Asset Price Dynamics, Volatility, and Prediction

Asset Price Dynamics, Volatility, and Prediction

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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.Methods for creating time series of market prices and returns to investors are described and illustrated in this chapter. 2.1 Introduction Any ... Both series contain one number for each trading day from January 1991 to December 2000 inclusive. These series were ... They are used to illustrate Excel calculations in Chapters 5, 7, 9, and 11. The stock picture ... There are 2531 index levels in this ten-year series, as there are no observations for Saturdays, Sundays, and holidays. Investorsanbsp;...

Title:Asset Price Dynamics, Volatility, and Prediction
Author: Stephen J. Taylor
Publisher:Princeton University Press - 2011-02-11

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