Financial Modelling with Forward-looking Information

An Intuitive Approach to Asset Pricing
1. Auflage 2017
ISBN: 978-3-319-57146-1
Verlag: Springer

Buch, Englisch, 98 Seiten, Format (B × H): 155 mm x 235 mm, Gewicht: 371 g

Reihe: Contributions to Management Science

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.

Zielgruppe

Research

Autoren/Hrsg.

Aydin, Nadi Serhan

Fachgebiete

• Wirtschaftswissenschaften Betriebswirtschaft Unternehmensfinanzen
• Mathematik | Informatik Mathematik Mathematik Interdisziplinär Finanz- und Versicherungsmathematik
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Anlagen & Wertpapiere
• Wirtschaftswissenschaften Betriebswirtschaft Unternehmensforschung
• Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen
• Wirtschaftswissenschaften Betriebswirtschaft Wirtschaftsmathematik und -statistik

Inhaltsverzeichnis

Introduction.- The Signal-based Framework.- A Signal-based Heterogeneous Agent Network.- Putting Signal-based Model to Work.- Conclusion.

Über Autor(innen)

Dr. Nadi Serhan Aydin, FRM, is a graduate of the Institute of Applied Mathematics at Middle East Technical University and a lecturer at TED University in Ankara, Turkey. Formerly, he was a research fellow at Imperial College London and served as a senior research economist in an intergovernmental organization. His research interest lies in financial mathematics, risk management, stochastic & digital filtering, market microstructure, and frequency-domain analysis.