Financial Modelling with Forward-looking Information

An Intuitive Approach to Asset Pricing

Nadi Serhan Aydin Taal: Engels

Gebonden

€ 120,05

Afwijkende levertijd: 10-12 werkdagen
Financial Modelling with Forward-looking Information

Gebonden

€ 120,05

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This book focuses on modelling financial information flows and information-based asset pricing framework. After introducing the fundamental properties of the framework, it presents a short information-theoretic perspective with a view to quantifying the information content of financial signals, and links the present framework with the literature on asymmetric information and market microstructure by means of a dynamic, bipartite, heterogeneous agent network. Numerical and explicit analyses shed light on the effects of differential information and information acquisition on the allocation of profit and loss as well as the pace of fundamental price discovery. The dynamic programming method is used to seek an optimal strategy for utilizing superior information. Lastly, the book features an implementation of the present framework using real-world financial data.
ISBN
9783319571461
Vorm
Gebonden
Uitgever
Springer International Publishing AG
Druk
1e
Verschenen
01-01-2017
Taal
Engels
Pagina's
98 pp.
Genre
Literaire fictie
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