Asset Price Dynamics Volatility And Prediction
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Asset Price Dynamics Volatility And Prediction
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Author : Stephen J. Taylor
language : en
Publisher: Princeton University Press
Release Date : 2011-02-11
Asset Price Dynamics Volatility And Prediction written by Stephen J. Taylor and has been published by Princeton University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-02-11 with Business & Economics categories.
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.
Implicit Volatilities
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Author : Robert Schott
language : en
Publisher: diplom.de
Release Date : 2008-10-23
Implicit Volatilities written by Robert Schott and has been published by diplom.de this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-10-23 with Business & Economics categories.
Inhaltsangabe:Introduction: Volatility is a crucial factor widely followed in the financial world. It is not only the single unknown determinant in the Black & Scholes model to derive a theoretical option price, but also the fact that portfolios can be diversified and hedged with volatility makes it a topic, which is crucial to understand for market participants comprising a wide group of private investors and professional traders as well as issuers of derivative products upon volatility. The year 1973 was in several respects a crucial year for implicit volatility. The breakdown of the Bretton-Wood-System paved the way for derivative instruments, because of the beginning era of floating currencies. Furthermore Fischer Black and Myron Samuel Scholes published in 1973 the ground breaking Black & Scholes (BS) model in the Journal of Political Economy. This model was adopted in 1975 at the Chicago Board Options Exchange (CBOE), which also was founded in the year 1973, for pricing options. Especially since 1973 volatility has become a tremendously debated topic in financial literature with continually new insights in short-time periods. Volatility is a central feature of option-pricing models and emerged per se as an independent asset class for investment purposes. The implicit volatility, the topic of the thesis, is a market indicator widely used by all option market practitioners. In the thesis the focus lies on the implicit (implied) volatility (IV). It is the estimation of the volatility that perfectly explains the option price, given all other variables, including the price of the underlying asset in context of the BS model. At the start the BS model, which is the theoretical basic of model-specific IV models, and its variations are discussed. In the concept of volatility IV is defined and the way it is computed is given as well as a look on historical volatility. Afterwards the implied volatility surface (IVS) is presented, which is a non-flat surface, a contradiction to the ideal BS assumptions. Furthermore, reasons of the change of the implied volatility function (IVF) and the term structure are discussed. The model specific IV model is then compared to other possible volatility forecast models. Then the model-free IV methodology is presented with a step-to-step example of the calculation of the widely followed CBOE Volatility Index VIX. Finally the VIX term structure and the relevance of the IV in practice are shown up. To ensure a good [...]
Handbook Of Financial Markets Dynamics And Evolution
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Author : Thorsten Hens
language : en
Publisher: Elsevier
Release Date : 2009-06-12
Handbook Of Financial Markets Dynamics And Evolution written by Thorsten Hens and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-06-12 with Business & Economics categories.
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
Computational Linguistics And Intelligent Text Processing
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Author : Alexander Gelbukh
language : en
Publisher: Springer Science & Business Media
Release Date : 2010-03-18
Computational Linguistics And Intelligent Text Processing written by Alexander Gelbukh and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-03-18 with Computers categories.
This book constitutes the proceedings of the 11th International Conference on Computational Linguistics and Intelligent Text Processing, held in Iaşi, Romania, in March 2010. The 60 paper included in the volume were carefully reviewed and selected from numerous submissions. The book also includes 3 invited papers. The topics covered are: lexical resources, syntax and parsing, word sense disambiguation and named entity recognition, semantics and dialog, humor and emotions, machine translation and multilingualism, information extraction, information retrieval, text categorization and classification, plagiarism detection, text summarization, and speech generation.
Handbook Of High Frequency Trading And Modeling In Finance
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Author : Ionut Florescu
language : en
Publisher: John Wiley & Sons
Release Date : 2016-04-05
Handbook Of High Frequency Trading And Modeling In Finance written by Ionut Florescu and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-04-05 with Business & Economics categories.
Reflecting the fast pace and ever-evolving nature of the financial industry, the Handbook of High-Frequency Trading and Modeling in Finance details how high-frequency analysis presents new systematic approaches to implementing quantitative activities with high-frequency financial data. Introducing new and established mathematical foundations necessary to analyze realistic market models and scenarios, the handbook begins with a presentation of the dynamics and complexity of futures and derivatives markets as well as a portfolio optimization problem using quantum computers. Subsequently, the handbook addresses estimating complex model parameters using high-frequency data. Finally, the handbook focuses on the links between models used in financial markets and models used in other research areas such as geophysics, fossil records, and earthquake studies. The Handbook of High-Frequency Trading and Modeling in Finance also features: • Contributions by well-known experts within the academic, industrial, and regulatory fields • A well-structured outline on the various data analysis methodologies used to identify new trading opportunities • Newly emerging quantitative tools that address growing concerns relating to high-frequency data such as stochastic volatility and volatility tracking; stochastic jump processes for limit-order books and broader market indicators; and options markets • Practical applications using real-world data to help readers better understand the presented material The Handbook of High-Frequency Trading and Modeling in Finance is an excellent reference for professionals in the fields of business, applied statistics, econometrics, and financial engineering. The handbook is also a good supplement for graduate and MBA-level courses on quantitative finance, volatility, and financial econometrics. Ionut Florescu, PhD, is Research Associate Professor in Financial Engineering and Director of the Hanlon Financial Systems Laboratory at Stevens Institute of Technology. His research interests include stochastic volatility, stochastic partial differential equations, Monte Carlo Methods, and numerical methods for stochastic processes. Dr. Florescu is the author of Probability and Stochastic Processes, the coauthor of Handbook of Probability, and the coeditor of Handbook of Modeling High-Frequency Data in Finance, all published by Wiley. Maria C. Mariani, PhD, is Shigeko K. Chan Distinguished Professor in Mathematical Sciences and Chair of the Department of Mathematical Sciences at The University of Texas at El Paso. Her research interests include mathematical finance, applied mathematics, geophysics, nonlinear and stochastic partial differential equations and numerical methods. Dr. Mariani is the coeditor of Handbook of Modeling High-Frequency Data in Finance, also published by Wiley. H. Eugene Stanley, PhD, is William Fairfield Warren Distinguished Professor at Boston University. Stanley is one of the key founders of the new interdisciplinary field of econophysics, and has an ISI Hirsch index H=128 based on more than 1200 papers. In 2004 he was elected to the National Academy of Sciences. Frederi G. Viens, PhD, is Professor of Statistics and Mathematics and Director of the Computational Finance Program at Purdue University. He holds more than two dozen local, regional, and national awards and he travels extensively on a world-wide basis to deliver lectures on his research interests, which range from quantitative finance to climate science and agricultural economics. A Fellow of the Institute of Mathematics Statistics, Dr. Viens is the coeditor of Handbook of Modeling High-Frequency Data in Finance, also published by Wiley.
