Financial Modelling with Forward-looking Information [[electronic resource] ] : An Intuitive Approach to Asset Pricing / / by Nadi Serhan Aydın
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| Autore: |
Aydın Nadi Serhan
|
| Titolo: |
Financial Modelling with Forward-looking Information [[electronic resource] ] : An Intuitive Approach to Asset Pricing / / by Nadi Serhan Aydın
|
| 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 |
| ISBN: | 3-319-57147-8 |
| Formato: | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione: | Inglese |
| Record Nr.: | 9910255033803321 |
| Lo trovi qui: | Univ. Federico II |
| Opac: | Controlla la disponibilità qui |
Serie:
Contributions to Management Science, . 1431-1941