Bayesian learning in financial markets: price adjustments, fundamentals, and risk
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
Münster
Monsenstein und Vannerdat
2009
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | IX, 126 S |
| ISBN: | 9783865828989 |
Internformat
MARC
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| 100 | 1 | |a Müller, Christoph |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Bayesian learning in financial markets |b price adjustments, fundamentals, and risk |c Christoph Müller |
| 264 | 1 | |a Münster |b Monsenstein und Vannerdat |c 2009 | |
| 300 | |a IX, 126 S | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 502 | |a Zugl.: Köln, Univ., Diss., 2009 | ||
| 650 | 7 | |a Börsenkurs |2 stw | |
| 650 | 7 | |a Finanzmarkt |2 stw | |
| 650 | 7 | |a Informationsverbreitung |2 stw | |
| 650 | 7 | |a Informationsverhalten |2 stw | |
| 650 | 7 | |a Makroökonomischer Einfluss |2 stw | |
| 650 | 7 | |a Mikrostrukturanalyse |2 stw | |
| 650 | 7 | |a Noise Trading |2 stw | |
| 650 | 7 | |a Rationales Verhalten |2 stw | |
| 650 | 7 | |a Risiko |2 stw | |
| 650 | 7 | |a Schätzung |2 stw | |
| 650 | 7 | |a Theorie |2 stw | |
| 650 | 7 | |a USA |2 stw | |
| 650 | 7 | |a Volatilität |2 stw | |
| 650 | 7 | |a Wertpapieranalyse |2 stw | |
| 650 | 0 | 7 | |a Kreditmarkt |0 (DE-588)4073788-3 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Bayes-Lernen |0 (DE-588)4701615-2 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Preisbildung |0 (DE-588)4047103-2 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Kapitalmarkt |0 (DE-588)4029578-3 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Rationalität |0 (DE-588)4048507-9 |2 gnd |9 rswk-swf |
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| 655 | 7 | |0 (DE-588)4113937-9 |a Hochschulschrift |2 gnd-content | |
| 689 | 0 | 0 | |a Kreditmarkt |0 (DE-588)4073788-3 |D s |
| 689 | 0 | 1 | |a Kapitalmarkt |0 (DE-588)4029578-3 |D s |
| 689 | 0 | 2 | |a Preisbildung |0 (DE-588)4047103-2 |D s |
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| 689 | 0 | 4 | |a Rationalität |0 (DE-588)4048507-9 |D s |
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| 999 | |a oai:aleph.bib-bvb.de:BVB01-018016121 | ||
Datensatz im Suchindex
| _version_ | 1804140024804933632 |
|---|---|
| adam_text | Contents
Introduction
1
1
Nonlinear Price Responses to News with Uncertain Precision
17
1.1
Motivation
.......................................... 17
1.2
A Bayesian Learning Model
................................. 22
1.2.1
Standard Bayesian Learning
............................. 22
1.2.2
Surprises as an Internal
Signa!
of the Precision of Releases
........... 24
1.2.3
External Signals of the Precision of Releases
................... 25
1.2.4
Accounting for Uncertainty in the Prior Distribution
............... 29
1.2.5
Testable Implications of the Model
......................... 31
1.3
Data and Empirical Framework
............................... 33
1.3.1
Data
.......................................... 33
1.3.2
Specification of Price Response Curves
....................... 36
1.4
Empirical Results
....................................... 39
1.4.1
Non-linearities in Price Response due to internal Precision
Signais
....... 39
1.4.2
External Precision Signals and the Strength of the Price Response
....... 45
1.5
Summarv
........................................... 55
2
Real-Time Estimation of Growth
^9
2.1
Motivation
..........................................
59
2.2
Estimation Framework
....................................
*>2
2.2.1
Time Structure of Data Releases
.......................... 63
2.2.2
The State Space Framework
............................. 66
2.2.3
Kalman
Filter Equations
..............................
70
2.2.4
Estimation via Maximum Likelihood
........................
<2
2.2.5
Forecasting and Forecast Uncertainties
....................... 72
2.3
Empirical Results
.......................................
74
2.3.1
Data
..........................................
74
2.3.2 Abdel
Estimates
...................................
т6
2.4
Forecast Evaluation
..................................... 83
2.5
Summary
...........................................
89
3
Sequential Estimation of Spot Volatility Under
Microstructure
Noise
93
3.1
Motivation
.......................................... 93
3.2
Contamination of Price Observations and Volatility Concepts
.............. 98
3.2.1
Prices as Noisy Observations of the Stock Value Process
............. 98
3.2.2
Volatility Measures at Different Aggregation Levels
................ 99
3.2.3
The Information Content of Noisy Price Observations
..............
Ю2
3.3
Sequential Bayesian Volatility Estimation
.........................
