Download or read book Machine Learning in Asset Pricing written by Stefan Nagel and published by Princeton University Press. This book was released on 2021-05-11 with total page 156 pages. Available in PDF, EPUB and Kindle. Book excerpt: A groundbreaking, authoritative introduction to how machine learning can be applied to asset pricing Investors in financial markets are faced with an abundance of potentially value-relevant information from a wide variety of different sources. In such data-rich, high-dimensional environments, techniques from the rapidly advancing field of machine learning (ML) are well-suited for solving prediction problems. Accordingly, ML methods are quickly becoming part of the toolkit in asset pricing research and quantitative investing. In this book, Stefan Nagel examines the promises and challenges of ML applications in asset pricing. Asset pricing problems are substantially different from the settings for which ML tools were developed originally. To realize the potential of ML methods, they must be adapted for the specific conditions in asset pricing applications. Economic considerations, such as portfolio optimization, absence of near arbitrage, and investor learning can guide the selection and modification of ML tools. Beginning with a brief survey of basic supervised ML methods, Nagel then discusses the application of these techniques in empirical research in asset pricing and shows how they promise to advance the theoretical modeling of financial markets. Machine Learning in Asset Pricing presents the exciting possibilities of using cutting-edge methods in research on financial asset valuation.

Download or read book Handbook of Behavioral Economics Foundations and Applications 1 written by and published by Elsevier. This book was released on 2018-09-27 with total page 749 pages. Available in PDF, EPUB and Kindle. Book excerpt: Handbook of Behavioral Economics: Foundations and Applications presents the concepts and tools of behavioral economics. Its authors are all economists who share a belief that the objective of behavioral economics is to enrich, rather than to destroy or replace, standard economics. They provide authoritative perspectives on the value to economic inquiry of insights gained from psychology. Specific chapters in this first volume cover reference-dependent preferences, asset markets, household finance, corporate finance, public economics, industrial organization, and structural behavioural economics. This Handbook provides authoritative summaries by experts in respective subfields regarding where behavioral economics has been; what it has so far accomplished; and its promise for the future. This taking-stock is just what Behavioral Economics needs at this stage of its so-far successful career. - Helps academic and non-academic economists understand recent, rapid changes in theoretical and empirical advances within behavioral economics - Designed for economists already convinced of the benefits of behavioral economics and mainstream economists who feel threatened by new developments in behavioral economics - Written for those who wish to become quickly acquainted with behavioral economics

Download or read book Leveraged written by Moritz Schularick and published by University of Chicago Press. This book was released on 2022-12-14 with total page 318 pages. Available in PDF, EPUB and Kindle. Book excerpt: Introduction : the new economics of debt and financial fragility /Moritz Schularik --Part 1. Finance unbound : the rise of finance and the economy.How to think about finance /Atif Mian ; comment by Karen Dynan --Reconsidering the costs and benefits of debt booms for the economy /Emil Verner ; comment by Holger Mueller --Part 2. Risk-taking : incentives, investors, institutions.Are bank CEO's to blame? /Rüdiger Fahlenbrach ; comment by Sameul G. Hanson --A new narrative of investors, subprime lending, and the 2008 crisis /Stefania Albanesi ; comment by Fernando Ferreira --Bank capital before and after financial crises /Òscar Jordà, Björn Richter, Moritz Schularick, and Alan M. Taylor ; comment by Anna Kovner --Part 3. Mispricing risks : credit booms and risk premia.Beliefs and risk-taking /Alessia de Stefani and Kaspar Zimmermann ; comment by Yueran Ma --A new approach to measuring banks' risk exposure /Juliane Begenau ; comment by Nina Boyarchenko --Is risk mispriced in credit booms? /Tyler Muir --Part 4. Financial crises : reconsidering the origins and consequences.Historical banking crises : a new database and a reassessment of their incidence and severity /Matthew Baron and Daniel Dieckelmann ; comment by Mark Carlson --Was the U.S. Great Depression a credit boom gone wrong? /Natascha Postel-Vinah ; comment by Eugene N. White --Sectoral credit booms and financial stability /Kärsten Muller ; comment by Orsola Costantini.

