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Is The Distribution Of Financial Returns Symmetric Empirical Evidence From The International Exchange Market
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Book Synopsis Empirical Science of Financial Fluctuations by : Hideki Takayasu
Download or read book Empirical Science of Financial Fluctuations written by Hideki Takayasu and published by Springer Science & Business Media. This book was released on 2013-03-14 with total page 360 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial fluctuations were generally neglected in classical ecnomics and their basic statistical properties have only recently been elucidated in the emerging field of econophysics, a new science that analyzes data using methods developed by statistical physics, such as chaos, fractals, and phase transitions. This volume is the proceedings of a workshop at which leading international researchers in this discipline discussed their most recent results and examined the validity of the empirical laws of econophysics. Topics include stock market prices and foreign exchange rates, income distribution, market anomalies, and risk management. The papers herein relate econophysics to other models, present new models, and illustrate the mechanisms by which financial fluctuations occur using actual financial data. Containing the most recent econophysics results, this volume will serve as an indispensable reference for economic theorists and practitioners alike.
Book Synopsis Empirical Asset Pricing by : Wayne Ferson
Download or read book Empirical Asset Pricing written by Wayne Ferson and published by MIT Press. This book was released on 2019-03-12 with total page 497 pages. Available in PDF, EPUB and Kindle. Book excerpt: An introduction to the theory and methods of empirical asset pricing, integrating classical foundations with recent developments. This book offers a comprehensive advanced introduction to asset pricing, the study of models for the prices and returns of various securities. The focus is empirical, emphasizing how the models relate to the data. The book offers a uniquely integrated treatment, combining classical foundations with more recent developments in the literature and relating some of the material to applications in investment management. It covers the theory of empirical asset pricing, the main empirical methods, and a range of applied topics. The book introduces the theory of empirical asset pricing through three main paradigms: mean variance analysis, stochastic discount factors, and beta pricing models. It describes empirical methods, beginning with the generalized method of moments (GMM) and viewing other methods as special cases of GMM; offers a comprehensive review of fund performance evaluation; and presents selected applied topics, including a substantial chapter on predictability in asset markets that covers predicting the level of returns, volatility and higher moments, and predicting cross-sectional differences in returns. Other chapters cover production-based asset pricing, long-run risk models, the Campbell-Shiller approximation, the debate on covariance versus characteristics, and the relation of volatility to the cross-section of stock returns. An extensive reference section captures the current state of the field. The book is intended for use by graduate students in finance and economics; it can also serve as a reference for professionals.
Book Synopsis Studies in Accounting and Finance by : Arun Kumar Basu
Download or read book Studies in Accounting and Finance written by Arun Kumar Basu and published by Pearson Education India. This book was released on 2013-08 with total page 304 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Financial Market Risk by : Cornelis Los
Download or read book Financial Market Risk written by Cornelis Los and published by Routledge. This book was released on 2003-07-24 with total page 483 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book covers the latest theories and empirical findings of financial risk, its measurement and management, and its applications in the world of finance.
Book Synopsis Independent and Stationary Sequences of Random Variables by : Ilʹdar Abdulovich Ibragimov
Download or read book Independent and Stationary Sequences of Random Variables written by Ilʹdar Abdulovich Ibragimov and published by . This book was released on 1971 with total page 456 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Discrete Time Series, Processes, and Applications in Finance by : Gilles Zumbach
Download or read book Discrete Time Series, Processes, and Applications in Finance written by Gilles Zumbach and published by Springer Science & Business Media. This book was released on 2012-09-26 with total page 326 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book surveys empirical properties of financial time series, discusses their mathematical basis, and describes uses in risk evaluation, option pricing or portfolio construction. The author introduces and assesses a range of processes against the benchmark.
