website statistics Asset Price Dynamics, Volatility, and Prediction - PDF Books Online
Hot Best Seller

Asset Price Dynamics, Volatility, and Prediction

Availability: Ready to download

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 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.


Compare

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 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.

32 review for Asset Price Dynamics, Volatility, and Prediction

  1. 5 out of 5

    Michael Gerstein

  2. 4 out of 5

    Anita Suurlaht Donaldson

  3. 5 out of 5

    Emilnejst

  4. 4 out of 5

    Brian

  5. 5 out of 5

    Tristan Froidure

  6. 4 out of 5

    Viet Nt

  7. 4 out of 5

    John

  8. 4 out of 5

    Daniel Probst

  9. 4 out of 5

    Valentin

  10. 4 out of 5

    James Chapman

  11. 5 out of 5

    BookDB

  12. 5 out of 5

    Dimitris

  13. 5 out of 5

    Notash

  14. 5 out of 5

    Cagan

  15. 5 out of 5

    Mats De

  16. 5 out of 5

    Joe

  17. 5 out of 5

    Kimon Mikroulis

  18. 5 out of 5

    Jon

  19. 5 out of 5

    Gershom Usman

  20. 4 out of 5

    Dasha Vlasava

  21. 4 out of 5

    Joana

  22. 5 out of 5

    Yoav

  23. 4 out of 5

    Bader Naser Alfadhli

  24. 4 out of 5

    Sergey Kochergan

  25. 5 out of 5

    Fazlul Chowdhury

  26. 4 out of 5

    Ka Bax

  27. 5 out of 5

    Fabian Hoyos

  28. 5 out of 5

    Enzo Altamiranda

  29. 5 out of 5

    Sami

  30. 5 out of 5

    Meseret

  31. 5 out of 5

    Cristian Molinari

  32. 5 out of 5

    Lucas Idargo

Add a review

Your email address will not be published. Required fields are marked *

Loading...
We use cookies to give you the best online experience. By using our website you agree to our use of cookies in accordance with our cookie policy.