國立高雄大學圖資館 |

Language: English

Back

Identifying stock market bubblesmode...

Karimov, Azar.

Identifying stock market bubblesmodeling illiquidity premium and bid-ask prices of financial securities /

Record Type:	Electronic resources : Monograph/item
Title/Author:	Identifying stock market bubblesby Azar Karimov.
Reminder of title:	modeling illiquidity premium and bid-ask prices of financial securities /
Author:	Karimov, Azar.
Published:	Cham :Springer International Publishing :2017.
Description:	xxi, 131 p. :ill., digital ;24 cm.
Contained By:	Springer eBooks
Subject:	Stock exchanges.
Online resource:	http://dx.doi.org/10.1007/978-3-319-65009-8
ISBN:	9783319650098$q(electronic bk.)

Identifying stock market bubblesmodeling illiquidity premium and bid-ask prices of financial securities /
Karimov, Azar.

Identifying stock market bubblesmodeling illiquidity premium and bid-ask prices of financial securities /[electronic resource] :by Azar Karimov. - Cham :Springer International Publishing :2017. - xxi, 131 p. :ill., digital ;24 cm. - Contributions to management science,1431-1941. - Contributions to management science..

Introduction -- Review on Research Conducted -- Theory of Conic Finance -- Stock Prices Follow a Brownian Motion -- Stock Prices Follow a Double Exponential Jump-Diffusion Model -- Numerical Implementation and Parameter Estimation Under Kou Model -- Illiquidity Premium and Connection with Financial Bubbles -- Conclusion and Future Outlook.

This book introduces readers to a new approach to identifying stock market bubbles by using the illiquidity premium, a parameter derived by employing conic finance theory. Further, it shows how to develop the closed form formulas of the bid and ask prices of European options by using Black-Scholes and Kou models. By using the derived formulas and sliding windows technique, the book explains how to numerically calculate illiquidity premiums. The methods introduced here will enable readers interested in risk management, portfolio optimization and hedging in real-time to identify when asset prices are in a bubble state and when that bubble bursts. Moreover, the techniques discussed will allow them to accurately recognize periods of exuberance and panic, and to measure how different strategies work during these phases with respect to calmer periods of market behavior. A brief history of financial bubbles and an outlook on future developments serve to round out the coverage.

ISBN: 9783319650098$q(electronic bk.)

Standard No.: 10.1007/978-3-319-65009-8doiSubjects--Topical Terms:

185899
Stock exchanges.

LC Class. No.: HG4551

Dewey Class. No.: 332.642

Identifying stock market bubblesmodeling illiquidity premium and bid-ask prices of financial securities /
LDR:02307nmm a2200301 a 4500 001 522212
003 DE-He213
005 20170929200930.0
006 m d
007 cr nn 008maaau
008 180521s2017 gw s 0 eng d
020 $a 9783319650098$q(electronic bk.)
020 $a 9783319650081$q(paper)
024 7 $a 10.1007/978-3-319-65009-8 $2 doi
035 $a 978-3-319-65009-8
040 $a GP $c GP
041 0 $a eng
050 4 $a HG4551
082 0 4 $a 332.642 $2 23
090 $a HG4551 $b .K18 2017
100 1 $a Karimov, Azar. $3 792698
245 1 0 $a Identifying stock market bubbles $h [electronic resource] : $b modeling illiquidity premium and bid-ask prices of financial securities / $c by Azar Karimov.
260 $a Cham : $b Springer International Publishing : $b Imprint: Springer, $c 2017.
300 $a xxi, 131 p. : $b ill., digital ; $c 24 cm.
490 1 $a Contributions to management science, $x 1431-1941
505 0 $a Introduction -- Review on Research Conducted -- Theory of Conic Finance -- Stock Prices Follow a Brownian Motion -- Stock Prices Follow a Double Exponential Jump-Diffusion Model -- Numerical Implementation and Parameter Estimation Under Kou Model -- Illiquidity Premium and Connection with Financial Bubbles -- Conclusion and Future Outlook.
520 $a This book introduces readers to a new approach to identifying stock market bubbles by using the illiquidity premium, a parameter derived by employing conic finance theory. Further, it shows how to develop the closed form formulas of the bid and ask prices of European options by using Black-Scholes and Kou models. By using the derived formulas and sliding windows technique, the book explains how to numerically calculate illiquidity premiums. The methods introduced here will enable readers interested in risk management, portfolio optimization and hedging in real-time to identify when asset prices are in a bubble state and when that bubble bursts. Moreover, the techniques discussed will allow them to accurately recognize periods of exuberance and panic, and to measure how different strategies work during these phases with respect to calmer periods of market behavior. A brief history of financial bubbles and an outlook on future developments serve to round out the coverage.
650 0 $a Stock exchanges. $3 185899
650 0 $a Financial security. $3 246403
650 0 $a Liquidity (Economics) $3 321761
650 0 $a Risk management. $3 174339
650 1 4 $a Finance. $3 183252
650 2 4 $a Operations Research/Decision Theory. $3 273963
650 2 4 $a Quantitative Finance. $3 274071
650 2 4 $a Macroeconomics/Monetary Economics/Financial Economics. $3 737439
650 2 4 $a Statistics for Business/Economics/Mathematical Finance/Insurance. $3 274062
650 2 4 $a Financial Engineering. $3 744568
710 2 $a SpringerLink (Online service) $3 273601
773 0 $t Springer eBooks
830 0 $a Contributions to management science. $3 557484
856 4 0 $u http://dx.doi.org/10.1007/978-3-319-65009-8
950 $a Economics and Finance (Springer-41170)