ENGLISH

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

By Nadi Serhan Aydın (auth.)

Book information

Publisher
Springer International Publishing
Year
2017
ISBN
978-3-319-57146-1, 978-3-319-57147-8
DOI
10.1007/978-3-319-57147-8
Language
english
Format
PDF
Filesize
3 MB (3241795 bytes)
Series
Contributions to Management Science
Edition
1
Pages
XVII, 98\111
Time added
2017-06-25 01:09:07
Financial Engineering;Operation Research/Decision

Description

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.

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