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| Author | : Stephen Satchell |
| Publisher | : Elsevier |
| Total Pages | : 299 |
| Release | : 2011-04-08 |
| Genre | : Business & Economics |
| ISBN | : 0080550673 |
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Forecasting returns is as important as forecasting volatility in multiple areas of finance. This topic, essential to practitioners, is also studied by academics. In this new book, Dr Stephen Satchell brings together a collection of leading thinkers and practitioners from around the world who address this complex problem using the latest quantitative techniques. *Forecasting expected returns is an essential aspect of finance and highly technical *The first collection of papers to present new and developing techniques *International authors present both academic and practitioner perspectives
| Author | : Stephen Satchell |
| Publisher | : Elsevier |
| Total Pages | : 432 |
| Release | : 2011-02-24 |
| Genre | : Business & Economics |
| ISBN | : 0080471420 |
Download Forecasting Volatility in the Financial Markets Book in PDF, ePub and Kindle
This new edition of Forecasting Volatility in the Financial Markets assumes that the reader has a firm grounding in the key principles and methods of understanding volatility measurement and builds on that knowledge to detail cutting-edge modelling and forecasting techniques. It provides a survey of ways to measure risk and define the different models of volatility and return. Editors John Knight and Stephen Satchell have brought together an impressive array of contributors who present research from their area of specialization related to volatility forecasting. Readers with an understanding of volatility measures and risk management strategies will benefit from this collection of up-to-date chapters on the latest techniques in forecasting volatility. Chapters new to this third edition: * What good is a volatility model? Engle and Patton * Applications for portfolio variety Dan diBartolomeo * A comparison of the properties of realized variance for the FTSE 100 and FTSE 250 equity indices Rob Cornish * Volatility modeling and forecasting in finance Xiao and Aydemir * An investigation of the relative performance of GARCH models versus simple rules in forecasting volatility Thomas A. Silvey * Leading thinkers present newest research on volatility forecasting *International authors cover a broad array of subjects related to volatility forecasting *Assumes basic knowledge of volatility, financial mathematics, and modelling
| Author | : John Knight |
| Publisher | : Butterworth-Heinemann |
| Total Pages | : 376 |
| Release | : 1998 |
| Genre | : Business forecasting |
| ISBN | : |
Download Forecasting Volatility in the Financial Markets Book in PDF, ePub and Kindle
An aid to understanding the significance of volatility in the financial market, this text details modelling/forecasting techniques and uses a technical survey to define the models of volatility and return and explain the ways to measure risk. Applications in the financial markets are then detailed.
| Author | : Tony Plummer |
| Publisher | : |
| Total Pages | : 280 |
| Release | : 1989 |
| Genre | : Business & Economics |
| ISBN | : |
Download Forecasting Financial Markets Book in PDF, ePub and Kindle
Takes the mystery out of financial markets by providing a straightforward analytical framework for trading. Offers a unifying rationale for technical analysis of markets, making it more of a science than ever before. Begins with a discussion of how emotional elements permeate economic and financial behaviors and how forecasters can remain independent from such behavior. The more reliable theories of natural systems and price pulse--continuously recurring price patterns--are introduced and examined in detail. The author shows analysts how to use these techniques to forecast price movement profile, extent, and timing of reversals, putting investors on the road to trading with minimum risk and maximum success.
| Author | : Tony Plummer |
| Publisher | : Kogan Page Publishers |
| Total Pages | : 408 |
| Release | : 2003 |
| Genre | : Business & Economics |
| ISBN | : 9780749439392 |
Download Forecasting Financial Markets Book in PDF, ePub and Kindle
The ability to make money in financial markets depends most critically on an individual's ability to make decisions independent of the crowd, argues Plummer. He shows how to recognise crowd-influenced patterns and over-ride them.
| Author | : Christian Dunis |
| Publisher | : |
| Total Pages | : 626 |
| Release | : 2006 |
| Genre | : |
| ISBN | : |
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| Author | : John Crombez |
| Publisher | : |
| Total Pages | : 29 |
| Release | : 2001 |
| Genre | : |
| ISBN | : |
Download Updating Expected Returns Based on Consensus Forecasts Book in PDF, ePub and Kindle
Investor behavior can explain to some extent the stock market anomalies from a psychological viewpoint. Recent literature suggests a lot of models without testing predictability implied by the models and without a discussion of implications and limitations that are implied by the design. Mostly, these models are descriptive. In these designs, the question about relevant normative models is left aside. In this paper we propose a normative model that allows empirical testing of whether the way investors should behave given the information is useful in making judgments in financial markets. Contrary to most papers, we apply individual priors to form a judgment about the future price change of each asset at each point in time. These priors are considered as the expert opinion and are given by the one-year conensus forecast of earnings yield as provided by analysts. This design allows tests of the predictions for a normative setting using actual market data. Comparing Bayes' rule to a decisions by a price trader, we find that economic loss is lower for the price trader than for the Bayesian trader under several specifications. However, using expert information in the Bayes' rule leads to better predictions for stocks that do not have high-risk characteristics.
| Author | : Jimmy Shadbolt |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 266 |
| Release | : 2012-12-06 |
| Genre | : Computers |
| ISBN | : 1447101510 |
Download Neural Networks and the Financial Markets Book in PDF, ePub and Kindle
This volume looks at financial prediction from a broad range of perspectives. It covers: - the economic arguments - the practicalities of the markets - how predictions are used - how predictions are made - how predictions are turned into something usable (asset locations) It combines a discussion of standard theory with state-of-the-art material on a wide range of information processing techniques as applied to cutting-edge financial problems. All the techniques are demonstrated with real examples using actual market data, and show that it is possible to extract information from very noisy, sparse data sets. Aimed primarily at researchers in financial prediction, time series analysis and information processing, this book will also be of interest to quantitative fund managers and other professionals involved in financial prediction.
| Author | : Stephen J Taylor |
| Publisher | : World Scientific |
| Total Pages | : 297 |
| Release | : 2007-12-28 |
| Genre | : Business & Economics |
| ISBN | : 981447438X |
Download Modelling Financial Time Series (2nd Edition) Book in PDF, ePub and Kindle
This book contains several innovative models for the prices of financial assets. First published in 1986, it is a classic text in the area of financial econometrics. It presents ARCH and stochastic volatility models that are often used and cited in academic research and are applied by quantitative analysts in many banks. Another often-cited contribution of the first edition is the documentation of statistical characteristics of financial returns, which are referred to as stylized facts.This second edition takes into account the remarkable progress made by empirical researchers during the past two decades from 1986 to 2006. In the new Preface, the author summarizes this progress in two key areas: firstly, measuring, modelling and forecasting volatility; and secondly, detecting and exploiting price trends.
| Author | : Antti Ilmanen |
| Publisher | : John Wiley & Sons |
| Total Pages | : 102 |
| Release | : 2011-04-20 |
| Genre | : Business & Economics |
| ISBN | : 1119990777 |
Download Expected Returns Book in PDF, ePub and Kindle
This comprehensive reference delivers a toolkit for harvesting market rewards from a wide range of investments. Written by a world-renowned industry expert, the reference discusses how to forecast returns under different parameters. Expected returns of major asset classes, investment strategies, and the effects of underlying risk factors such as growth, inflation, liquidity, and different risk perspectives, are also explained. Judging expected returns requires balancing historical returns with both theoretical considerations and current market conditions. Expected Returns provides extensive empirical evidence, surveys of risk-based and behavioral theories, and practical insights.