Book Synopsis Illustrating Finance Policy with Mathematica by : Nicholas L. Georgakopoulos
Download or read book Illustrating Finance Policy with Mathematica written by Nicholas L. Georgakopoulos and published by Springer. This book was released on 2018-09-05 with total page 252 pages. Available in PDF, EPUB and Kindle. Book excerpt: Students in various disciplines—from law and government to business and health policy—need to understand several quantitative aspects of finance (such as the capital asset pricing model or financial options) and policy analysis (e.g., assessing the weight of probabilistic evidence) but often have little quantitative background. This book illustrates those phenomena and explains how to illustrate them using the powerful visuals that computing can produce. Of particular interest to graduate students and scholars in need of sharper quantitative methods, this book introduces the reader to Mathematica, enables readers to use Mathematica to produce their own illustrations, and places specific emphasis on finance and policy as well as the foundations of probability theory.
Book Synopsis ARCH Models and Financial Applications by : Christian Gourieroux
Download or read book ARCH Models and Financial Applications written by Christian Gourieroux and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 234 pages. Available in PDF, EPUB and Kindle. Book excerpt: The classical ARMA models have limitations when applied to the field of financial and monetary economics. Financial time series present nonlinear dynamic characteristics and the ARCH models offer a more adaptive framework for this type of problem. This book surveys the recent work in this area from the perspective of statistical theory, financial models, and applications and will be of interest to theorists and practitioners. From the view point of statistical theory, ARCH models may be considered as specific nonlinear time series models which allow for an exhaustive study of the underlying dynamics. It is possible to reexamine a number of classical questions such as the random walk hypothesis, prediction interval building, presence of latent variables etc., and to test the validity of the previously studied results. There are two main categories of potential applications. One is testing several economic or financial theories concerning the stocks, bonds, and currencies markets, or studying the links between the short and long run. The second is related to the interventions of the banks on the markets, such as choice of optimal portfolios, hedging portfolios, values at risk, and the size and times of block trading.
Book Synopsis Studies in Accounting and Finance: Contemporary Issues and Debates by : Basu and Saha
Download or read book Studies in Accounting and Finance: Contemporary Issues and Debates written by Basu and Saha and published by Pearson Education India. This book was released on 2010 with total page 300 pages. Available in PDF, EPUB and Kindle. Book excerpt: Studies in Accounting and Finance: Contemporary Issues and Debates, useful for business executives, accounting and finance practitioners, researchers, and students discusses contemporary issues in accounting and finance. Topics discussed include globalization of accounting standards, accounting for financial instruments, fair value accounting, accounting for intangibles, corporate governance and accounting, accounting for social and environmental costs, accounting for employee stock option plans, obstacles to the development of high-quality accounting standards, small company reporting, accounting ethics, technology reporting, and global economic meltdown.
Book Synopsis Proceedings of the 2nd Advances in Business Research International Conference by : Fauziah Noordin
Download or read book Proceedings of the 2nd Advances in Business Research International Conference written by Fauziah Noordin and published by Springer. This book was released on 2017-10-17 with total page 392 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contains the refereed proceedings of the 2nd Advances in Business Research International Conference (ABRIC2016). Chapters in the book address the theme of Advancing Knowledge, Connecting the World, reflecting on the emerging issues in various business management fields and the interconnections of multiple disciplines for creating knowledge advancement. Papers were carefully reviewed and selected and grouped into four main themes: economic and finance, marketing and communications, management, and information technology in business. The book serves as a helpful resource for students and researchers of business management, especially in understanding issues and cases of business in emerging economies and markets.
Book Synopsis Scale Invariance and Beyond by : B. Dubrulle
Download or read book Scale Invariance and Beyond written by B. Dubrulle and published by Springer Science & Business Media. This book was released on 2013-11-09 with total page 291 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is an excellent introduction to the concept of scale invariance, which is a growing field of research with wide applications. It describes where and how symmetry under scale transformation (and its various forms of partial breakdown) can be used to analyze solutions of a problem without the need to explicitly solve it. The first part gives descriptions of tools and concepts; the second is devoted to recent attempts to go beyond the invariance or symmetry breaking, to discuss causes and consequences, and to extract useful information about the system. Examples are carefully worked out in fields as diverse as condensed matter physics, population dynamics, earthquake physics, turbulence, cosmology and 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 Complex Systems in Finance and Econometrics by : Robert A. Meyers
Download or read book Complex Systems in Finance and Econometrics written by Robert A. Meyers and published by Springer Science & Business Media. This book was released on 2010-11-03 with total page 919 pages. Available in PDF, EPUB and Kindle. Book excerpt: Finance, Econometrics and System Dynamics presents an overview of the concepts and tools for analyzing complex systems in a wide range of fields. The text integrates complexity with deterministic equations and concepts from real world examples, and appeals to a broad audience.
