Modeling the market: new theories and techniques
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
New Hope, Pa.
Fabozzi
1997
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| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XII, 289 S. graph. Darst. |
| ISBN: | 1883249120 |
Staff View
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Record in the Search Index
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| adam_text | Table of Contents
About the Authors viii
Preface ix
Acknowledgements xi
Part I Concepts and Methods 1
1 Basic Concepts 1
1.1 The classical view of finance 1
1.2 The new paradigm of empirical finance 4
1.3 A new theory in the making 6
1.4 Probability and beliefs 11
1.5 Modelability of financial laws 15
1.6 Chaos theory 18
1.7 Fractals 21
1.8 Forecasting 23
1.9 The notion of risk 26
1.10 From financial analytics to
empirical finance 28
2 Modeling Under Equilibrium 31
2.1 Financial modeling today 31
2.2 Asset pricing models 32
2.3 Forecasting stock prices and returns 35
Hi
2.4 Derivatives pricing 37
2.5 Interest rate models 39
2.6 Decision making under uncertainty 40
3 Technological Developments in the
Classical Framework 43
3.1 More extensive modeling 43
3.2 Numerical methods 45
3.3 Forecasting and parameter estimation 47
3.4 Global optimization 49
3.5 High performance computing 52
3.6 Financial engineering tools 54
3.7 Intelligent man machine interfaces 56
3.8 Automatic news analysis 57
3.9 Simulation 59
4 Models of Non Equilibrium Markets and
Non Linear Methods 63
4.1 A new generation of models 63
4.2 Technological continuity 64
4.3 Non linear adaptive methods in
computational finance 65
4.4 Forecasting in a non equilibrium framework 67
Part II Implementation 73
5 Investment Management 73
5.1 Styles of investment management 73
5.2 Investment performance 75
5.3 Depth of use of technology 76
5.4 Investment technology 77
6 Trading 83
iv
6.1 Trading as process control 83
6.2 Trading on forecasts 84
6.3 Financial engineering 88
7 Risk Management 91
7.1 The business problem 91
7.2 Evaluating risk 92
7.3 Risk management engineering 95
8 The Outlook for Adaptive Methods in Finance 99
Part HI Issues and the Market 105
9 The Market for Products and Services 105
9.1 The market as seen by hardware vendors 105
9.2 The shaping up of a software and
service industry 107
9.3 The structure of the commercial offering 112
9.4 Role of government funded initiatives
and research 115
10 Technology Issues 119
10.1 Availability of data 119
10.2 Theory and methods 122
10.3 Ancillary technologies and user friendliness 125
10.4 Computing power 127
11 Management Issues 131
11.1 Championing technology 131
11.2 Defining the business problem 133
11.3 Building teams 135
11.4 In house or external development 137
11.5 Adaptive methods and the global context 140
V
12 Future Scenarios 143
Part IV The Mathematics of Uncertainty
and Learning 146
13 The Mathematical Handling of Uncertainty 147
13.1 Uncertainty and probability 147
13.2 Outcomes and events 148
13.3 Probability 150
13.4 Measures and integrals in finance theory 152
13.5 Random variables 153
13.6 Distributions and distribution functions 155
13.7 Random vectors 155
13.8 Time and information in finance theory 156
13.9 Conditional probability and expectation 161
13.10 The interpretation of probability in finance 162
14 The Representation of Security Markets 165
14.1 The Efficient Market Hypothesis 166
14.2 TheformalizationoftheEMH 166
14.3 Discrete models 170
14.4 Completeness and independence 173
14.5 Standard Brownian processes 174
14.6 Stochastic integration 176
14.7 Trading strategies and trading gains 177
14.8 Ito processes 178
14.9 Ito s lemma 179
14.10 Continuous time security markets 180
15 The Representation of Market Constraints
and Asset Pricing 183
15.1 Mathematics and the external world 183
15.2 The no arbitrage condition 184
vi
15.3 Martingales 185
15.4 Martingales in the theory of efficient markets 186
15.5 Price deflators in the discrete case 188
15.6 Equivalent martingale measures and
complete markets in the discrete case 191
15.7 Deflators in continuous time 193
15.8 Equivalent martingale measures in the
continuous case 194
15.9 Arbitrage pricing and derivatives pricing 196
15.10 Agent optimality and equilibrium 197
16 At the Frontier of Research 203
16.1 Research directions 203
16.2 Empirical tests of market efficiency 206
16.3 Forecasting and the no arbitrage principle 210
16.4 Is it possible to earn excess returns? 213
17 Adaptive Computational Methods 217
17.1 The data rich approach to science 217
17.2 Basic notions in machine learning 219
17.3 Genetic algorithms 221
17.4 Neural networks 229
17.5 Induction trees 239
17.6 Hybridization techniques 243
17.7 Clustering, segmentation 244
17.8 Adaptive methods in forecasting 246
17.9 Validation techniques and
performance measurement 250
vii
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| illustrated | Illustrated |
| indexdate | 2024-07-09T18:55:44Z |
| institution | BVB |
| isbn | 1883249120 |
| language | English |
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| physical | XII, 289 S. graph. Darst. |
| publishDate | 1997 |
| publishDateSearch | 1997 |
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| publisher | Fabozzi |
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| spelling | Focardi, Sergio Verfasser aut Modeling the market new theories and techniques Sergio Focardi ; Caroline Jonas New Hope, Pa. Fabozzi 1997 XII, 289 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Finansieringsteori Økonomisk-matematiske modellers teori Finanzierungstheorie (DE-588)4154418-3 gnd rswk-swf Finanzierungstheorie (DE-588)4154418-3 s DE-604 Jonas, Caroline Verfasser aut HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009578779&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Focardi, Sergio Jonas, Caroline Modeling the market new theories and techniques Finansieringsteori Økonomisk-matematiske modellers teori Finanzierungstheorie (DE-588)4154418-3 gnd |
| subject_GND | (DE-588)4154418-3 |
| title | Modeling the market new theories and techniques |
| title_auth | Modeling the market new theories and techniques |
| title_exact_search | Modeling the market new theories and techniques |
| title_full | Modeling the market new theories and techniques Sergio Focardi ; Caroline Jonas |
| title_fullStr | Modeling the market new theories and techniques Sergio Focardi ; Caroline Jonas |
| title_full_unstemmed | Modeling the market new theories and techniques Sergio Focardi ; Caroline Jonas |
| title_short | Modeling the market |
| title_sort | modeling the market new theories and techniques |
| title_sub | new theories and techniques |
| topic | Finansieringsteori Økonomisk-matematiske modellers teori Finanzierungstheorie (DE-588)4154418-3 gnd |
| topic_facet | Finansieringsteori Økonomisk-matematiske modellers teori Finanzierungstheorie |
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