State University of Information and Communication Technologies
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State University of Information and Communication Technologies
State University of Information and Communication Technologies

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Financial Modelling with Forward-looking Information

Details
Author:
Nadi Serhan Aydin
Document language:
English
Document size:
3.24 Мб
Publish year:
2017
Publishing:
Springer International Publishing
Created:
1030 days ago
Category:
Document type:
Book
Link for the list of used literature:
Nadi Serhan Aydin. «Financial Modelling with Forward-looking Information». - 2017.
Annotation

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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