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Financial modelling with forward-loo...

Aydın, Nadi Serhan.

Financial modelling with forward-looking informationan intuitive approach to asset pricing /

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Financial modelling with forward-looking informationby Nadi Serhan Aydın.
其他題名:	an intuitive approach to asset pricing /
作者:	Aydın, Nadi Serhan.
出版者:	Cham :Springer International Publishing :2017.
面頁冊數:	xvii, 98 p. :ill., digital ;24 cm.
Contained By:	Springer eBooks
標題:	Capital assets pricing model.
電子資源:	http://dx.doi.org/10.1007/978-3-319-57147-8
ISBN:	9783319571478$q(electronic bk.)

Financial modelling with forward-looking informationan intuitive approach to asset pricing /
Aydın, Nadi Serhan.

Financial modelling with forward-looking informationan intuitive approach to asset pricing /[electronic resource] :by Nadi Serhan Aydın. - Cham :Springer International Publishing :2017. - xvii, 98 p. :ill., digital ;24 cm. - Contributions to management science,1431-1941. - Contributions to management science..

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

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.

ISBN: 9783319571478$q(electronic bk.)

Standard No.: 10.1007/978-3-319-57147-8doiSubjects--Topical Terms:

187119
Capital assets pricing model.

LC Class. No.: HG4636

Dewey Class. No.: 332.632042

Financial modelling with forward-looking informationan intuitive approach to asset pricing /
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