Book Synopsis Emerging Research on Monetary Policy, Banking, and Financial Markets by : Spulbar, Cristi
Download or read book Emerging Research on Monetary Policy, Banking, and Financial Markets written by Spulbar, Cristi and published by IGI Global. This book was released on 2019-06-14 with total page 343 pages. Available in PDF, EPUB and Kindle. Book excerpt: As more and more emerging markets seek to compete in an ever-growing pool of global competitors, rapidly growing economies are consistently running into issues relating to the proper understanding of fiscal markets. The future of global economics depends on the wellbeing of sustainable economic growth and the expansion of banking systems. Emerging Research on Monetary Policy, Banking, and Financial Markets is an essential reference source that discusses the complex nature of financial markets and the growth of developing economies. Featuring research on topics such as international markets, transition economies, and financial instability, this book is ideally designed for academicians, students, researchers, policymakers, professionals, financial analysts, and economists interested in the future of reformed worldwide banking systems.
Author :Constantin Zopounidis Publisher :Springer Science & Business Media ISBN 13 :147572845X Total Pages :520 pages Book Rating :4.4/5 (757 download)
Book Synopsis Managing in Uncertainty: Theory and Practice by : Constantin Zopounidis
Download or read book Managing in Uncertainty: Theory and Practice written by Constantin Zopounidis and published by Springer Science & Business Media. This book was released on 2013-04-17 with total page 520 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a new point of view on the subject of the management of uncertainty. It covers a wide variety of both theoretical and practical issues involving the analysis and management of uncertainty in the fields of finance, management and marketing. Audience: Researchers and professionals from operations research, management science and economics.
Book Synopsis Asset Price Dynamics, Volatility, and Prediction by : Stephen J. Taylor
Download or read book Asset Price Dynamics, Volatility, and Prediction written by Stephen J. Taylor and published by Princeton University Press. This book was released on 2011-02-11 with total page 544 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book shows how current and recent market prices convey information about the probability distributions that govern future prices. Moving beyond purely theoretical models, Stephen Taylor applies methods supported by empirical research of equity and foreign exchange markets to show how daily and more frequent asset prices, and the prices of option contracts, can be used to construct and assess predictions about future prices, their volatility, and their probability distributions. Stephen Taylor provides a comprehensive introduction to the dynamic behavior of asset prices, relying on finance theory and statistical evidence. He uses stochastic processes to define mathematical models for price dynamics, but with less mathematics than in alternative texts. The key topics covered include random walk tests, trading rules, ARCH models, stochastic volatility models, high-frequency datasets, and the information that option prices imply about volatility and distributions. Asset Price Dynamics, Volatility, and Prediction is ideal for students of economics, finance, and mathematics who are studying financial econometrics, and will enable researchers to identify and apply appropriate models and methods. It will likewise be a valuable resource for quantitative analysts, fund managers, risk managers, and investors who seek realistic expectations about future asset prices and the risks to which they are exposed.
Book Synopsis Econometrics of Risk by : Van-Nam Huynh
Download or read book Econometrics of Risk written by Van-Nam Huynh and published by Springer. This book was released on 2014-12-15 with total page 486 pages. Available in PDF, EPUB and Kindle. Book excerpt: This edited book contains several state-of-the-art papers devoted to econometrics of risk. Some papers provide theoretical analysis of the corresponding mathematical, statistical, computational, and economical models. Other papers describe applications of the novel risk-related econometric techniques to real-life economic situations. The book presents new methods developed just recently, in particular, methods using non-Gaussian heavy-tailed distributions, methods using non-Gaussian copulas to properly take into account dependence between different quantities, methods taking into account imprecise ("fuzzy") expert knowledge, and many other innovative techniques. This versatile volume helps practitioners to learn how to apply new techniques of econometrics of risk, and researchers to further improve the existing models and to come up with new ideas on how to best take into account economic risks.
