Download or read book Volatility written by Robert A. Schwartz and published by Springer Science & Business Media. This book was released on 2010-11-18 with total page 152 pages. Available in PDF, EPUB and Kindle. Book excerpt: Volatility is very much with us in today's equity markets. Day-to-day price swings are often large and intra-day volatility elevated, especially at market openings and closings. What explains this? What does this say about the quality of our markets? Can short-period volatility be controlled by better market design and a more effective use of electronic technology? Featuring insights from an international array of prominent academics, financial markets experts, policymakers and journalists, the book addresses these and other questions concerning this timely topic. In so doing, we seek deeper knowledge of the dynamic process of price formation, and of the market structure and regulatory environment within which our markets function. The Zicklin School of Business Financial Markets Series presents the insights emerging from a sequence of conferences hosted by the Zicklin School at Baruch College for industry professionals, regulators, and scholars. Much more than historical documents, the transcripts from the conferences are edited for clarity, perspective and context; material and comments from subsequent interviews with the panelists and speakers are integrated for a complete thematic presentation. Each book is focused on a well delineated topic, but all deliver broader insights into the quality and efficiency of the U.S. equity markets and the dynamic forces changing them.
Download or read book Global Uncertainty and the Volatility of Agricultural Commodities Prices written by B.R. Munier and published by IOS Press. This book was released on 2012-04-24 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt: The recent global financial crisis exposed the serious limitations of existing economic and financial models. Not only did macro models fail to predict the crisis, they seemed incapable of explaining what was happening to the economy. Policymakers felt abandoned by the conventional tools of the now obsolete Washington consensus and the World Trade Organization’s oversimplified faith in free markets.The traditional models for agricultural commodities have so far failed to take into account the uncertain character of the global agricultural economy and its ferocious consequences in food price volatility, the worst in 300 years, yielding hunger riots throughout the world. This book explores the elements which could help to close this fundamental modeling gap. To what extent should traditional models be questioned regarding agricultural commodities? Are prices on these markets foreseeable? Can their evolution be either predicted or convincingly simulated, and if so, by which methods and models? Presenting contributions from acknowledged experts from several countries and backgrounds – professors at major international universities or researchers within specialized international organizations – the book concentrates on four issues: the role of expectations and capacity of prediction; policy issues related to development strategies and food security; the role of hoarding and speculation and finally, global modeling methods. The book offers a renewed wisdom on some of the core issues in the world economy today and puts forward important innovations in analyzing these core issues, among which the modular modeling design, the Momagri model being a seminal example of it. Reading this book should inspire fruitful revisions in policy-making to improve the welfare of populations worldwide.
Download or read book Pandora s Risk written by Kent Osband and published by Columbia University Press. This book was released on 2011 with total page 306 pages. Available in PDF, EPUB and Kindle. Book excerpt: Author of the acclaimed work Iceberg Risk: An Adventure in Portfolio Theory, Kent Osband argues that uncertainty is central rather than marginal to finance. Markets don't trade mainly on changes in risk. They trade on changes in beliefs about risk, and in the process, markets unite, stretch, and occasionally defy beliefs. Recognizing this truth would make a world of difference in investing. Belittling uncertainty has created a rift between financial theory and practice and within finance theory itself, misguiding regulation and stoking huge financial imbalances. Sparking a revolution in the mindset of the investment professional, Osband recasts the market as a learning machine rather than a knowledge machine. The market continually errs, corrects itself, and makes new errors. Respecting that process, without idolizing it, will promote wiser investment, trading, and regulation. With uncertainty embedded at its core, Osband's rational approach points to a finance theory worthy of twenty-first-century investing.
Download or read book Handbook Of Global Financial Markets Transformations Dependence And Risk Spillovers written by Sabri Boubaker and published by World Scientific. This book was released on 2019-06-27 with total page 828 pages. Available in PDF, EPUB and Kindle. Book excerpt: The objective of this handbook is to provide the readers with insights about current dynamics and future potential transformations of global financial markets. We intend to focus on four main areas: Dynamics of Financial Markets; Financial Uncertainty and Volatility; Market Linkages and Spillover Effects; and Extreme Events and Financial Transformations and address the following critical issues, but not limited to: market integration and its implications; crisis risk assessment and contagion effects; financial uncertainty and volatility; role of emerging financial markets in the global economy; role of complex dynamics of economic and financial systems; market linkages, asset valuation and risk management; exchange rate volatility and firm-level exposure; financial effects of economic, political and social risks; link between financial development and economic growth; country risks; and sovereign debt markets.
