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.
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