Download or read book Narrative Economics written by Robert J. Shiller and published by Princeton University Press. This book was released on 2020-09-01 with total page 408 pages. Available in PDF, EPUB and Kindle. Book excerpt: From Nobel Prize–winning economist and New York Times bestselling author Robert Shiller, a groundbreaking account of how stories help drive economic events—and why financial panics can spread like epidemic viruses Stories people tell—about financial confidence or panic, housing booms, or Bitcoin—can go viral and powerfully affect economies, but such narratives have traditionally been ignored in economics and finance because they seem anecdotal and unscientific. In this groundbreaking book, Robert Shiller explains why we ignore these stories at our peril—and how we can begin to take them seriously. Using a rich array of examples and data, Shiller argues that studying popular stories that influence individual and collective economic behavior—what he calls "narrative economics"—may vastly improve our ability to predict, prepare for, and lessen the damage of financial crises and other major economic events. The result is nothing less than a new way to think about the economy, economic change, and economics. In a new preface, Shiller reflects on some of the challenges facing narrative economics, discusses the connection between disease epidemics and economic epidemics, and suggests why epidemiology may hold lessons for fighting economic contagions.

Download or read book Handbook of Economic Expectations written by Ruediger Bachmann and published by Elsevier. This book was released on 2022-11-04 with total page 876 pages. Available in PDF, EPUB and Kindle. Book excerpt: Handbook of Economic Expectations discusses the state-of-the-art in the collection, study and use of expectations data in economics, including the modelling of expectations formation and updating, as well as open questions and directions for future research. The book spans a broad range of fields, approaches and applications using data on subjective expectations that allows us to make progress on fundamental questions around the formation and updating of expectations by economic agents and their information sets. The information included will help us study heterogeneity and potential biases in expectations and analyze impacts on behavior and decision-making under uncertainty. - Combines information about the creation of economic expectations and their theories, applications and likely futures - Provides a comprehensive summary of economics expectations literature - Explores empirical and theoretical dimensions of expectations and their relevance to a wide array of subfields in economics

Download or read book Forbes Guide to the Markets written by Marc M. Groz and published by John Wiley & Sons. This book was released on 1999 with total page 276 pages. Available in PDF, EPUB and Kindle. Book excerpt: An essential resource for the new or seasoned investor from Forbes(r), the most trusted name in the business. This accessible book is a practical guide to the financial markets. Designed to help both the new and experienced investor gain sufficient understanding and knowledge to invest wisely and confidently, it covers all the elements necessary to become financially "street smart," from products, players, and procedures to rules, regulators, and risk/reward trade-offs. Filled with solid investment principles. Forbes(r) Guide to the Markets covers such critical topics as: Buying and Selling Stocks * Mutual Funds * Bonds * Futures and Options * Investing With or Without a Broker * Fundamental, Technical, and Quantitative Analysis * Calculating Returns * Diversification * Past and Future Trends. Highlighting key terms and containing a complete glossary, this authoritative resource is an essential tool for anyone aspiring to become a savvy investor. Today's top business publication. Forbes(r) magazine is aimed at investors, business executives, and managers.

Download or read book Nonlinearity Bifurcation and Chaos written by Jan Awrejcewicz and published by BoD – Books on Demand. This book was released on 2012-10-24 with total page 360 pages. Available in PDF, EPUB and Kindle. Book excerpt: Nonlinearity, Bifurcation and Chaos - Theory and Application is an edited book focused on introducing both theoretical and application oriented approaches in science and engineering. It contains 12 chapters, and is recommended for university teachers, scientists, researchers, engineers, as well as graduate and post-graduate students either working or interested in the field of nonlinearity, bifurcation and chaos.

Download or read book Forbes Guide to the Markets written by Forbes LLC and published by John Wiley & Sons. This book was released on 2009-08-25 with total page 320 pages. Available in PDF, EPUB and Kindle. Book excerpt: From the leader in financial information, a fully updated guide to investing in today's markets This accessible book is a practical guide to the financial markets. Designed to help both the new and experienced investor gain sufficient understanding and knowledge to invest wisely and confidently in today's turbulent markets, it covers all the elements necessary to become financially street smart-from products, players, and procedures to rules, regulators, and risk/reward trade-offs. Filled with solid investment principles, the Forbes Guide to the Markets, Second Edition is completely revised and updated to reflect new trends and changes in the markets. New topics discussed include the introduction and implementation of ETFs, the role of hedge funds, and the effects of the subprime crisis Updated and revised chapters contain buying and selling techniques, fundamental, technical and quantitative analysis, and futures and options information Highlights key terms and contains a complete glossary An essential resource for both the new or seasoned investor, this authoritative resource is a must-read for anyone aspiring to become a savvy investor.

