Forecasting Expected Returns In The Financial Markets

Author : Stephen Satchell
Publisher : Elsevier
Page : 299 pages
File Size : 50,8 Mb
Release : 2011-04-08
Category : Business & Economics
ISBN : 9780080550671

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Forecasting Expected Returns in the Financial Markets by Stephen Satchell Pdf

Forecasting returns is as important as forecasting volatility in multiple areas of finance. This topic, essential to practitioners, is also studied by academics. In this new book, Dr Stephen Satchell brings together a collection of leading thinkers and practitioners from around the world who address this complex problem using the latest quantitative techniques. *Forecasting expected returns is an essential aspect of finance and highly technical *The first collection of papers to present new and developing techniques *International authors present both academic and practitioner perspectives

Author : John L. Knight,Stephen Satchell
Publisher : Butterworth-Heinemann
Page : 428 pages
File Size : 49,5 Mb
Release : 2002
Category : Business & Economics
ISBN : 0750655151

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Forecasting Volatility in the Financial Markets by John L. Knight,Stephen Satchell Pdf

This text assumes that the reader has a firm grounding in the key principles and methods of understanding volatility measurement and builds on that knowledge to detail cutting edge modeling and forecasting techniques. It then uses a technical survey to explain the different ways to measure risk and define the different models of volatility and return.

Author : Stephen Satchell,John Knight
Publisher : Elsevier
Page : 432 pages
File Size : 46,9 Mb
Release : 2011-02-24
Category : Business & Economics
ISBN : 9780080471426

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Forecasting Volatility in the Financial Markets by Stephen Satchell,John Knight Pdf

This new edition of Forecasting Volatility in the Financial Markets assumes that the reader has a firm grounding in the key principles and methods of understanding volatility measurement and builds on that knowledge to detail cutting-edge modelling and forecasting techniques. It provides a survey of ways to measure risk and define the different models of volatility and return. Editors John Knight and Stephen Satchell have brought together an impressive array of contributors who present research from their area of specialization related to volatility forecasting. Readers with an understanding of volatility measures and risk management strategies will benefit from this collection of up-to-date chapters on the latest techniques in forecasting volatility. Chapters new to this third edition: * What good is a volatility model? Engle and Patton * Applications for portfolio variety Dan diBartolomeo * A comparison of the properties of realized variance for the FTSE 100 and FTSE 250 equity indices Rob Cornish * Volatility modeling and forecasting in finance Xiao and Aydemir * An investigation of the relative performance of GARCH models versus simple rules in forecasting volatility Thomas A. Silvey * Leading thinkers present newest research on volatility forecasting *International authors cover a broad array of subjects related to volatility forecasting *Assumes basic knowledge of volatility, financial mathematics, and modelling

Author : Tony Plummer
Publisher : Unknown
Page : 280 pages
File Size : 52,8 Mb
Release : 1989
Category : Business & Economics
ISBN : IND:30000022673739

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Forecasting Financial Markets by Tony Plummer Pdf

Takes the mystery out of financial markets by providing a straightforward analytical framework for trading. Offers a unifying rationale for technical analysis of markets, making it more of a science than ever before. Begins with a discussion of how emotional elements permeate economic and financial behaviors and how forecasters can remain independent from such behavior. The more reliable theories of natural systems and price pulse--continuously recurring price patterns--are introduced and examined in detail. The author shows analysts how to use these techniques to forecast price movement profile, extent, and timing of reversals, putting investors on the road to trading with minimum risk and maximum success.

Author : Jon Danielsson
Publisher : John Wiley & Sons
Page : 307 pages
File Size : 43,8 Mb
Release : 2011-04-20
Category : Business & Economics
ISBN : 9781119977117

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Financial Risk Forecasting by Jon Danielsson Pdf