Download or read book Emotions in Finance written by Jocelyn Pixley and published by Cambridge University Press. This book was released on 2004-11-23 with total page 248 pages. Available in PDF, EPUB and Kindle. Book excerpt: Publisher Description
Download or read book Robustness written by Lars Peter Hansen and published by Princeton University Press. This book was released on 2016-06-28 with total page 453 pages. Available in PDF, EPUB and Kindle. Book excerpt: The standard theory of decision making under uncertainty advises the decision maker to form a statistical model linking outcomes to decisions and then to choose the optimal distribution of outcomes. This assumes that the decision maker trusts the model completely. But what should a decision maker do if the model cannot be trusted? Lars Hansen and Thomas Sargent, two leading macroeconomists, push the field forward as they set about answering this question. They adapt robust control techniques and apply them to economics. By using this theory to let decision makers acknowledge misspecification in economic modeling, the authors develop applications to a variety of problems in dynamic macroeconomics. Technical, rigorous, and self-contained, this book will be useful for macroeconomists who seek to improve the robustness of decision-making processes.
Download or read book The New Arab Revolt written by Council on Foreign Relations and published by Council on Foreign Relations. This book was released on 2011 with total page 359 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The volume includes seminal pieces from Foreign Affairs, ForeignAffairs.com, and CFR.org. In addition, major public statements by Barack Obama, Hillary Rodham Clinton, Hosni Mubarak, Muammar al-Qaddafi, and others are joined by Egyptian opposition writings and relevant primary source documents."--Page 4 of cover.
Download or read book Commodities and Equities written by Bahattin Büyüksahin and published by Nova Science Publishers. This book was released on 2009 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt: Amidst a sharp rise in commodity investing, many have asked whether commodities nowadays move in sync with traditional financial assets. The authors provide evidence that challenges this idea. Using dynamic correlation and recursive co-integration techniques, they found that the relation between the returns on investable commodity and U.S. equity indices has not changed significantly in the last fifteen years. The authors also find no evidence of any secular increase in co-movement between the returns on commodity and equity investments during periods of extreme returns.
Download or read book Uncertainty and Expectation written by Gerald Ashley and published by John Wiley & Sons. This book was released on 2005-08-05 with total page 188 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this entertaining and thoughtful book, Gerald Ashley sets out to explain what trading is, and lays out a modus operandi for being a trader and investor. He draws upon market anecdotes and examples from the past, seeking to debunk many myths surrounding financial markets, and to try and make the reader understand the real processes, risks and rewards that drive investment. In particular he examines ideas in market and individual investor behaviour, and questions the usefulness of many of todays standard investment techniques including benchmarks, charts, analysts and 'gurus'. He also lays out simple precepts for understanding investment risk and suggests ideas for managing your investments in today's markets.
