Can I read Asset Price Dynamics, Volatility, and Prediction on EtoBox?

Asset Price Dynamics, Volatility, and Prediction by Stephen J. Taylor is a nonfiction available to read on EtoBox.

What is Asset Price Dynamics, Volatility, and Prediction about?

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. Stephen Taylor provides a comprehensive introduction to the dynamic behavior of asset prices, relying on finance theory and statistical evidence. He uses stochastic processes to define mathematical models for price dynamics, but with less mathematics than in alternative texts. The key topics covered include random walk tests, trading rules, ARCH models, stochastic volatility models, high-frequency datasets, and the information that option prices imply about volatility and distributions. Asset Price Dynamics, Volatility, and Prediction is ideal for students of economics, finance, and mathematics who are studying financial econometrics, and will enable researchers to identify and apply appropriate models

Who reads Asset Price Dynamics, Volatility, and Prediction?

Author

Stephen J. Taylor

Publisher

Princeton University Press

Published

2005

Language

EN

ISBN

9780691134796

Category

nonfiction

Subjects

Finance, Business, Economics