03-14 with total page 1596 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Management Science Informatization and Economic Innovation Development Conference is a leading conference held annually. It aims at building an academic platform for the communication and academic exchange among participants from various fields related to management science informatization and economic innovation development. Here, scholars, experts, and researchers are welcomed to share their research progress and inspirations. It is a great opportunity to promote academic communication and collaboration worldwide. This volume contains the papers presented at the 4th Management Science Informatization and Economic Innovation Development Conference (MSIEID 2022), held during December 9th-11th, 2022 in Chongqing, China (virtual event). For the safety concern of all participants under nowadays situation, we decided to hold it as a virtual conference which is also effective and convenient for academic exchange and communication. Everyone interested in these fields were welcomed to join the online conference and to give comments and raise questions to the speeches and presentations.
Book Synopsis Wealth Inequality, Asset Redistribution and Risk-Sharing Islamic Finance by : Tarik Akin
Download or read book Wealth Inequality, Asset Redistribution and Risk-Sharing Islamic Finance written by Tarik Akin and published by Walter de Gruyter GmbH & Co KG. This book was released on 2019-03-04 with total page 216 pages. Available in PDF, EPUB and Kindle. Book excerpt: Wealth inequality has been not only rising at unsustainable pace but also dissociated from income inequality because of the fact that wealth is increasing without concomitant increase in savings and productive capital. Compelling evidence indicates that capital gains and other economic rents are mainly responsible for wealth inequality and its divergence from income inequality. The main argument of the book is that interest-based debt contracts are one of the drivers of wealth inequality through creating disproportional economic rents for the asset-rich. The book also introduces the idea of risk-sharing asset-based redistribution, which is a novel and viable policy proposal, as an effective redistribution tool to address the wealth inequality problem. Furthermore, a large-scale stock-flow consistent macroeconomic model, which is step by step constructed in the book, sheds light on the formation of wealth inequality in a debt-based economy and on the prospective benefits of implementing risk-sharing asset-based redistribution policy tools compared to traditional redistribution policy options. The research presented in this book is novel in many respects and first of its kind in the Islamic economics and finance literature.
Book Synopsis Numerical Methods in Finance by : Michèle Breton
Download or read book Numerical Methods in Finance written by Michèle Breton and published by Springer Science & Business Media. This book was released on 2005-05-06 with total page 282 pages. Available in PDF, EPUB and Kindle. Book excerpt: GERAD celebrates this year its 25th anniversary. The Center was created in 1980 by a small group of professors and researchers of HEC Montreal, McGill University and of the Ecole Polytechnique de Montreal. GERAD's activities achieved sufficient scope to justify its conversion in June 1988 into a Joint Research Centre of HEC Montreal, the Ecole Polytechnique de Montreal and McGill University. In 1996, the U- versite du Quebec a Montreal joined these three institutions. GERAD has fifty members (professors), more than twenty research associates and post doctoral students and more than two hundreds master and Ph.D. students. GERAD is a multi-university center and a vital forum for the devel- ment of operations research. Its mission is defined around the following four complementarily objectives: • The original and expert contribution to all research fields in GERAD's area of expertise; • The dissemination of research results in the best scientific outlets as well as in the society in general; • The training of graduate students and post doctoral researchers; • The contribution to the economic community by solving important problems and providing transferable tools.