Download or read book Mathematical Economics written by Vasily E. Tarasov and published by MDPI. This book was released on 2020-06-03 with total page 278 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is devoted to the application of fractional calculus in economics to describe processes with memory and non-locality. Fractional calculus is a branch of mathematics that studies the properties of differential and integral operators that are characterized by real or complex orders. Fractional calculus methods are powerful tools for describing the processes and systems with memory and nonlocality. Recently, fractional integro-differential equations have been used to describe a wide class of economical processes with power law memory and spatial nonlocality. Generalizations of basic economic concepts and notions the economic processes with memory were proposed. New mathematical models with continuous time are proposed to describe economic dynamics with long memory. This book is a collection of articles reflecting the latest mathematical and conceptual developments in mathematical economics with memory and non-locality based on applications of fractional calculus.

Download or read book Economic Ideas You Should Forget written by Bruno S. Frey and published by Springer. This book was released on 2017-03-08 with total page 168 pages. Available in PDF, EPUB and Kindle. Book excerpt: Reporting on cutting-edge advances in economics, this book presents a selection of commentaries that reveal the weaknesses of several core economics concepts. Economics is a vigorous and progressive science, which does not lose its force when particular parts of its theory are empirically invalidated; instead, they contribute to the accumulation of knowledge. By discussing problematic theoretical assumptions and drawing on the latest empirical research, the authors question specific hypotheses and reject major economic ideas from the “Coase Theorem” to “Say’s Law” and “Bayesianism.” Many of these ideas remain prominent among politicians, economists and the general public. Yet, in the light of the financial crisis, they have lost both their relevance and supporting empirical evidence. This fascinating and thought-provoking collection of 71 short essays written by respected economists and social scientists from all over the world will appeal to anyone interested in scientific progress and the further development of economics.

Download or read book ARCH Models for Financial Applications written by Evdokia Xekalaki and published by John Wiley & Sons. This book was released on 2010-03-18 with total page 558 pages. Available in PDF, EPUB and Kindle. Book excerpt: Autoregressive Conditional Heteroskedastic (ARCH) processes are used in finance to model asset price volatility over time. This book introduces both the theory and applications of ARCH models and provides the basic theoretical and empirical background, before proceeding to more advanced issues and applications. The Authors provide coverage of the recent developments in ARCH modelling which can be implemented using econometric software, model construction, fitting and forecasting and model evaluation and selection. Key Features: Presents a comprehensive overview of both the theory and the practical applications of ARCH, an increasingly popular financial modelling technique. Assumes no prior knowledge of ARCH models; the basics such as model construction are introduced, before proceeding to more complex applications such as value-at-risk, option pricing and model evaluation. Uses empirical examples to demonstrate how the recent developments in ARCH can be implemented. Provides step-by-step instructive examples, using econometric software, such as Econometric Views and the G@RCH module for the Ox software package, used in Estimating and Forecasting ARCH Models. Accompanied by a CD-ROM containing links to the software as well as the datasets used in the examples. Aimed at readers wishing to gain an aptitude in the applications of financial econometric modelling with a focus on practical implementation, via applications to real data and via examples worked with econometrics packages.

Download or read book Learning and Expectations in Macroeconomics written by George W. Evans and published by Princeton University Press. This book was released on 2012-01-06 with total page 440 pages. Available in PDF, EPUB and Kindle. Book excerpt: A crucial challenge for economists is figuring out how people interpret the world and form expectations that will likely influence their economic activity. Inflation, asset prices, exchange rates, investment, and consumption are just some of the economic variables that are largely explained by expectations. Here George Evans and Seppo Honkapohja bring new explanatory power to a variety of expectation formation models by focusing on the learning factor. Whereas the rational expectations paradigm offers the prevailing method to determining expectations, it assumes very theoretical knowledge on the part of economic actors. Evans and Honkapohja contribute to a growing body of research positing that households and firms learn by making forecasts using observed data, updating their forecast rules over time in response to errors. This book is the first systematic development of the new statistical learning approach. Depending on the particular economic structure, the economy may converge to a standard rational-expectations or a "rational bubble" solution, or exhibit persistent learning dynamics. The learning approach also provides tools to assess the importance of new models with expectational indeterminacy, in which expectations are an independent cause of macroeconomic fluctuations. Moreover, learning dynamics provide a theory for the evolution of expectations and selection between alternative equilibria, with implications for business cycles, asset price volatility, and policy. This book provides an authoritative treatment of this emerging field, developing the analytical techniques in detail and using them to synthesize and extend existing research.

