Financial Modelling with Forward-looking Information

An Intuitive Approach to Asset Pricing

Business & Finance, Management & Leadership, Operations Research, Finance & Investing, Finance
Cover of the book Financial Modelling with Forward-looking Information by Nadi Serhan Aydın, Springer International Publishing
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Author: Nadi Serhan Aydın ISBN: 9783319571478
Publisher: Springer International Publishing Publication: June 12, 2017
Imprint: Springer Language: English
Author: Nadi Serhan Aydın
ISBN: 9783319571478
Publisher: Springer International Publishing
Publication: June 12, 2017
Imprint: Springer
Language: English

This book focuses on modelling financial information flows and information-based asset pricing framework. After introducing the fundamental properties of the framework, it presents a short information-theoretic perspective with a view to quantifying the information content of financial signals, and links the present framework with the literature on asymmetric information and market microstructure by means of a dynamic, bipartite, heterogeneous agent network. Numerical and explicit analyses shed light on the effects of differential information and information acquisition on the allocation of profit and loss as well as the pace of fundamental price discovery. The dynamic programming method is used to seek an optimal strategy for utilizing superior information. Lastly, the book features an implementation of the present framework using real-world financial data.

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

This book focuses on modelling financial information flows and information-based asset pricing framework. After introducing the fundamental properties of the framework, it presents a short information-theoretic perspective with a view to quantifying the information content of financial signals, and links the present framework with the literature on asymmetric information and market microstructure by means of a dynamic, bipartite, heterogeneous agent network. Numerical and explicit analyses shed light on the effects of differential information and information acquisition on the allocation of profit and loss as well as the pace of fundamental price discovery. The dynamic programming method is used to seek an optimal strategy for utilizing superior information. Lastly, the book features an implementation of the present framework using real-world financial data.

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