Handbook of financial markets dynamics and evolution
The models of portfolio selection and asset price dynamics in this volume seek to explain the market dynamics of asset prices. Presenting a range of analytical, empirical, and numerical techniques as well as several different modeling approaches, the authors depict the state of debate on the market...
| Otros Autores: | , |
|---|---|
| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
Amsterdam ; London :
North Holland
c2009.
|
| Edición: | 1st edition |
| Colección: | Handbooks in finance.
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| Materias: | |
| Ver en Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009627318506719 |
Tabla de Contenidos:
- Front Cover; Handbook of Financial Markets: Dyanamics and Evolution; Copyright Page; Contents; List of Contributors; Preface; Introduction to the Series; Chapter 1 Thought and Behavior Contagion in Capital Markets; 1.1. Introduction; 1.2. Sources of Behavioral Convergence; 1.3. Rational Learning and Information Cascades: Basic Implications; 1.4. What Is Communicated or Observed?; 1.5. Psychological Bias; 1.6. Reputation, Contracts, and Herding; 1.7. Security Analysis; 1.8. Herd Behavior and Cascades in Security Trading; 1.9. Markets, Equilibrium Prices, and Bubbles
- 1.10. Cascades and Herding in Firm Behavior1.11. Contagion of Financial Memes; 1.12. Conclusion; References; Chapter 2 How Markets Slowly Digest Changes in Supply and Demand; 2.1. Introduction; 2.2. Market Structure; 2.3. Information, Liquidity, and Efficiency; 2.4. Large Fluctuations and Long Memory of Order Flow; 2.5. Summary of Empirical Results for Diverse Types of Market Impact; 2.6. Theory of Market Impact; 2.7. The Determinants of the Bid-Ask Spread; 2.8. Liquidity and Volatility; 2.9. Order Book Dynamics; 2.10. Impact and Optimized Execution Strategies
- 2.11. Toward an Empirical Characterization of a Market Ecology2.12 Conclusion; Appendix 2.1: Mechanical vs. Nonmechanical Impact; Appendix 2.2: Volume Fluctuations; Appendix 2.3: The Bid-Ask Spread in the MRR Model; References; Chapter 3 Stochastic Behavioral Asset-Pricing Models and the Stylized Facts; 3.1. Introduction; 3.2. The Stylized Facts of Financial Data; 3.3. The Stylized Facts as "Scaling Laws"; 3.4. Behavioral Asset-Pricing Models with Interacting Agents; 3.5. Conclusion; References; Chapter 4 Complex Evolutionary Systems in Behavioral Finance; 4.1. Introduction
- 4.2. An Asset-Pricing Model with Heterogeneous Beliefs4.3. Simple Examples; 4.4. Many Trader Types; 4.5. Empirical Validation; 4.6. Laboratory Experiments; 4.7. Conclusion; Appendix 4.1: Bifurcation Theory; Appendix 4.2: Bifurcation Scenarios; References; Chapter 5 Heterogeneity, Market Mechanisms, and Asset Price Dynamics; 5.1. Introduction; 5.2. Heterogeneity and Market-Clearing Mechanisms; 5.3. Price Dynamics Implied by the CARA Utility Function; 5.4. Price Behavior and Wealth Dynamics Implied by the CRRA Utility; 5.5. Empirical Behavior
- 5.6. Heterogeneity in a Dynamic Multiasset Framework5.7. The Continuous Stochastic Dynamics of Speculative Behavior; 5.8. Conclusion; References; Chapter 6 Perfect Forecasting, Behavioral Heterogeneities, and Asset Prices; 6.1. Introduction; 6.2. The CAPM as a Two-Period Equilibrium Model; 6.3. Heterogeneous Beliefs and Social Interaction; 6.4. Multiperiod Planning Horizons; 6.5. Nonergodic Asset Prices; 6.6. Conclusion; References; Chapter 7 Market Selection and Asset Pricing; 7.1. Introduction; 7.2. The Economy; 7.3. Equilibrium Allocations and Prices; 7.4. Selection
- 7.5. Multiple Survivors
