Handbook of Financial Markets: Dynamics and Evolution
Thorsten Hens, Klaus Reiner Schenk-Hoppe
Elsevier, Jun 12, 2009 - Business & Economics - 608 pages
The models of portfolio selection and asset price dynamics in this volume seek to explain the market dynamics of asset prices. Presenting a range of analytical, empirical, and numerical techniques as well as several different modeling approaches, the authors depict the state of debate on the market selection hypothesis. By explicitly assuming the heterogeneity of investors, they present models that are descriptive and normative as well, making the volume useful for both finance theorists and financial practitioners.
* Explains the market dynamics of asset prices, offering insights about asset management approaches
* Assumes a heterogeneity of investors that yields descriptive and normative models of portfolio selections and asset pricing dynamics
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aggregate analysis asset prices asset-pricing assume assumption autocorrelation average behavior behavioral finance bifurcation chartists Chiarella conditional convergence correlation deviation discussed distribution dividend empirical endogenous equilibrium evolutionary finance example fat tails Figure financial markets fluctuations forecasting rule function fundamental price fundamental value fundamentalists growth rate herd behavior herding heterogeneous beliefs hidden order Hommes individual information cascades interaction investment strategies investors Journal of Economic Journal of Finance Kelly Rule Kurz limit order linear liquidity Lyapunov exponents market belief market impact market maker market orders market-clearing noise traders nonlinear observed optimal order book order flow parameter payoff portfolio predictions price changes price dynamics private information probability random random dynamical systems rational expectations returns Review risk risky asset Schenk-Hopp´e Section simulation stable stochastic stock market stylized facts switching Theorem theory trading trend followers types variables volatility volume wealth share Wenzelburger