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Dynamics of markets : the new financial economics
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ISBN: 9780521429627 0521429625 9780511805448 9780511651700 0511651708 051160369X 9780511603693 0511805446 1107189012 0511699271 0511604475 051160291X Year: 2009 Publisher: Cambridge Cambridge University Press

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Abstract

This second edition presents the advances made in finance market analysis since 2005. The book provides a careful introduction to stochastic methods along with approximate ensembles for a single, historic time series. The new edition explains the history leading up to the biggest economic disaster of the 21st century. Empirical evidence for finance market instability under deregulation is given, together with a history of the explosion of the US Dollar worldwide. A model shows how bounds set by a central bank stabilized FX in the gold standard era, illustrating the effect of regulations. The book presents economic and finance theory thoroughly and critically, including rational expectations, cointegration and arch/garch methods, and replaces several of those misconceptions by empirically based ideas. This book will be of interest to finance theorists, traders, economists, physicists and engineers, and leads the reader to the frontier of research in time series analysis.

Keywords

Statistical physics --- statistieken --- Finance --- Business mathematics. --- Markets --- Statistical physics. --- Mathematical models. --- Statistical methods. --- AA / International- internationaal --- 305.91 --- 305.970 --- 333.605 --- 331.062 --- -Finance --- -Business mathematics --- -Statistical physics --- 332.0151 --- Physics --- Mathematical statistics --- Public markets --- Commerce --- Fairs --- Market towns --- Arithmetic, Commercial --- Business --- Business arithmetic --- Business math --- Commercial arithmetic --- Mathematics --- Funding --- Funds --- Economics --- Currency question --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles. --- Algemeenheden: Autoregression and moving average representation. ARIMA. ARMAX. Lagrange multiplier. Wald. Function (mis) specification. Autocorrelation. Homoscedasticity. Heteroscedasticity. ARCH. GARCH. Integration and co-integration. Unit roots. --- Nieuwe financiële instrumenten. --- Anticyclisch beleid. Rational expectations. --- Mathematical models --- Statistical methods --- Business mathematics --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles --- Algemeenheden: Autoregression and moving average representation. ARIMA. ARMAX. Lagrange multiplier. Wald. Function (mis) specification. Autocorrelation. Homoscedasticity. Heteroscedasticity. ARCH. GARCH. Integration and co-integration. Unit roots --- Anticyclisch beleid. Rational expectations --- Nieuwe financiële instrumenten --- Marché financier --- General and Others --- Marché financier

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