Garch Models
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Author : Christian Francq
language : en
Publisher: John Wiley & Sons
Release Date : 2011-06-24
Garch Models written by Christian Francq and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-06-24 with Mathematics categories.
This book provides a comprehensive and systematic approach to understanding GARCH time series models and their applications whilst presenting the most advanced results concerning the theory and practical aspects of GARCH. The probability structure of standard GARCH models is studied in detail as well as statistical inference such as identification, estimation and tests. The book also provides coverage of several extensions such as asymmetric and multivariate models and looks at financial applications. Key features: Provides up-to-date coverage of the current research in the probability, statistics and econometric theory of GARCH models. Numerous illustrations and applications to real financial series are provided. Supporting website featuring R codes, Fortran programs and data sets. Presents a large collection of problems and exercises. This authoritative, state-of-the-art reference is ideal for graduate students, researchers and practitioners in business and finance seeking to broaden their skills of understanding of econometric time series models.
Handbook Of Economic Forecasting
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Author : Graham Elliott
language : en
Publisher: Newnes
Release Date : 2013-08-23
Handbook Of Economic Forecasting written by Graham Elliott and has been published by Newnes this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-08-23 with Business & Economics categories.
The highly prized ability to make financial plans with some certainty about the future comes from the core fields of economics. In recent years the availability of more data, analytical tools of greater precision, and ex post studies of business decisions have increased demand for information about economic forecasting. Volumes 2A and 2B, which follows Nobel laureate Clive Granger's Volume 1 (2006), concentrate on two major subjects. Volume 2A covers innovations in methodologies, specifically macroforecasting and forecasting financial variables. Volume 2B investigates commercial applications, with sections on forecasters' objectives and methodologies. Experts provide surveys of a large range of literature scattered across applied and theoretical statistics journals as well as econometrics and empirical economics journals. The Handbook of Economic Forecasting Volumes 2A and 2B provide a unique compilation of chapters giving a coherent overview of forecasting theory and applications in one place and with up-to-date accounts of all major conceptual issues. - Focuses on innovation in economic forecasting via industry applications - Presents coherent summaries of subjects in economic forecasting that stretch from methodologies to applications - Makes details about economic forecasting accessible to scholars in fields outside economics
Qfinance
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Author : Bloomsbury Publishing
language : en
Publisher: Bloomsbury Publishing
Release Date : 2014-11-20
Qfinance written by Bloomsbury Publishing and has been published by Bloomsbury Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-11-20 with Business & Economics categories.
QFINANCE: The Ultimate Resource (5th edition) is the first-step reference for the finance professional or student of finance. Its coverage and author quality reflect a fine blend of practitioner and academic expertise, whilst providing the reader with a thorough education in the may facets of finance.
Qfinance The Ultimate Resource 4th Edition
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Author : Bloomsbury Publishing
language : en
Publisher: A&C Black
Release Date : 2013-09-26
Qfinance The Ultimate Resource 4th Edition written by Bloomsbury Publishing and has been published by A&C Black this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-09-26 with Business & Economics categories.
QFINANCE: The Ultimate Resource (4th edition) offers both practical and thought-provoking articles for the finance practitioner, written by leading experts from the markets and academia. The coverage is expansive and in-depth, with key themes which include balance sheets and cash flow, regulation, investment, governance, reputation management, and Islamic finance encompassed in over 250 best practice and thought leadership articles. This edition will also comprise key perspectives on environmental, social, and governance (ESG) factors -- essential for understanding the long-term sustainability of a company, whether you are an investor or a corporate strategist. Also included: Checklists: more than 250 practical guides and solutions to daily financial challenges; Finance Information Sources: 200+ pages spanning 65 finance areas; International Financial Information: up-to-date country and industry data; Management Library: over 130 summaries of the most popular finance titles; Finance Thinkers: 50 biographies covering their work and life; Quotations and Dictionary.
Commodities
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Author : M. A. H. Dempster
language : en
Publisher: CRC Press
Release Date : 2015-11-05
Commodities written by M. A. H. Dempster and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-11-05 with Business & Economics categories.
Since a major source of income for many countries comes from exporting commodities, price discovery and information transmission between commodity futures markets are key issues for continued economic development.This book covers the fundamental theory of and derivatives pricing for major commodity markets as well as the interaction between commodi