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Financial Modelling with Forward-looking Information : An Intuitive Approach to Asset Pricing / / by Nadi Serhan Aydın



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Autore: Aydın Nadi Serhan Visualizza persona
Titolo: Financial Modelling with Forward-looking Information : An Intuitive Approach to Asset Pricing / / by Nadi Serhan Aydın Visualizza cluster
Pubblicazione: Cham : , : Springer International Publishing : , : Imprint : Springer, , 2017
Edizione: 1st ed. 2017.
Descrizione fisica: 1 online resource (XVII, 98 p. 25 illus., 24 illus. in color.)
Disciplina: 332.6
Soggetto topico: Financial engineering
Operations research
Decision making
Business enterprises—Finance
Economics, Mathematical 
Computer mathematics
Financial Engineering
Operations Research/Decision Theory
Business Finance
Quantitative Finance
Computational Mathematics and Numerical Analysis
Nota di bibliografia: Includes bibliographical references at the end of each chapters.
Nota di contenuto: Introduction -- The Signal-based Framework -- A Signal-based Heterogeneous Agent Network -- Putting Signal-based Model to Work -- Conclusion. .
Sommario/riassunto: 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.
Titolo autorizzato: Financial Modelling with Forward-looking Information  Visualizza cluster
ISBN: 3-319-57147-8
Formato: Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione: Inglese
Record Nr.: 9910255033803321
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Serie: Contributions to Management Science, . 1431-1941