Market Time And Asset Price Movements

Author : Eric Ghysels
Publisher : Unknown
Page : 128 pages
File Size : 46,7 Mb
Release : 2012
Category : Electronic
ISBN : OCLC:1290778739

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Market Time and Asset Price Movements by Eric Ghysels Pdf

Subordinated stochastic processes, also called time deformed stochastic processes, have been proposed in a variety of contexts to describe asset price behavior. They are used when the movement of prices is tied to the number of market transactions, trading volume or the more elusive concept of information arrival. The aim of the paper is to present a comprehensive treatment of the stochastic process theory as well as the statistical inference of subordinated processes. Numerous applications in finance are provided to illustrate the use of the processes to model market behavior and asset returns.

Author : Eric Ghysels,Christian Gourieroux,Joanna Jasiak,Université de Montréal. Centre de recherche et développement en économique,CIRANO.
Publisher : Montréal : CIRANO
Page : 59 pages
File Size : 45,9 Mb
Release : 1995
Category : Electronic
ISBN : 2893822800

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Market Time and Asset Price Movements by Eric Ghysels,Christian Gourieroux,Joanna Jasiak,Université de Montréal. Centre de recherche et développement en économique,CIRANO. Pdf

Author : Eric Ghysels,Christian Gourieroux,Joanna Jasiak,CIRANO.,Université de Montréal. Département de sciences économiques
Publisher : Montréal : CIRANO
Page : 59 pages
File Size : 46,6 Mb
Release : 1995
Category : Electronic
ISBN : OCLC:247858074

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Market Time and Asset Price Movements : Theory and Estimation by Eric Ghysels,Christian Gourieroux,Joanna Jasiak,CIRANO.,Université de Montréal. Département de sciences économiques Pdf

Author : Ser-Huang Poon,Richard Stapleton
Publisher : OUP Oxford
Page : 156 pages
File Size : 44,5 Mb
Release : 2005-01-13
Category : Business & Economics
ISBN : 9780191533891

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Asset Pricing in Discrete Time by Ser-Huang Poon,Richard Stapleton Pdf

Relying on the existence, in a complete market, of a pricing kernel, this book covers the pricing of assets, derivatives, and bonds in a discrete time, complete markets framework. It is primarily aimed at advanced Masters and PhD students in finance. — Covers asset pricing in a single period model, deriving a simple complete market pricing model and using Stein's lemma to derive a version of the Capital Asset Pricing Model. — Looks more deeply into some of the utility determinants of the pricing kernel, investigating in particular the effect of non-marketable background risks on the shape of the pricing kernel. — Derives the prices of European-style contingent claims, in particular call options, in a one-period model; derives the Black-Scholes model assuming a lognormal distribution for the asset and a pricing kernel with constant elasticity, and emphasizes the idea of a risk-neutral valuation relationship between the price of a contingent claim on an asset and the underlying asset price. — Extends the analysis to contingent claims on assets with non-lognormal distributions and considers the pricing of claims when risk-neutral valuation relationships do not exist. — Expands the treatment of asset pricing to a multi-period economy, deriving prices in a rational expectations equilibrium. — Uses the rational expectations framework to analyse the pricing of forward and futures contracts on assets and derivatives. — Analyses the pricing of bonds given stochastic interest rates, and then uses this methodology to model the drift of forward rates, and as a special case the drift of the forward London Interbank Offer Rate in the LIBOR Market Model.

Author : John J. Murphy
Publisher : Penguin
Page : 576 pages
File Size : 53,9 Mb
Release : 1999-01-01
Category : Business & Economics
ISBN : 9781101659199

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Technical Analysis of the Financial Markets by John J. Murphy Pdf

John J. Murphy has now updated his landmark bestseller Technical Analysis of the Futures Markets, to include all of the financial markets. This outstanding reference has already taught thousands of traders the concepts of technical analysis and their application in the futures and stock markets. Covering the latest developments in computer technology, technical tools, and indicators, the second edition features new material on candlestick charting, intermarket relationships, stocks and stock rotation, plus state-of-the-art examples and figures. From how to read charts to understanding indicators and the crucial role technical analysis plays in investing, readers gain a thorough and accessible overview of the field of technical analysis, with a special emphasis on futures markets. Revised and expanded for the demands of today's financial world, this book is essential reading for anyone interested in tracking and analyzing market behavior.

Author : G.P. Dwyer,R.W. Hafer
Publisher : Springer Science & Business Media
Page : 206 pages
File Size : 51,5 Mb
Release : 2013-03-09
Category : Business & Economics
ISBN : 9789401578813

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The Stock Market: Bubbles, Volatility, and Chaos by G.P. Dwyer,R.W. Hafer Pdf

Gerald P. Dwyer, Jr. and R. W. Hafer The articles and commentaries included in this volume were presented at the Federal Reserve Bank of St. Louis' thirteenth annual economic policy conference, held on October 21-22, 1988. The conference focused on the behavior of asset market prices, a topic of increasing interest to both the popular press and to academic journals as the bull market of the 1980s continued. The events that transpired during October, 1987, both in the United States and abroad, provide an informative setting to test alter native theories. In assembling the papers presented during this conference, we asked the authors to explore the issue of asset pricing and financial market behavior from several vantages. Was the crash evidence of the bursting of a speculative bubble? Do we know enough about the work ings of asset markets to hazard an intelligent guess why they dropped so dramatically in such a brief time? Do we know enough to propose regulatory changes that will prevent any such occurrence in the future, or do we want to even if we can? We think that the articles and commentaries contained in this volume provide significant insight to inform and to answer such questions. The article by Behzad Diba surveys existing theoretical and empirical research on rational bubbles in asset prices.

