Animal Spirits, Margin Requirements, and Stock Price Volatility PDF Download

Author: Paul H. Kupiec
Publisher:
ISBN:
Category : Margins (Security trading)
Languages : en
Pages : 44

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Book Description

Author: Andrew W. Lo
Publisher: University of Chicago Press
ISBN: 0226488497
Category : Business & Economics
Languages : en
Pages : 390

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Book Description
The regulation of financial markets has for years been the domain of lawyers, legislators, and lobbyists. In this unique volume, experts in industrial organization, finance, and law, as well as members of regulatory agencies and the securities industry, examine the securities industry from an economic viewpoint. Ten original essays address topics including electronic trading and the "virtual"stock exchange; trading costs and liquidity on the London and Tokyo Stock Exchanges and in the German and Japanese government bond markets; international coordination among regulatory agencies; and the impact of changing margin requirements on stock prices, volatility, and liquidity. This clear presentation of groundbreaking research will appeal to economists, lawyers, and legislators who seek a refreshingly new perspective on policy issues in the securities industry.

Author: Paul H. Kupiec
Publisher:
ISBN:
Category : Commodity exchanges
Languages : en
Pages : 62

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Book Description

Author: Paul H. Kupiec
Publisher:
ISBN:
Category : Margins (Futures trading)
Languages : en
Pages : 52

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Book Description

Author: Hans R. Stoll
Publisher: Springer Science & Business Media
ISBN: 1461557070
Category : Business & Economics
Languages : en
Pages : 143

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Book Description
Since the US stock market crashed on October 19, 1987, many studies have been conducted to learn from this experience in the hopes of avoiding a similarly adverse future fall. The book, originally published as a special issue of the Journal of Financial Services Research, considers some of the important policy adjustments that have been implemented in the wake of the 1987 crash. Taken separately and together, these five papers offer a synthesis and summary of the most important policy innovations that have evolved since the largest single-day decline in stock market history.

Author: Emilio Barucci
Publisher: Springer
ISBN: 1447173228
Category : Mathematics
Languages : en
Pages : 843

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Book Description
This work, now in a thoroughly revised second edition, presents the economic foundations of financial markets theory from a mathematically rigorous standpoint and offers a self-contained critical discussion based on empirical results. It is the only textbook on the subject to include more than two hundred exercises, with detailed solutions to selected exercises. Financial Markets Theory covers classical asset pricing theory in great detail, including utility theory, equilibrium theory, portfolio selection, mean-variance portfolio theory, CAPM, CCAPM, APT, and the Modigliani-Miller theorem. Starting from an analysis of the empirical evidence on the theory, the authors provide a discussion of the relevant literature, pointing out the main advances in classical asset pricing theory and the new approaches designed to address asset pricing puzzles and open problems (e.g., behavioral finance). Later chapters in the book contain more advanced material, including on the role of information in financial markets, non-classical preferences, noise traders and market microstructure. This textbook is aimed at graduate students in mathematical finance and financial economics, but also serves as a useful reference for practitioners working in insurance, banking, investment funds and financial consultancy. Introducing necessary tools from microeconomic theory, this book is highly accessible and completely self-contained. Advance praise for the second edition: "Financial Markets Theory is comprehensive, rigorous, and yet highly accessible. With their second edition, Barucci and Fontana have set an even higher standard!"Darrell Duffie, Dean Witter Distinguished Professor of Finance, Graduate School of Business, Stanford University "This comprehensive book is a great self-contained source for studying most major theoretical aspects of financial economics. What makes the book particularly useful is that it provides a lot of intuition, detailed discussions of empirical implications, a very thorough survey of the related literature, and many completely solved exercises. The second edition covers more ground and provides many more proofs, and it will be a handy addition to the library of every student or researcher in the field."Jaksa Cvitanic, Richard N. Merkin Professor of Mathematical Finance, Caltech "The second edition of Financial Markets Theory by Barucci and Fontana is a superb achievement that knits together all aspects of modern finance theory, including financial markets microstructure, in a consistent and self-contained framework. Many exercises, together with their detailed solutions, make this book indispensable for serious students in finance."Michel Crouhy, Head of Research and Development, NATIXIS

Author: Gregory Duffee
Publisher:
ISBN:
Category : Program trading (Securities)
Languages : en
Pages : 64

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Book Description

Author:
Publisher: Irwin Professional Publishing
ISBN:
Category : Business & Economics
Languages : en
Pages : 392

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Book Description

Author: Paul H. Kupiec
Publisher:
ISBN:
Category : Margins (Security trading)
Languages : en
Pages : 48

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Book Description

Author: James E Hartley
Publisher: Routledge
ISBN: 1134756801
Category : Business & Economics
Languages : en
Pages : 244

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Book Description
Rpresentative agent models have become a predominant means of studying the macroeconomy in modern economics without there being much discussion in the literature about their propriety or usefulness. This volume evaluates the use of these models in macroeconomics, examining the justifications for their use and concluding that representative agent models are neither a proper nor a particularly useful means of studying aggregate behaviour.