Financial Risk Forecasting is a complete introduction to practical quantitative risk management, with a focus on market risk. Derived from the authors teaching notes and years spent training practitioners in risk management techniques, it brings together the three key disciplines of finance, statistics and modeling (programming), to provide a thorough grounding in risk management techniques. Written by renowned risk expert Jon Danielsson, the book begins with an introduction to financial markets and market prices, volatility clusters, fat tails and nonlinear dependence. It then goes on to present volatility forecasting with both univatiate and multivatiate methods, discussing the various methods used by industry, with a special focus on the GARCH family of models. The evaluation of the quality of forecasts is discussed in detail. Next, the main concepts in risk and models to forecast risk are discussed, especially volatility, value-at-risk and expected shortfall. The focus is both on risk in basic assets such as stocks and foreign exchange, but also calculations of risk in bonds and options, with analytical methods such as delta-normal VaR and duration-normal VaR and Monte Carlo simulation. The book then moves on to the evaluation of risk models with methods like backtesting, followed by a discussion on stress testing. The book concludes by focussing on the forecasting of risk in very large and uncommon events with extreme value theory and considering the underlying assumptions behind almost every risk model in practical use – that risk is exogenous – and what happens when those assumptions are violated. Every method presented brings together theoretical discussion and derivation of key equations and a discussion of issues in practical implementation. Each method is implemented in both MATLAB and R, two of the most commonly used mathematical programming languages for risk forecasting with which the reader can implement the models illustrated in the book. The book includes four appendices. The first introduces basic concepts in statistics and financial time series referred to throughout the book. The second and third introduce R and MATLAB, providing a discussion of the basic implementation of the software packages. And the final looks at the concept of maximum likelihood, especially issues in implementation and testing. The book is accompanied by a website - www.financialriskforecasting.com – which features downloadable code as used in the book.

Author : Jacques Lussier,Andrew Ang,Mark Carhart,Craig Bodenstab,Philip E. Tetlock,Warren Hatch,David Rapach
Publisher : CFA Institute Research Foundation
Page : 40 pages
File Size : 44,9 Mb
Release : 2016-10-10
Category : Business & Economics
ISBN : 9781944960094

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Portfolio Structuring and the Value of Forecasting by Jacques Lussier,Andrew Ang,Mark Carhart,Craig Bodenstab,Philip E. Tetlock,Warren Hatch,David Rapach Pdf

Author : Jimmy Shadbolt
Publisher : Springer Science & Business Media
Page : 273 pages
File Size : 43,5 Mb
Release : 2012-12-06
Category : Computers
ISBN : 9781447101512

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Neural Networks and the Financial Markets by Jimmy Shadbolt Pdf

This volume looks at financial prediction from a broad range of perspectives. It covers: - the economic arguments - the practicalities of the markets - how predictions are used - how predictions are made - how predictions are turned into something usable (asset locations) It combines a discussion of standard theory with state-of-the-art material on a wide range of information processing techniques as applied to cutting-edge financial problems. All the techniques are demonstrated with real examples using actual market data, and show that it is possible to extract information from very noisy, sparse data sets. Aimed primarily at researchers in financial prediction, time series analysis and information processing, this book will also be of interest to quantitative fund managers and other professionals involved in financial prediction.

Author : Anonim
Publisher : Unknown
Page : 128 pages
File Size : 51,5 Mb
Release : 1997
Category : Electronic
ISBN : OCLC:249239012

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Forecasting financial markets ... by Anonim Pdf

Author : Arthur Ritter
Publisher : GRIN Verlag
Page : 15 pages
File Size : 52,5 Mb
Release : 2015-05-27
Category : Business & Economics
ISBN : 9783656968924

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Stock Return Predictability by Arthur Ritter Pdf

Research Paper (postgraduate) from the year 2015 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 17 (1,3), University of St Andrews (School of Management), course: Investment and Portfolio Management, language: English, abstract: Empirical evidence of stock return predictability obtained by financial ratios or macroeconomic factors has received substantial attention and remains a controversial topic to date. This is no surprise given that the existence of return predictability is not only of interest to practitioners but also introduces severe implications for financial models of risk and return. Founded on the assumption of efficient capital markets, research on capital asset pricing models has instigated this emergence of stock return predictability factors. Analysing these factors categorically, this paper will provide a balanced discussion of advocates as well as sceptics of stock return predictability. This essay will commence by firstly outlining the fundamental assumptions of an efficient capital market and its implications for return predictability. Subsequently, a thorough focus will be placed on the most significant predictability factors, including fundamental financial ratios and macroeconomic indicators as well as the validity of sampling methods used to attain return forecasts. Lastly this essay will reflect on the findings while proposing areas of further research.

Author : Tony Plummer
Publisher : Kogan Page
Page : 0 pages
File Size : 48,8 Mb
Release : 2008
Category : BUSINESS & ECONOMICS
ISBN : 0749452269

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Forecasting Financial Markets by Tony Plummer Pdf

Plummer provides an in-depth assessment of the phenomenon of cycles and patterns of economic and financial activity in order to make money in the world's financial markets.

