Author: Andrew Ang Publisher: ISBN: Category : Economics Languages : en Pages : 0
Book Description
Regime switching models can match the tendency of financial markets to often change their behavior abruptly and the phenomenon that the new behavior of financial variables often persists for several periods after such a change. While the regimes captured by regime switching models are identified by an econometric procedure, they often correspond to different periods in regulation, policy, and other secular changes. In empirical estimates, the regime switching means, volatilities, autocorrelations, and cross-covariances of asset returns often differ across regimes, which allow regime switching models to capture the stylized behavior of many financial series including fat tails, heteroskedasticity, skewness, and time-varying correlations. In equilibrium models, regimes in fundamental processes, like consumption or dividend growth, strongly affect the dynamic properties of equilibrium asset prices and can induce non-linear risk-return trade-offs. Regime switches also lead to potentially large consequences for investors' optimal portfolio choice.
Author: Jun Chen Publisher: CRC Press ISBN: 1000220168 Category : Business & Economics Languages : en Pages : 165
Book Description
Based on interdisciplinary research into "Directional Change", a new data-driven approach to financial data analysis, Detecting Regime Change in Computational Finance: Data Science, Machine Learning and Algorithmic Trading applies machine learning to financial market monitoring and algorithmic trading. Directional Change is a new way of summarising price changes in the market. Instead of sampling prices at fixed intervals (such as daily closing in time series), it samples prices when the market changes direction ("zigzags"). By sampling data in a different way, this book lays out concepts which enable the extraction of information that other market participants may not be able to see. The book includes a Foreword by Richard Olsen and explores the following topics: Data science: as an alternative to time series, price movements in a market can be summarised as directional changes Machine learning for regime change detection: historical regime changes in a market can be discovered by a Hidden Markov Model Regime characterisation: normal and abnormal regimes in historical data can be characterised using indicators defined under Directional Change Market Monitoring: by using historical characteristics of normal and abnormal regimes, one can monitor the market to detect whether the market regime has changed Algorithmic trading: regime tracking information can help us to design trading algorithms It will be of great interest to researchers in computational finance, machine learning and data science. About the Authors Jun Chen received his PhD in computational finance from the Centre for Computational Finance and Economic Agents, University of Essex in 2019. Edward P K Tsang is an Emeritus Professor at the University of Essex, where he co-founded the Centre for Computational Finance and Economic Agents in 2002.
Author: Douglas J. Forsyth Publisher: Berghahn Books ISBN: 1789204003 Category : Political Science Languages : en Pages : 320
Book Description
During the 1930s and 1940s, and again in the 1970s and 1980s, most European nations, indeed most industrial nations, undertook major changes in macroeconomic policy orientation and financial regulation. The contributors to this volume, historians, political scientists, and economists, identify the forces which drove these major policy shifts, and explore their implications for other areas of economic and social policy.
Author: André Oliveira Santos Publisher: ISBN: Category : Languages : en Pages : 108
Book Description
This thesis focuses applications of GARCH and regime switching models to financial markets and contains four chapters. The second chapter allows different parameters in the GARCH process for different situations of volatility in financial markets. The data generating process for asset returns has a second moment that is time-varying, persistent and subject to suddent regime shifts. The third chapter identifies how regime-dependent stochastic trends in fundamentals affect the behavior of exchange rates given an exchange rate determination model. Big swings in exchange rates in the chapter are the result of stochastic trends in fundamentals if exchange rates are an endogenous variable in the economy. Finally, the fourth chapter tests the forward-looking rational expectations monetary model of exchange rate determination with present value models, in a VAR context and when the data generation process is subject to changes in regime.
Author: Philip G. Cerny Publisher: Edward Elgar Publishing ISBN: Category : Business & Economics Languages : en Pages : 264
Book Description
Focusing on the role of finance in the international political economy from an international relations and political science perspective, this work analyzes the economic and political reasons why financial markets have so rapidly become transnational.
