Asset price dynamics, volatility, and prediction

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...

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Bibliographic Details
Main Author:	Taylor, Stephen J
Format:	eBook Book Publication
Language:	English
Published:	Princeton, N.J Princeton University Press 2011
Edition:	STU - Student edition
Subjects:	Approximation Arbitrage Asset pricing Asymptotic distribution Autocorrelation Autoregressive conditional heteroskedasticity BUSINESS & ECONOMICS BUSINESS & ECONOMICS / Econometrics BUSINESS & ECONOMICS / Personal Finance / Investing BUSINESS & ECONOMICS / Finance / General BUSINESS &amp 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 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 Interest rate S&P 500 Index Kurtosis Standard error Efficient-market hypothesis Stochastic process Market price Conditional probability distribution Cumulative distribution function Conditional expectation Stock market index Intraday Return Currency Calculation Implied volatility Random variable Exchange rate Dividend Likelihood function Discrete time and continuous time Monte Carlo method Approximation Estimation Prediction Volatility clustering Asymptotic distribution Forecasting Random walk hypothesis Expected value Conditional variance Normal distribution Special case Summation S&P 100 Summary statistics Independent and identically distributed random variables Wiener process Probability distribution Variance Risk premium Autoregressive conditional heteroskedasticity Statistic Futures exchange Logarithm Skewness Pricing Stochastic volatility Standard deviation Likelihood-ratio test Stationary process Stock market Futures contract Test statistic Arbitrage Linear function Percentage Time series Estimation theory Probability Quantity Price Change Valuation (finance) Variable (mathematics) Excess Kurtosis Transaction cost Parameter Autocorrelation Geometric Brownian motion Investor Forward price
ISBN:	9780691134796, 9780691115375, 0691115370, 0691134790, 1400839254, 9781400839254
Online Access:	Get full text
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Summary:	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.
Bibliography:	Includes bibliographical references (p. [473]-501) and indexes SourceType-Books-1 ObjectType-Book-1 content type line 7
ISBN:	9780691134796 9780691115375 0691115370 0691134790 1400839254 9781400839254
DOI:	10.1515/9781400839254