Financial Modelling with Forward-looking Information An Intuitive Approach to Asset Pricing
Aus der Reihe
Contributions to Management Science
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- Hardcover
- Taschenbuch ausgewählt
- eBook
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Sprache:Englisch
Fr. 162.00
inkl. gesetzl. MwSt.,
Beschreibung
Produktdetails
Einband
Taschenbuch
Erscheinungsdatum
02.08.2018
Abbildungen
XVII, 25 illus., 24 illus. in color., schwarz-weiss Illustrationen, farbige Illustrationen
Verlag
SpringerSeitenzahl
98
Maße (L/B)
23.5/15.5 cm
Gewicht
192 g
Auflage
Softcover reprint of the original 1st ed. 2017
Sprache
Englisch
ISBN
978-3-319-86087-9
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.
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