Author: Benn Steil Publisher: Yale University Press ISBN: 0300156146 Category : Business & Economics Languages : en Pages : 301
Book Description
Winner of the 2010 Hayek Book Prize given by the Manhattan Institute "Money, Markets and Sovereignty is a surprisingly easy read, given the complicated issues covered. In it, Mr. Steil and Mr. Hinds consistently challenge today's statist nostrums."—Doug Bandow, The Washington Times In this keenly argued book, Benn Steil and Manuel Hinds offer the most powerful defense of economic liberalism since F. A. Hayek published The Road to Serfdom more than sixty years ago. The authors present a fascinating intellectual history of monetary nationalism from the ancient world to the present and explore why, in its modern incarnation, it represents the single greatest threat to globalization. Steil and Hinds describe the current state of international economic relations as both unusual and precarious. Eras of economic protectionism have historically coincided with monetary nationalism, while eras of liberal trade have been accompanied by a universal monetary standard. But today, the authors show, an unprecedentedly liberal global trade regime operates side by side with the most extreme doctrine of monetary nationalism ever contrived—a situation bound to trigger periodic crises. Steil and Hinds call for a revival of the political and economic thinking that underlay earlier great periods of globalization, thinking that is increasingly under threat by more recent ideas about what sovereignty means.
Author: Brian Kettell Publisher: Elsevier ISBN: 0080494633 Category : Business & Economics Languages : en Pages : 375
Book Description
Successful trading, speculating or simply making informed decisions about financial markets means it is essential to have a firm grasp of economics. Financial market behaviour revolves around economic concepts, however the majority of economic textbooks do not tell the full story.To fully understand the behaviour of financial markets it is essential to have a model that enables new information to be absorbed and analysed with some predictive implications. That model is provided by the business cycle. 'Economics for Financial Markets' takes the reader from the basics of financial market valuation to a more sophisticated understanding of the actions that traders take which ultimately drives the volatility in the financial markets. The author shows traders, investment managers, risk managers and finance professionals how to distil the flow of information and show what needs to be concentrated on, covering topics such as:* Why are financial markets subject to economic fashions?* How has the New Economy changed financial market behaviour? * Does the creation of the euro fundamentally change the behaviour of the currency markets?Shows how to distil the vast amount of information in financial markets and identify what is importantDemonstrates how the "New Economy" had changed financial market behaviourExplains how to follow the behaviour of central banks
Author: Shouyang Wang Publisher: Springer Science & Business Media ISBN: 3642559344 Category : Business & Economics Languages : en Pages : 260
Book Description
In our daily life, almost every family owns a portfolio of assets. This portfolio could contain real assets such as a car, or a house, as well as financial assets such as stocks, bonds or futures. Portfolio theory deals with how to form a satisfied portfolio among an enormous number of assets. Originally proposed by H. Markowtiz in 1952, the mean-variance methodology for portfolio optimization has been central to the research activities in this area and has served as a basis for the development of modem financial theory during the past four decades. Follow-on work with this approach has born much fruit for this field of study. Among all those research fruits, the most important is the capital asset pricing model (CAPM) proposed by Sharpe in 1964. This model greatly simplifies the input for portfolio selection and makes the mean-variance methodology into a practical application. Consequently, lots of models were proposed to price the capital assets. In this book, some of the most important progresses in portfolio theory are surveyed and a few new models for portfolio selection are presented. Models for asset pricing are illustrated and the empirical tests of CAPM for China's stock markets are made. The first chapter surveys ideas and principles of modeling the investment decision process of economic agents. It starts with the Markowitz criteria of formulating return and risk as mean and variance and then looks into other related criteria which are based on probability assumptions on future prices of securities.
Author: Andrew Ang
Author: Jun Chen
Author: Buhmsoo Choi
Author: Douglas J. Forsyth
Author: André Oliveira Santos
Author: Philip G. Cerny
Author: Benn Steil
Author: Brian Kettell
Author: Shouyang Wang
Author: Piet Sercu