Asset price dynamics, volatility, and prediction /
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...
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| Main Author: | |
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| Format: | Electronic eBook |
| Language: | English |
| Published: |
Princeton, N.J. :
Princeton University Press,
2007, ©2005.
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| Subjects: | |
| Online Access: | Connect to this title online (unlimited users allowed) |
| Summary: | 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. |
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| Physical Description: | 1 online resource (xv, 525 pages) : illustrations |
| Bibliography: | Includes bibliographical references (pages 473-501) and indexes. |
| ISBN: | 9781400839254 1400839254 128299204X 9781282992047 9786612992049 6612992042 |