Author : Greg N. Gregoriou
Publisher : CRC Press
Page : 654 pages
File Size : 43,5 Mb
Release : 2009-04-08
Category : Business & Economics
ISBN : 9781420099553

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Stock Market Volatility by Greg N. Gregoriou Pdf

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

Author : Abraham Lioui,Patrice Poncet
Publisher : Springer Science & Business Media
Page : 268 pages
File Size : 51,6 Mb
Release : 2005-12-06
Category : Business & Economics
ISBN : 9780387241067

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Dynamic Asset Allocation with Forwards and Futures by Abraham Lioui,Patrice Poncet Pdf

This book is an advanced text on the theory of forward and futures markets which aims at providing readers with a comprehensive knowledge of how prices are established and evolve in time, what optimal strategies one can expect the participants to follow, whether they pertain to arbitrage, speculation or hedging, what characterizes such markets and what major theoretical and practical differences distinguish futures from forward contracts. It should be of interest to students (MBAs majoring in finance with quantitative skills and PhDs in finance and financial economics), academics (both theoreticians and empiricists), practitioners, and regulators. Standard textbooks dealing with forward and futures markets generally focus on the description of the contracts, institutional details, and the effective (as opposed to theoretically optimal) use of these instruments by practitioners. The theoretical analysis is often reduced to the (undoubtedly important) cash-and-carry relationship and the computation of the simple, static, minimum variance hedge ratio. This book proposes an alternative approach of these markets from the perspective of dynamic asset allocation and asset pricing theory within an inter-temporal framework that is in line with what has been done many years ago for options markets.

Author : David G McMillan
Publisher : Springer
Page : 136 pages
File Size : 46,7 Mb
Release : 2017-11-30
Category : Business & Economics
ISBN : 9783319690087

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Predicting Stock Returns by David G McMillan Pdf

This book provides a comprehensive analysis of asset price movement. It examines different aspects of stock return predictability, the interaction between stock return and dividend growth predictability, the relationship between stocks and bonds, and the resulting implications for asset price movement. By contributing to our understanding of the factors that cause price movement, this book will be of benefit to researchers, practitioners and policy makers alike.

Author : Burton Gordon Malkiel
Publisher : W. W. Norton & Company
Page : 428 pages
File Size : 50,5 Mb
Release : 2007
Category : Business & Economics
ISBN : 0393062457

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A Random Walk Down Wall Street by Burton Gordon Malkiel Pdf

C.1 MEMORIAL GIFT. 03-28-2008. $29.95.

Author : Hsien-hsing Liao,Jianping Mei
Publisher : World Scientific
Page : 265 pages
File Size : 53,9 Mb
Release : 2003
Category : Business & Economics
ISBN : 9789812795618

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Asset Pricing by Hsien-hsing Liao,Jianping Mei Pdf

Real estate finance is a fast-developing area where top quality research is in great demand. In the US, the real estate market is worth about US$4 trillion, and the REITs market about US$200 billion; tens of thousands of real estate professionals are working in this area. The market overseas could be considerably larger, especially in Asia. Given the rapidly growing real estate securities industry, this book fills an important gap in current real estate research and teaching. It is an ideal reference for investment professionals as well as senior MBA and PhD students. Contents: Introduction: Real Estate Analysis in a Dynamic Risk Environment; The Predictability of Returns on Equity REITs and Their Co-Movement with Other Assets; The Predictability of Real Estate Returns and Market Timing; A Time-Varying Risk Analysis of Equity and Real Estate Markets in the US and Japan; Price Reversal, Transaction Costs, and Arbitrage Profits in Real Estate Securities Market; Bank Risk and Real Estate: An Asset Pricing Perspective; Assessing the OC Santa ClausOCO Approach to Asset Allocation: Implications for Commercial Real Estate Investment; The Time-Variation of Risk for Life Insurance Companies; The Return Distributions of Property Shares in Emerging Markets; Conditional Risk Premiums of Asian Real Estate Stocks; Institutional Factors and Real Estate Returns: A Cross-Country Study. Readership: Financial researchers, real estate investors and investment bankers, as well as senior MBA and PhD students."

