eBook

Asset Price Dynamics, Volatility, and Prediction

Taylor, Stephen J

2011,2007,2005

Overview

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 Predictionis 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.

• Publisher: Princeton University Press,Princeton Univ. Press
• Subject: Approximation / Arbitrage / Asset pricing / Asymptotic distribution / Autocorrelation / Autoregressive conditional heteroskedasticity / BUSINESS & ECONOMICS / BUSINESS & ECONOMICS / Econometrics / BUSINESS & ECONOMICS / Finance / General / BUSINESS & ECONOMICS / Human Resources & Personnel Management / Calculation / Capital assets pricing model / Conditional expectation / Conditional probability distribution / Conditional variance / Cumulative distribution function / Currency / Discrete time and continuous time / Dividend / Econometrics / Economic dynamics / Economic forecasts / Economics / Efficient-market hypothesis / Estimation / Estimation theory / Excess Kurtosis / Exchange rate / Expected value / Finance / Finance -- Mathematical models / Financial economics / Forecasting / Forward price / Futures contract / Futures exchange / Geometric Brownian motion / Implied volatility / Independent and identically distributed random variables / Interest rate / Intraday Return / Investor / Kurtosis / Likelihood function / Likelihood-ratio test / Linear function / Logarithm / Market price / Mathematical models / Monte Carlo method / Normal distribution / Parameter / Percentage / Prediction / Price Change / Pricing / Probability / Probability distribution / Quantity / Random variable / Random walk hypothesis / Risk premium / S&P 100 / S&P 500 Index / Skewness / Special case / Standard deviation / Standard error / Stationary process / Statistic / Stochastic process / Stochastic volatility / Stock market / Stock market index / Summary statistics / Summation / Test statistic / Time series / Transaction cost / Valuation (finance) / Variable (mathematics) / Variance / Volatility / Volatility clustering / Wiener process
• ISBN: 1400839254, 9781400839254, 9780691134796, 9780691115375, 0691115370, 0691134790