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Handbook of Financial Markets

Description

The models of portfolio selection and asset price dynamics in this volume seek to explain the market dynamics of asset prices. Presenting a range of analytical, empirical, and numerical techniques as well as several different modeling approaches, the authors depict the state of debate on the market selection hypothesis. By explicitly assuming the heterogeneity of investors, they present models that are descriptive and normative as well, making the volume useful for both finance theorists and financial practitioners.* Explains the market dynamics of asset prices, offering insights about asset management approaches * Assumes a heterogeneity of investors that yields descriptive and normative models of portfolio selections and asset pricing dynamics.

Keywords

quantitative finance asset price dynamics behavioral finance market microstructure theory perfect forecasting rules financial memes unbiased forecasting rule rational observational learning evolutionary finance temporary equilibrium map trend followers extrapolate future gross returns average order book rational overconfidence fundamentalist wealth share nonfundamental equilibria nth trade market selection hypothesis fundamental steady state endogenous amplification complex evolutionary systems global random attractor many trader types market impact function stable invariant measure

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