Author : Eduard Jan Bomhoff
Publisher : Unknown
Page : 242 pages
File Size : 42,7 Mb
Release : 1994
Category : Business forecasting
ISBN : UOM:35128001716446

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Financial Forecasting for Business and Economics by Eduard Jan Bomhoff Pdf

This text summarizes the important new thinking on financial market forecasting and on the statistical modeling of non-stationary series in a clear and readable manner. The emphasis throughout is on real-life examples using data from a wide variety of countries and sources.

Author : John Y. Campbell,Andrew W. Lo,A. Craig MacKinlay
Publisher : Princeton University Press
Page : 630 pages
File Size : 48,5 Mb
Release : 2012-06-28
Category : Business & Economics
ISBN : 9781400830213

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The Econometrics of Financial Markets by John Y. Campbell,Andrew W. Lo,A. Craig MacKinlay Pdf

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.

Author : Antti Ilmanen
Publisher : John Wiley & Sons
Page : 102 pages
File Size : 45,8 Mb
Release : 2011-04-20
Category : Business & Economics
ISBN : 9781119990772

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Expected Returns by Antti Ilmanen Pdf

This comprehensive reference delivers a toolkit for harvesting market rewards from a wide range of investments. Written by a world-renowned industry expert, the reference discusses how to forecast returns under different parameters. Expected returns of major asset classes, investment strategies, and the effects of underlying risk factors such as growth, inflation, liquidity, and different risk perspectives, are also explained. Judging expected returns requires balancing historical returns with both theoretical considerations and current market conditions. Expected Returns provides extensive empirical evidence, surveys of risk-based and behavioral theories, and practical insights.

Author : John B. Guerard, Jr.
Publisher : Springer Science & Business Media
Page : 236 pages
File Size : 51,7 Mb
Release : 2013-01-04
Category : Business & Economics
ISBN : 9781461452393

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Introduction to Financial Forecasting in Investment Analysis by John B. Guerard, Jr. Pdf

Forecasting—the art and science of predicting future outcomes—has become a crucial skill in business and economic analysis. This volume introduces the reader to the tools, methods, and techniques of forecasting, specifically as they apply to financial and investing decisions. With an emphasis on "earnings per share" (eps), the author presents a data-oriented text on financial forecasting, understanding financial data, assessing firm financial strategies (such as share buybacks and R&D spending), creating efficient portfolios, and hedging stock portfolios with financial futures. The opening chapters explain how to understand economic fluctuations and how the stock market leads the general economic trend; introduce the concept of portfolio construction and how movements in the economy influence stock price movements; and introduce the reader to the forecasting process, including exponential smoothing and time series model estimations. Subsequent chapters examine the composite index of leading economic indicators (LEI); review financial statement analysis and mean-variance efficient portfolios; and assess the effectiveness of analysts’ earnings forecasts. Using data from such firms as Intel, General Electric, and Hitachi, Guerard demonstrates how forecasting tools can be applied to understand the business cycle, evaluate market risk, and demonstrate the impact of global stock selection modeling and portfolio construction.

Author : Sundaresh Ramnath,Steve Rock,Philip B. Shane
Publisher : Now Publishers Inc
Page : 125 pages
File Size : 40,8 Mb
Release : 2008
Category : Business & Economics
ISBN : 9781601981622

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Financial Analysts' Forecasts and Stock Recommendations by Sundaresh Ramnath,Steve Rock,Philip B. Shane Pdf

Financial Analysts' Forecasts and Stock Recommendations reviews research related to the role of financial analysts in the allocation of resources in capital markets. The authors provide an organized look at the literature, with particular attention to important questions that remain open for further research. They focus research related to analysts' decision processes and the usefulness of their forecasts and stock recommendations. Some of the major surveys were published in the early 1990's and since then no less than 250 papers related to financial analysts have appeared in the nine major research journals that we used to launch our review of the literature. The research has evolved from descriptions of the statistical properties of analysts' forecasts to investigations of the incentives and decision processes that give rise to those properties. However, in spite of this broader focus, much of analysts' decision processes and the market's mechanism of drawing a useful consensus from the combination of individual analysts' decisions remain hidden in a black box. What do we know about the relevant valuation metrics and the mechanism by which analysts and investors translate forecasts into present equity values? What do we know about the heuristics relied upon by analysts and the market and the appropriateness of their use? Financial Analysts' Forecasts and Stock Recommendations examines these and other questions and concludes by highlighting area for future research.