Author: Andrei SimonovPublisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
Learning and information production in financial markets
Author: Andrei SimonovInformation and Learning in Markets
Author: Xavier VivesPublisher: Princeton University Press
ISBN: 140082950X
Category : Business & Economics
Languages : en
Pages : 422
Book Description
The ways financial analysts, traders, and other specialists use information and learn from each other are of fundamental importance to understanding how markets work and prices are set. This graduate-level textbook analyzes how markets aggregate information and examines the impacts of specific market arrangements--or microstructure--on the aggregation process and overall performance of financial markets. Xavier Vives bridges the gap between the two primary views of markets--informational efficiency and herding--and uses a coherent game-theoretic framework to bring together the latest results from the rational expectations and herding literatures. Vives emphasizes the consequences of market interaction and social learning for informational and economic efficiency. He looks closely at information aggregation mechanisms, progressing from simple to complex environments: from static to dynamic models; from competitive to strategic agents; and from simple market strategies such as noncontingent orders or quantities to complex ones like price contingent orders or demand schedules. Vives finds that contending theories like informational efficiency and herding build on the same principles of Bayesian decision making and that "irrational" agents are not needed to explain herding behavior, booms, and crashes. As this book shows, the microstructure of a market is the crucial factor in the informational efficiency of prices. Provides the most complete analysis of the ways markets aggregate information Bridges the gap between the rational expectations and herding literatures Includes exercises with solutions Serves both as a graduate textbook and a resource for researchers, including financial analysts
Have Financial Markets Become More Informative?
Author: Jennie BaiPublisher:
ISBN: 9781457835698
Category :
Languages : en
Pages : 59
Book Description
The finance industry has grown, financial markets have become more liquid, and information technology allows arbitrageurs to trade faster than ever. But have market prices then become more informative? We use stock and bond prices to forecast earnings and find that the information content of market prices has not improved since 1960. We use a model with information acquisition and investment to link financial development, price informativeness, and allocational efficiency. As information costs fall, the predictable component of future earnings should rise and hence improve capital allocation and welfare. We find that this component has remained stable over the past 50 years. When we decompose price informativeness into real price efficiency and forecasting price efficiency, we find that both have remained stable.
Machine Learning and Data Sciences for Financial Markets
Author: Agostino CapponiPublisher: Cambridge University Press
ISBN: 1009034030
Category : Mathematics
Languages : en
Pages : 743
Book Description
Leveraging the research efforts of more than sixty experts in the area, this book reviews cutting-edge practices in machine learning for financial markets. Instead of seeing machine learning as a new field, the authors explore the connection between knowledge developed by quantitative finance over the past forty years and techniques generated by the current revolution driven by data sciences and artificial intelligence. The text is structured around three main areas: 'Interactions with investors and asset owners,' which covers robo-advisors and price formation; 'Risk intermediation,' which discusses derivative hedging, portfolio construction, and machine learning for dynamic optimization; and 'Connections with the real economy,' which explores nowcasting, alternative data, and ethics of algorithms. Accessible to a wide audience, this invaluable resource will allow practitioners to include machine learning driven techniques in their day-to-day quantitative practices, while students will build intuition and come to appreciate the technical tools and motivation for the theory.
OECD Sovereign Borrowing Outlook 2021
Author: OECDPublisher: OECD Publishing
ISBN: 9264852395
Category :
Languages : en
Pages : 94
Book Description
This edition of the OECD Sovereign Borrowing Outlook reviews developments in response to the COVID-19 pandemic for government borrowing needs, funding conditions and funding strategies in the OECD area.
Information Processing and Non-Bayesian Learning in Financial Markets
Author: Stefanie SchraederInformation Markets
Author: William WilhelmPublisher: Harvard Business Press
ISBN: 9781578512782
Category : Business & Economics
Languages : en
Pages : 219
Book Description
Information is power-and in financial markets that power has long belonged to intermediaries responsible for managing the exchange of information among clients. But now, technology has made information simultaneously and easily accessible to all through a simple Internet connection. Moreover, technology has codified many practices that once relied solely on human relationships and judgment, transforming the control of industry know-how and intellectual property, the structure of the financial markets, and ultimately, the makeup of the entire marketplace for information. In the midst of the so-called new economy, the evolution of financial markets provides a time-tested guide to how and why intermediaries and the information they work with are evolving along with technology. It also convincingly proves that these information intermediaries-or infomediaries, -will not soon be replaced. In Information Markets , finance industry experts William J. Wilhelm Jr. and Joseph D. Downing systematically explore the interplay between human capital and information technology in financial markets, and distill critical lessons for strategists in other information-rich businesses, including health care, law, entertainment, and publishing. The authors explain that technological advances have upset the delicate balance between an innovator's incentives for discovery (profiting from ideas) and the interests of society at large (information "wants to be free"). They provide a durable framework for understanding the tensions that arise in information-intensive markets, and how organizations adapt to these tensions in the face of continuous technological change. The authors also describe how intermediaries resolve coordination problems according to long-established economic rules and experience, explain how the evolution of the intermediary function will affect the enforcement of intellectual property rights, and identify new opportunities organizations can exploit to create value and fuel innovation. For any business dependent on information exchange, this timely book explains the vital role of the intermediary in today's global marketplace.
Information Systems for Global Financial Markets: Emerging Developments and Effects
Author: Yap, Alexander Y.Publisher: IGI Global
ISBN: 1613501633
Category : Computers
Languages : en
Pages : 437
Book Description
"This book offers focused research on the systems and technologies that provide intelligence and expertise to traders and investors and facilitate the agile ordering processes, networking, and regulation of global financial electronic markets"--Provided by publisher.
Banking and Trading
Author: Mr.Arnoud W.A. BootPublisher: International Monetary Fund
ISBN: 1475511213
Category : Business & Economics
Languages : en
Pages : 48
Book Description
We study the effects of a bank's engagement in trading. Traditional banking is relationship-based: not scalable, long-term oriented, with high implicit capital, and low risk (thanks to the law of large numbers). Trading is transactions-based: scalable, shortterm, capital constrained, and with the ability to generate risk from concentrated positions. When a bank engages in trading, it can use its ‘spare’ capital to profitablity expand the scale of trading. However, there are two inefficiencies. A bank may allocate too much capital to trading ex-post, compromising the incentives to build relationships ex-ante. And a bank may use trading for risk-shifting. Financial development augments the scalability of trading, which initially benefits conglomeration, but beyond some point inefficiencies dominate. The deepending of the financial markets in recent decades leads trading in banks to become increasingly risky, so that problems in managing and regulating trading in banks will persist for the foreseeable future. The analysis has implications for capital regulation, subsidiarization, and scope and scale restrictions in banking.
What Drives Financial Markets
Author: Brian KettellPublisher: Financial Times/Prentice Hall
ISBN:
Category : Business & Economics
Languages : en
Pages : 268
Book Description
Concentrates on an understanding of the economics that underlie this quest for value.