ЮЗ
3.3.1
State-Space Framework for Contaminated Price Processes
............ 103
3.3.2
Continuous-Discrete Nonlinear
Kalman
Filters
.................. 10^
3.3.3
Sequential
Parameter
Estimation, using
Kalman Filters
.............. 110
3.4
Liquidity Measures and
Microstructure
Noise
....................... 112
3.4.1
Data
.......................................... 112
3.4.2
Variance of Noise Components and Liquidity Measures
.............. 114
3.5
Empirical Estimation of Spot Volatility under Noise
................... 119
3.5.1
A Model with Noisy Prices
............................. 119
3.5.2
Volatility Estimation Ignoring
Microstructure
Noise
............... 121
3.5.3
Inclusion of Liquidity-Based Noise Measures
.................... 125
3.5.4
Comparison with Realized Volatility Estimates
.................. 129
3.6
Discussion
........................................... 135
3.7
Summary
........................................... 138
Conclusion
141
A Appendix to Chapter
1 147
В
Appendix to Chapter
2 157
|
| any_adam_object | 1 |
| author | Müller, Christoph |
| author_facet | Müller, Christoph |
| author_role | aut |
| author_sort | Müller, Christoph |
| author_variant | c m cm |
| building | Verbundindex |
| bvnumber | BV035739680 |
| classification_rvk | QK 620 |
| ctrlnum | (OCoLC)530296438 (DE-599)DNB995684332 |
| dewey-full | 332.6 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.6 |
| dewey-search | 332.6 |
| dewey-sort | 3332.6 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Thesis Book |
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| id | DE-604.BV035739680 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-09T21:53:24Z |
| institution | BVB |
| isbn | 9783865828989 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-018016121 |
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| physical | IX, 126 S |
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| spelling | Müller, Christoph Verfasser aut Bayesian learning in financial markets price adjustments, fundamentals, and risk Christoph Müller Münster Monsenstein und Vannerdat 2009 IX, 126 S txt rdacontent n rdamedia nc rdacarrier Zugl.: Köln, Univ., Diss., 2009 Börsenkurs stw Finanzmarkt stw Informationsverbreitung stw Informationsverhalten stw Makroökonomischer Einfluss stw Mikrostrukturanalyse stw Noise Trading stw Rationales Verhalten stw Risiko stw Schätzung stw Theorie stw USA stw Volatilität stw Wertpapieranalyse stw Kreditmarkt (DE-588)4073788-3 gnd rswk-swf Bayes-Lernen (DE-588)4701615-2 gnd rswk-swf Preisbildung (DE-588)4047103-2 gnd rswk-swf Kapitalmarkt (DE-588)4029578-3 gnd rswk-swf Rationalität (DE-588)4048507-9 gnd rswk-swf Entscheidung bei Unsicherheit (DE-588)4070864-0 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Kreditmarkt (DE-588)4073788-3 s Kapitalmarkt (DE-588)4029578-3 s Preisbildung (DE-588)4047103-2 s Entscheidung bei Unsicherheit (DE-588)4070864-0 s Rationalität (DE-588)4048507-9 s Bayes-Lernen (DE-588)4701615-2 s DE-604 Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018016121&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Müller, Christoph Bayesian learning in financial markets price adjustments, fundamentals, and risk Börsenkurs stw Finanzmarkt stw Informationsverbreitung stw Informationsverhalten stw Makroökonomischer Einfluss stw Mikrostrukturanalyse stw Noise Trading stw Rationales Verhalten stw Risiko stw Schätzung stw Theorie stw USA stw Volatilität stw Wertpapieranalyse stw Kreditmarkt (DE-588)4073788-3 gnd Bayes-Lernen (DE-588)4701615-2 gnd Preisbildung (DE-588)4047103-2 gnd Kapitalmarkt (DE-588)4029578-3 gnd Rationalität (DE-588)4048507-9 gnd Entscheidung bei Unsicherheit (DE-588)4070864-0 gnd |
| subject_GND | (DE-588)4073788-3 (DE-588)4701615-2 (DE-588)4047103-2 (DE-588)4029578-3 (DE-588)4048507-9 (DE-588)4070864-0 (DE-588)4113937-9 |
| title | Bayesian learning in financial markets price adjustments, fundamentals, and risk |
| title_auth | Bayesian learning in financial markets price adjustments, fundamentals, and risk |
| title_exact_search | Bayesian learning in financial markets price adjustments, fundamentals, and risk |
| title_full | Bayesian learning in financial markets price adjustments, fundamentals, and risk Christoph Müller |
| title_fullStr | Bayesian learning in financial markets price adjustments, fundamentals, and risk Christoph Müller |
| title_full_unstemmed | Bayesian learning in financial markets price adjustments, fundamentals, and risk Christoph Müller |
| title_short | Bayesian learning in financial markets |
| title_sort | bayesian learning in financial markets price adjustments fundamentals and risk |
| title_sub | price adjustments, fundamentals, and risk |
| topic | Börsenkurs stw Finanzmarkt stw Informationsverbreitung stw Informationsverhalten stw Makroökonomischer Einfluss stw Mikrostrukturanalyse stw Noise Trading stw Rationales Verhalten stw Risiko stw Schätzung stw Theorie stw USA stw Volatilität stw Wertpapieranalyse stw Kreditmarkt (DE-588)4073788-3 gnd Bayes-Lernen (DE-588)4701615-2 gnd Preisbildung (DE-588)4047103-2 gnd Kapitalmarkt (DE-588)4029578-3 gnd Rationalität (DE-588)4048507-9 gnd Entscheidung bei Unsicherheit (DE-588)4070864-0 gnd |
| topic_facet | Börsenkurs Finanzmarkt Informationsverbreitung Informationsverhalten Makroökonomischer Einfluss Mikrostrukturanalyse Noise Trading Rationales Verhalten Risiko Schätzung Theorie USA Volatilität Wertpapieranalyse Kreditmarkt Bayes-Lernen Preisbildung Kapitalmarkt Rationalität Entscheidung bei Unsicherheit Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018016121&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT mullerchristoph bayesianlearninginfinancialmarketspriceadjustmentsfundamentalsandrisk |