Author : Stephen J. Taylor
Publisher : Princeton University Press
Page : 544 pages
File Size : 41,6 Mb
Release : 2011-02-11
Category : Business & Economics
ISBN : 9781400839254

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Asset Price Dynamics, Volatility, and Prediction by Stephen J. Taylor Pdf

This book shows how current and recent market prices convey information about the probability distributions that govern future prices. Moving beyond purely theoretical models, Stephen Taylor applies methods supported by empirical research of equity and foreign exchange markets to show how daily and more frequent asset prices, and the prices of option contracts, can be used to construct and assess predictions about future prices, their volatility, and their probability distributions. Stephen Taylor provides a comprehensive introduction to the dynamic behavior of asset prices, relying on finance theory and statistical evidence. He uses stochastic processes to define mathematical models for price dynamics, but with less mathematics than in alternative texts. The key topics covered include random walk tests, trading rules, ARCH models, stochastic volatility models, high-frequency datasets, and the information that option prices imply about volatility and distributions. Asset Price Dynamics, Volatility, and Prediction is ideal for students of economics, finance, and mathematics who are studying financial econometrics, and will enable researchers to identify and apply appropriate models and methods. It will likewise be a valuable resource for quantitative analysts, fund managers, risk managers, and investors who seek realistic expectations about future asset prices and the risks to which they are exposed.

Author : Thierry Foucault,Marco Pagano,Ailsa Röell
Publisher : Oxford University Press
Page : 587 pages
File Size : 43,8 Mb
Release : 2013-02-25
Category : Business & Economics
ISBN : 9780199324095

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Market Liquidity by Thierry Foucault,Marco Pagano,Ailsa Röell Pdf

The way in which securities are traded is very different from the idealized picture of a frictionless and self-equilibrating market offered by the typical finance textbook. Market Liquidity offers a more accurate and authoritative take on liquidity and price discovery. The authors start from the assumption that not everyone is present at all times simultaneously on the market, and that even the limited number of participants who are have quite diverse information about the security's fundamentals. As a result, the order flow is a complex mix of information and noise, and a consensus price only emerges gradually over time as the trading process evolves and the participants interpret the actions of other traders. Thus a security's actual transaction price may deviate from its fundamental value, as it would be assessed by a fully informed set of investors. This book takes these deviations seriously, and explains why and how they emerge in the trading process and are eventually eliminated. The authors draw on a vast body of theoretical insights and empirical findings on security price formation that have accumulated in the last thirty years, and have come to form a well-defined field within financial economics known as "market microstructure." Focusing on liquidity and price discovery, they analyze the tension between the two, pointing out that when price-relevant information reaches the market through trading pressure rather than through a public announcement, liquidity suffers. The book also confronts many puzzling phenomena in securities markets and uses the analytical tools and empirical methods of market microstructure to understand them. These include issues such as why liquidity changes over time, why large trades move prices up or down, and why these price changes are subsequently reversed, why we see concentration of securities trading, why some traders willingly disclose their intended trades while others hide them, and why we observe temporary deviations from arbitrage prices.

Author : Robert A. Jarrow
Publisher : Springer Nature
Page : 470 pages
File Size : 55,6 Mb
Release : 2021-07-30
Category : Business & Economics
ISBN : 9783030744106

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Continuous-Time Asset Pricing Theory by Robert A. Jarrow Pdf

Asset pricing theory yields deep insights into crucial market phenomena such as stock market bubbles. Now in a newly revised and updated edition, this textbook guides the reader through this theory and its applications to markets. The new edition features ​new results on state dependent preferences, a characterization of market efficiency and a more general presentation of multiple-factor models using only the assumptions of no arbitrage and no dominance. Taking an innovative approach based on martingales, the book presents advanced techniques of mathematical finance in a business and economics context, covering a range of relevant topics such as derivatives pricing and hedging, systematic risk, portfolio optimization, market efficiency, and equilibrium pricing models. For applications to high dimensional statistics and machine learning, new multi-factor models are given. This new edition integrates suicide trading strategies into the understanding of asset price bubbles, greatly enriching the overall presentation and further strengthening the book’s underlying theme of economic bubbles. Written by a leading expert in risk management, Continuous-Time Asset Pricing Theory is the first textbook on asset pricing theory with a martingale approach. Based on the author’s extensive teaching and research experience on the topic, it is particularly well suited for graduate students in business and economics with a strong mathematical background.

Author : P. Glabadanidis
Publisher : Springer
Page : 177 pages
File Size : 42,9 Mb
Release : 2015-07-15
Category : Business & Economics
ISBN : 9781137359834

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Market Timing and Moving Averages by P. Glabadanidis Pdf

There is a prevailing view among researchers and practitioners that abnormal risk-adjusted returns are an anomaly of financial market inefficiency. This outlook is misleading, since such returns only shed light on the imperfect models commonly used to measure and benchmark investment performance. In particular, using static asset pricing models to judge the performance of a dynamic investment strategy leads to flawed inferences when predicting market indicators. Market Timing and Moving Averages investigates the performance of moving average price indicators as a tactical asset allocation strategy. Glabadanidis provides a rationale for analyzing and testing the market timing and predictive power of any indicator based on past average prices and trading volume. He argues that certain trading strategies are best implemented as a dynamic asset allocation without selling short, in turn achieving the effect of an imperfect at-the-money protective put option. This work contains an empirical analysis of the performance of various versions of trading strategies based on simple moving averages.