Download or read book Volatility and Correlation written by Riccardo Rebonato and published by John Wiley & Sons. This book was released on 2005-07-08 with total page 864 pages. Available in PDF, EPUB and Kindle. Book excerpt: In Volatility and Correlation 2nd edition: The Perfect Hedger and the Fox, Rebonato looks at derivatives pricing from the angle of volatility and correlation. With both practical and theoretical applications, this is a thorough update of the highly successful Volatility & Correlation – with over 80% new or fully reworked material and is a must have both for practitioners and for students. The new and updated material includes a critical examination of the ‘perfect-replication’ approach to derivatives pricing, with special attention given to exotic options; a thorough analysis of the role of quadratic variation in derivatives pricing and hedging; a discussion of the informational efficiency of markets in commonly-used calibration and hedging practices. Treatment of new models including Variance Gamma, displaced diffusion, stochastic volatility for interest-rate smiles and equity/FX options. The book is split into four parts. Part I deals with a Black world without smiles, sets out the author’s ‘philosophical’ approach and covers deterministic volatility. Part II looks at smiles in equity and FX worlds. It begins with a review of relevant empirical information about smiles, and provides coverage of local-stochastic-volatility, general-stochastic-volatility, jump-diffusion and Variance-Gamma processes. Part II concludes with an important chapter that discusses if and to what extent one can dispense with an explicit specification of a model, and can directly prescribe the dynamics of the smile surface. Part III focusses on interest rates when the volatility is deterministic. Part IV extends this setting in order to account for smiles in a financially motivated and computationally tractable manner. In this final part the author deals with CEV processes, with diffusive stochastic volatility and with Markov-chain processes. Praise for the First Edition: “In this book, Dr Rebonato brings his penetrating eye to bear on option pricing and hedging.... The book is a must-read for those who already know the basics of options and are looking for an edge in applying the more sophisticated approaches that have recently been developed.” —Professor Ian Cooper, London Business School “Volatility and correlation are at the very core of all option pricing and hedging. In this book, Riccardo Rebonato presents the subject in his characteristically elegant and simple fashion...A rare combination of intellectual insight and practical common sense.” —Anthony Neuberger, London Business School
Download or read book Volatility written by Robert A. Jarrow and published by . This book was released on 1998 with total page 472 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by a number of authors, this text is aimed at market practitioners and applies the latest stochastic volatility research findings to the analysis of stock prices. It includes commentary and analysis based on real-life situations.
Download or read book Causality in Macroeconomics written by Kevin D. Hoover and published by Cambridge University Press. This book was released on 2001-08-13 with total page 330 pages. Available in PDF, EPUB and Kindle. Book excerpt: First published in 2001, Causality in Macroeconomics addresses the long-standing problems of causality while taking macroeconomics seriously. The practical concerns of the macroeconomist and abstract concerns of the philosopher inform each other. Grounded in pragmatic realism, the book rejects the popular idea that macroeconomics requires microfoundations, and argues that the macroeconomy is a set of structures that are best analyzed causally. Ideas originally due to Herbert Simon and the Cowles Commission are refined and generalized to non-linear systems, particularly to the non-linear systems with cross-equation restrictions that are ubiquitous in modern macroeconomic models with rational expectations (with and without regime-switching). These ideas help to clarify philosophical as well as economic issues. The structural approach to causality is then used to evaluate more familiar approaches to causality due to Granger, LeRoy and Glymour, Spirtes, Scheines and Kelly, as well as vector autoregressions, the Lucas critique, and the exogeneity concepts of Engle, Hendry and Richard.
Download or read book Culture and Tourism in a Smart Globalized and Sustainable World written by Vicky Katsoni and published by Springer Nature. This book was released on 2021-06-21 with total page 771 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book gathers the proceedings of the 7th International Conference, with the theme “Culture and Tourism in a Smart, Globalized and Sustainable World,” held on Hydra Island, Greece, on June 17–19, 2020, published with the support of the International Association of Cultural and Digital Tourism. Highlighting the contributions made by numerous writers to the advancement of tourism research, this book presents a critical academic discourse on sustainable practices in the smart tourism context, improving readers’ understanding of, and stimulating future debates in, this critical area. In addition to the knowledge economy and the concept of smart destinations, the book addresses new modes of tourism management and development, as well as emerging technologies, including location-based services, the Internet of things, smart cities, mobile services, gamification, digital collections and the virtual visitor, social media, social networking, and augmented reality.
Download or read book Alternative Economic Indicators written by C. James Hueng and published by W.E. Upjohn Institute. This book was released on 2020-09-08 with total page 133 pages. Available in PDF, EPUB and Kindle. Book excerpt: Policymakers and business practitioners are eager to gain access to reliable information on the state of the economy for timely decision making. More so now than ever. Traditional economic indicators have been criticized for delayed reporting, out-of-date methodology, and neglecting some aspects of the economy. Recent advances in economic theory, econometrics, and information technology have fueled research in building broader, more accurate, and higher-frequency economic indicators. This volume contains contributions from a group of prominent economists who address alternative economic indicators, including indicators in the financial market, indicators for business cycles, and indicators of economic uncertainty.