Download or read book An Engine Not a Camera written by Donald MacKenzie and published by MIT Press. This book was released on 2008-08-29 with total page 782 pages. Available in PDF, EPUB and Kindle. Book excerpt: In An Engine, Not a Camera, Donald MacKenzie argues that the emergence of modern economic theories of finance affected financial markets in fundamental ways. These new, Nobel Prize-winning theories, based on elegant mathematical models of markets, were not simply external analyses but intrinsic parts of economic processes. Paraphrasing Milton Friedman, MacKenzie says that economic models are an engine of inquiry rather than a camera to reproduce empirical facts. More than that, the emergence of an authoritative theory of financial markets altered those markets fundamentally. For example, in 1970, there was almost no trading in financial derivatives such as "futures." By June of 2004, derivatives contracts totaling $273 trillion were outstanding worldwide. MacKenzie suggests that this growth could never have happened without the development of theories that gave derivatives legitimacy and explained their complexities. MacKenzie examines the role played by finance theory in the two most serious crises to hit the world's financial markets in recent years: the stock market crash of 1987 and the market turmoil that engulfed the hedge fund Long-Term Capital Management in 1998. He also looks at finance theory that is somewhat beyond the mainstream—chaos theorist Benoit Mandelbrot's model of "wild" randomness. MacKenzie's pioneering work in the social studies of finance will interest anyone who wants to understand how America's financial markets have grown into their current form.

Download or read book Option Pricing and Estimation of Financial Models with R written by Stefano M. Iacus and published by John Wiley & Sons. This book was released on 2011-02-23 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt: Presents inference and simulation of stochastic process in the field of model calibration for financial times series modelled by continuous time processes and numerical option pricing. Introduces the bases of probability theory and goes on to explain how to model financial times series with continuous models, how to calibrate them from discrete data and further covers option pricing with one or more underlying assets based on these models. Analysis and implementation of models goes beyond the standard Black and Scholes framework and includes Markov switching models, Lévy models and other models with jumps (e.g. the telegraph process); Topics other than option pricing include: volatility and covariation estimation, change point analysis, asymptotic expansion and classification of financial time series from a statistical viewpoint. The book features problems with solutions and examples. All the examples and R code are available as an additional R package, therefore all the examples can be reproduced.

Download or read book Mathematical Problems in Linear Viscoelasticity written by Mauro Fabrizio and published by SIAM. This book was released on 1992-01-01 with total page 210 pages. Available in PDF, EPUB and Kindle. Book excerpt: Describes general mathematical modeling of viscoelastic materials as systems with fading memory. Discusses the interrelation between topics such as existence, uniqueness, and stability of initial boundary value problems, variational and extremum principles, and wave propagation. Demonstrates the deep connection between the properties of the solution to initial boundary value problems and the requirements of the general physical principles. Discusses special techniques and new methods, including Fourier and Laplace transforms, extremum principles via weight functions, and singular surfaces and discontinuity waves.

Download or read book How I Became a Quant written by Richard R. Lindsey and published by John Wiley & Sons. This book was released on 2011-01-11 with total page 406 pages. Available in PDF, EPUB and Kindle. Book excerpt: Praise for How I Became a Quant "Led by two top-notch quants, Richard R. Lindsey and Barry Schachter, How I Became a Quant details the quirky world of quantitative analysis through stories told by some of today's most successful quants. For anyone who might have thought otherwise, there are engaging personalities behind all that number crunching!" --Ira Kawaller, Kawaller & Co. and the Kawaller Fund "A fun and fascinating read. This book tells the story of how academics, physicists, mathematicians, and other scientists became professional investors managing billions." --David A. Krell, President and CEO, International Securities Exchange "How I Became a Quant should be must reading for all students with a quantitative aptitude. It provides fascinating examples of the dynamic career opportunities potentially open to anyone with the skills and passion for quantitative analysis." --Roy D. Henriksson, Chief Investment Officer, Advanced Portfolio Management "Quants"--those who design and implement mathematical models for the pricing of derivatives, assessment of risk, or prediction of market movements--are the backbone of today's investment industry. As the greater volatility of current financial markets has driven investors to seek shelter from increasing uncertainty, the quant revolution has given people the opportunity to avoid unwanted financial risk by literally trading it away, or more specifically, paying someone else to take on the unwanted risk. How I Became a Quant reveals the faces behind the quant revolution, offering you?the?chance to learn firsthand what it's like to be a?quant today. In this fascinating collection of Wall Street war stories, more than two dozen quants detail their roots, roles, and contributions, explaining what they do and how they do it, as well as outlining the sometimes unexpected paths they have followed from the halls of academia to the front lines of an investment revolution.

Download or read book Virtue Fortune And Faith written by Marieke De Goede and published by U of Minnesota Press. This book was released on 2001 with total page 266 pages. Available in PDF, EPUB and Kindle. Book excerpt: A revealing examination of the often misunderstood history of contemporary financial markets.