Financial Modelling with Forward-looking Information - An Intuitive Approach to Asset Pricing

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.

List of contents

Introduction.- The Signal-based Framework.- A Signal-based Heterogeneous Agent Network.- Putting Signal-based Model to Work.- Conclusion. 

Product details

• Authors: Nadi Serhan Aydin, Nadi Serhan Aydın
• Publisher: Springer, Berlin
• Languages: English
• Product format: Paperback / Softback
• Released: 01.01.2018
• EAN: 9783319860879
• ISBN: 978-3-31-986087-9
• No. of pages: 98
• Dimensions: 153 mm x 234 mm x 8 mm
• Weight: 192 g
• Illustrations: XVII, 98 p. 25 illus., 24 illus. in color.
• Series: Contributions to Management Science; Contributions to Management Science
• Subjects: Social sciences, law, business > Business > Business administration; Operations Research, B, Finance, Corporate Finance, Economics and Finance, Operations Research/Decision Theory, Operations Research and Decision Theory, Applications of Mathematics, Finance & accounting, Business Finance, Computational Mathematics and Numerical Analysis, Management decision making, Computer mathematics, Numerical analysis, Economics, Mathematical, Financial Engineering, Quantitative Finance, Operational research, Decision Making, Business enterprises—Finance