Téléchargez le livre : Financial Modelling with Forward-looking Information

Financial Modelling with Forward-looking Information

An Intuitive Approach to Asset Pricing de

Éditeur :

Springer


Collection :

Contributions to Management Science

Paru le : 2017-06-12

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Description
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.
Pages
98 pages
Collection
Contributions to Management Science
Parution
2017-06-12
Marque
Springer
EAN papier
9783319571461
EAN PDF
9783319571478
Informations sur l'ebook
Nombre pages copiables
0
Nombre pages imprimables
9
Taille du fichier
3164 Ko
Prix
116,04 €
EAN EPUB
9783319571478
Informations sur l'ebook
Nombre pages copiables
0
Nombre pages imprimables
9
Taille du fichier
1833 Ko
Prix
116,04 €

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