Download or read book Managing in a VUCA World written by Oliver Mack and published by Springer. This book was released on 2015-07-15 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book examines volatility, uncertainty, complexity and ambiguity (VUCA) and addresses the need for broader knowledge and application of new concepts and frameworks to deal with unpredictable and rapid changing situations. The premises of VUCA can shape all aspects of an organization. To cover all areas, the book is divided into six sections. Section 1 acts as an introduction to VUCA and complexity. It reviews ways to manage complexity, while providing examples for tools and approaches that can be applied. The main focus of Section 2 is on leadership, strategy and planning. The chapters in this section create new approaches to handle VUCA environments pertaining to these areas including using the Tetralemma logics, tools from systemic structural constellation (SySt) approach of psychotherapy and organizational development, to provide new ideas for the management of large strategic programs in organizations. Section 3 considers how marketing and sales are affected by VUCA, from social media’s influence to customer value management. Operations and cost management are highlighted in Section 4. This section covers VUCA challenges within global supply chains and decision-oriented controlling. In Section 5 organizational structure and process management are showcased, while Section 6 is dedicated to addressing the effects of VUCA in IT, technology and data management. The VUCA forces present businesses with the need to move from linear modes of thought to problem solving with synthetic and simultaneous thinking. This book should help to provide some starting points and ideas to deal with the next era. It should not be understood as the end of the road, but as the beginning of a journey exploring and developing new concepts for a new way of management.
Download or read book Policy Uncertainty in Japan written by Ms.Elif C Arbatli and published by International Monetary Fund. This book was released on 2017-05-30 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop new economic policy uncertainty (EPU) indices for Japan from January 1987 onwards building on the approach of Baker, Bloom and Davis (2016). Each index reflects the frequency of newspaper articles that contain certain terms pertaining to the economy, policy matters and uncertainty. Our overall EPU index co-varies positively with implied volatilities for Japanese equities, exchange rates and interest rates and with a survey-based measure of political uncertainty. The EPU index rises around contested national elections and major leadership transitions in Japan, during the Asian Financial Crisis and in reaction to the Lehman Brothers failure, U.S. debt downgrade in 2011, Brexit referendum, and Japan’s recent decision to defer a consumption tax hike. Our uncertainty indices for fiscal, monetary, trade and exchange rate policy co-vary positively but also display distinct dynamics. VAR models imply that upward EPU innovations foreshadow deteriorations in Japan’s macroeconomic performance, as reflected by impulse response functions for investment, employment and output. Our study adds to evidence that credible policy plans and strong policy frameworks can favorably influence macroeconomic performance by, in part, reducing policy uncertainty.
Download or read book Options for Volatile Markets written by Richard Lehman and published by John Wiley & Sons. This book was released on 2011-07-15 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: Practical option strategies for the new post-crisis financialmarket Traditional buy-and-hold investing has been seriously challengedin the wake of the recent financial crisis. With economic andmarket uncertainty at a very high level, options are still the mosteffective tool available for managing volatility and downside risk,yet they remain widely underutilized by individuals and investmentmanagers. In Options for Volatile Markets, Richard Lehmanand Lawrence McMillan provide you with specific strategies to lowerportfolio volatility, bulletproof your portfolio against anycatastrophe, and tailor your investments to the precise level ofrisk you are comfortable with. While the core strategy of this new edition remains covered callwriting, the authors expand into more comprehensive optionstrategies that offer deeper downside protection or even allowinvestors to capitalize on market or individual stock volatility.In addition, they discuss new offerings like weekly expirations andoptions on ETFs. For investors who are looking to capitalize onglobal investment opportunities but are fearful of lurking "blackswans", this book shows how ETFs and options can be utilized toconstruct portfolios that are continuously protected againstunforeseen calamities. A complete guide to the increased control and lowered riskcovered call writing offers active investors and traders Addresses the changing investment environment and how to useoptions to succeed within it Explains how to use options with exchange-traded funds Understanding options is now more important than ever, and withOptions for Volatile Markets as your guide, you'll quicklylearn how to use them to protect your portfolio as well as improveits overall performance.
