| 書目名稱 | Financial Modelling with Forward-looking Information |
| 副標(biāo)題 | An Intuitive Approac |
| 編輯 | Nadi Serhan Ayd?n |
| 視頻video | http://file.papertrans.cn/344/343130/343130.mp4 |
| 概述 | Presents a novel, intuitive and more fundamental approach to financial asset pricing.Includes numerical and explicit analyses as well as graphical illustrations to facilitate understanding.Explores th |
| 叢書名稱 | Contributions to Management Science |
| 圖書封面 |  |
| 描述 | 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. |
| 出版日期 | Book 2017 |
| 關(guān)鍵詞 | information flows; information-based pricing; random bridges; optimal strategy; dynamic programming; earn |
| 版次 | 1 |
| doi | https://doi.org/10.1007/978-3-319-57147-8 |
| isbn_softcover | 978-3-319-86087-9 |
| isbn_ebook | 978-3-319-57147-8Series ISSN 1431-1941 Series E-ISSN 2197-716X |
| issn_series | 1431-1941 |
| copyright | Springer International Publishing AG 2017 |
|Archiver|手機(jī)版|小黑屋|
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