Author: Sirn Byung KimPublisher:
ISBN:
Category :
Languages : en
Pages : 204
Book Description
Positive Feedback Traders with Very Long Memories in the Stock Market
Author: Sirn Byung KimFinancial Markets Theory
Author: Emilio BarucciPublisher: Springer
ISBN: 1447173228
Category : Mathematics
Languages : en
Pages : 843
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
The Influence of Positive Feedback Trading on Return Autocorrelation
Author: Martin T. BohlDissertation Abstracts International
Author: Publisher:
ISBN:
Category : Dissertations, Academic
Languages : en
Pages : 594
Book Description
Stock Market Volatility
Author: Greg N. GregoriouPublisher: CRC Press
ISBN: 1420099558
Category : Business & Economics
Languages : en
Pages : 654
Book Description
Up-to-Date Research Sheds New Light on This Area Taking into account the ongoing worldwide financial crisis, Stock Market Volatility provides insight to better understand volatility in various stock markets. This timely volume is one of the first to draw on a range of international authorities who offer their expertise on market volatility in devel
The Econometrics of Financial Markets
Author: John Y. CampbellPublisher: Princeton University Press
ISBN: 1400830214
Category : Business & Economics
Languages : en
Pages : 630
Book Description
The past twenty years have seen an extraordinary growth in the use of quantitative methods in financial markets. Finance professionals now routinely use sophisticated statistical techniques in portfolio management, proprietary trading, risk management, financial consulting, and securities regulation. This graduate-level textbook is intended for PhD students, advanced MBA students, and industry professionals interested in the econometrics of financial modeling. The book covers the entire spectrum of empirical finance, including: the predictability of asset returns, tests of the Random Walk Hypothesis, the microstructure of securities markets, event analysis, the Capital Asset Pricing Model and the Arbitrage Pricing Theory, the term structure of interest rates, dynamic models of economic equilibrium, and nonlinear financial models such as ARCH, neural networks, statistical fractals, and chaos theory. Each chapter develops statistical techniques within the context of a particular financial application. This exciting new text contains a unique and accessible combination of theory and practice, bringing state-of-the-art statistical techniques to the forefront of financial applications. Each chapter also includes a discussion of recent empirical evidence, for example, the rejection of the Random Walk Hypothesis, as well as problems designed to help readers incorporate what they have read into their own applications.
Journal of Economic Literature
Author: Strategic Analysis Of Financial Markets, The (In 2 Volumes)
Author: Steven D MoffittPublisher: World Scientific Publishing Company
ISBN: 9813143770
Category : Business & Economics
Languages : en
Pages : 1119
Book Description
Volume 1 of 'The Strategic Analysis of Financial Markets,' — Framework, is premised on the belief that markets can be understood only by dropping the assumptions of rationality and efficient markets in their extreme forms, and showing that markets still have an inherent order and inherent logic. But that order results primarily from the 'predictable irrationality' of investors, as well as from people's uncoordinated attempts to profit. The market patterns that result do not rely on rationality or efficiency.A framework is developed for understanding financial markets using a combination of psychology, statistics, game and gambling analysis, market history and the author's experience. It expresses analytically how professional investors and traders think about markets — as games in which other participants employ inferior, partially predictable strategies. Those strategies' interactions can be toxic and lead to booms, bubbles, busts and crashes, or can be less dramatic, leading to various patterns that are mistakenly called 'market inefficiencies' and 'stylized facts.'A logical case is constructed, starting from two foundations, the psychology of human decision making and the 'Fundamental Laws of Gambling.' Applying the Fundamental Laws to trading leads to the idea of 'gambling rationality' (grationality), replacing the efficient market's concept of 'rationality.' By classifying things that are likely to have semi-predictable price impacts (price 'distorters'), one can identify, explore through data analysis, and create winning trading ideas and systems. A structured way of doing all this is proposed: the six-step 'Strategic Analysis of Market Method.' Examples are given in this and Volume 2.Volume 2 of 'The Strategic Analysis of Financial Markets' — Trading System Analytics, continues the development of Volume 1 by introducing tools and techniques for developing trading systems and by illustrating them using real markets. The difference between these two Volumes and the rest of the literature is its rigor. It describes trading as a form of gambling that when properly executed, is quite logical, and is well known to professional gamblers and analytical traders.But even those elites might be surprised at the extent to which quantitative methods have been justified and applied, including a life cycle theory of trading systems. Apart from a few sections that develop background material, Volume 2 creates from scratch a trading system for Eurodollar futures using principles of the Strategic Analysis of Markets Method (SAMM), a principled, step-by-step approach to developing profitable trading systems. It has an entire Chapter on mechanical methods for testing and improvement of trading systems, which transcends the rather unstructured and unsatisfactory 'backtesting' literature. It presents a breakout trend following system developed using factor models. It also presents a specific pairs trading system, and discusses its life cycle from an early, highly profitable period to its eventual demise. Recent developments in momentum trading and suggestions on improvements are also discussed.
Agent-Mediated Electronic Commerce. Designing Trading Strategies and Mechanisms for Electronic Markets
Author: Esther DavidPublisher: Springer
ISBN: 3642348890
Category : Computers
Languages : en
Pages : 139
Book Description
This volume contains ten thoroughly refereed and revised papers detailing recent advances in research on designing trading agents and mechanisms for agent-mediated e-commerce. They were originally presented at the 13th International Workshop on Agent-Mediated Electronic Commerce (AMEC 2011), collocated with AAMAS 2011 in Taipei, Taiwan, or at the 2011 Workshop on Trading Agent Design and Analysis (TADA 2011), collocated with IJCAI 2011 in Barcelona, Spain. The papers presented at these two workshops illustrate both the depth and broad range of research topics in this field. They range from providing solutions to open theoretical problems in online scheduling and bargaining under uncertainty, to designing bidding agents in a wide area of application areas, such as electronic commerce, supply chain management, or keyword advertising, to designing agents that can successfully replicate actual human behaviors in realistic games.
Models and Applications of Chaos Theory in Modern Sciences
Author: Elhadj ZeraouliaPublisher: CRC Press
ISBN: 1439883408
Category : Mathematics
Languages : en
Pages : 742
Book Description
This book presents a select group of papers that provide a comprehensive view of the models and applications of chaos theory in medicine, biology, ecology, economy, electronics, mechanical, and the human sciences. Covering both the experimental and theoretical aspects of the subject, it examines a range of current topics of interest. It consid