Financial Market Drift - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Financial Market Drift write by Lukas Menkhoff. This book was released on 2012-11-01. Financial Market Drift available in PDF, EPUB and Kindle. International financial markets play an increasingly important role. There can be no doubt that over the past twenty years the size of financial markets have grown at a faster pace than the size of the markets for goods and services. However, it is still unclear whether this is a desirable development. This book discusses the debate on the possible separation of the financial sector and real economy. The text makes use of established scientific research.
Financial Market Drift
Financial Market Drift - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Financial Market Drift write by Lukas Menkhoff. This book was released on 2012-12-06. Financial Market Drift available in PDF, EPUB and Kindle. International financial markets play an increasingly important role. There can be no doubt that over the past twenty years the size of financial markets have grown at a faster pace than the size of the markets for goods and services. However, it is still unclear whether this is a desirable development. This book discusses the debate on the possible separation of the financial sector and real economy. The text makes use of established scientific research.
The Statistical Mechanics of Financial Markets
The Statistical Mechanics of Financial Markets - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook The Statistical Mechanics of Financial Markets write by Johannes Voit. This book was released on 2013-06-29. The Statistical Mechanics of Financial Markets available in PDF, EPUB and Kindle. A careful examination of the interaction between physics and finance. It takes a look at the 100-year-long history of co-operation between the two fields and goes on to provide new research results on capital markets - taken from the field of statistical physics. The random walk model, well known in physics, is one good example of where the two disciplines meet. In the world of finance it is the basic model upon which the Black-Scholes theory of option pricing and hedging has been built. The underlying assumptions are discussed using empirical financial data and analogies to physical models such as fluid flows, turbulence, or superdiffusion. On this basis, new theories of derivative pricing and risk control can be formulated.
Agent-Based Modeling
Agent-Based Modeling - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Agent-Based Modeling write by Norman Ehrentreich. This book was released on 2007-10-30. Agent-Based Modeling available in PDF, EPUB and Kindle. This book reconciles the existence of technical trading with the Efficient Market Hypothesis. By analyzing a well-known agent-based model, the Santa Fe Institute Artificial Stock Market (SFI-ASM), it finds that when selective forces are weak, financial evolution cannot guarantee that only the fittest trading rules will survive. Its main contribution lies in the application of standard results from population genetics which have widely been neglected in the agent-based community.
The Drift Burst Hypothesis
The Drift Burst Hypothesis - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook The Drift Burst Hypothesis write by Kim Christensen. This book was released on 2018. The Drift Burst Hypothesis available in PDF, EPUB and Kindle. The drift burst hypothesis postulates the existence of short-lived locally explosive trends in the price paths of financial assets. The recent US equity and treasury flash crashes can be viewed as two high profile manifestations of such dynamics, but we argue that drift bursts of varying magnitude are an expected and regular occurrence in financial markets that can arise through established mechanisms of liquidity provision. We show how to build drift bursts into the continuous-time Itô semimartingale model, discuss the conditions required for the process to remain arbitrage-free, and propose a nonparametric test statistic that identifies drift bursts from noisy high-frequency data. We apply the test to demonstrate that drift bursts are a stylized fact of the price dynamics across equities, fixed income, currencies and commodities. Drift bursts occur once a week on average, and the majority of them are accompanied by subsequent price reversion and can thus be regarded as "flash crashes." The reversal is found to be stronger for negative drift bursts with large trading volume, which is consistent with endogenous demand for immediacy during market crashes.
