Asset Price Dynamics, Volatility, and Prediction

Front Cover
Princeton University Press, Feb 11, 2011 - Business & Economics - 544 pages
0 Reviews

This book shows how current and recent market prices convey information about the probability distributions that govern future prices. Moving beyond purely theoretical models, Stephen Taylor applies methods supported by empirical research of equity and foreign exchange markets to show how daily and more frequent asset prices, and the prices of option contracts, can be used to construct and assess predictions about future prices, their volatility, and their probability distributions.

Stephen Taylor provides a comprehensive introduction to the dynamic behavior of asset prices, relying on finance theory and statistical evidence. He uses stochastic processes to define mathematical models for price dynamics, but with less mathematics than in alternative texts. The key topics covered include random walk tests, trading rules, ARCH models, stochastic volatility models, high-frequency datasets, and the information that option prices imply about volatility and distributions.

Asset Price Dynamics, Volatility, and Prediction is ideal for students of economics, finance, and mathematics who are studying financial econometrics, and will enable researchers to identify and apply appropriate models and methods. It will likewise be a valuable resource for quantitative analysts, fund managers, risk managers, and investors who seek realistic expectations about future asset prices and the risks to which they are exposed.

 

What people are saying - Write a review

We haven't found any reviews in the usual places.

Contents

1 Introduction
1
Foundations
7
Conditional Expected Returns
97
Volatility Processes
187
HighFrequency Methods
303
Inferences from Option Prices
351
Symbols
467
References
473
Author Index
503
Subject Index
513
Copyright

Other editions - View all

Common terms and phrases

About the author (2011)

Stephen J. Taylor is Professor of Finance at Lancaster University, England. He is the author of "Modelling Financial Time Series" and many influential articles about applications of financial econometrics.

Bibliographic information