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Relevant bibliographies by topics / Asset-price dynamics

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Academic literature on the topic 'Asset-price dynamics'

Author: Grafiati

Published: 4 June 2021

Last updated: 3 February 2022

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Journal articles on the topic "Asset-price dynamics"

1

Cheung, Yin-Wong. "Special Issue on Asset Price Dynamics and Risk Management." Multinational Finance Journal 4, no. 3/4 (2000): 155–57. http://dx.doi.org/10.17578/4-3/4-1.

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Gardini, Attilio, Giuseppe Cavaliere, and Michele Costa. "Fundamentals and asset price dynamics." Statistical Methods and Applications 12, no. 2 (2003): 211–26. http://dx.doi.org/10.1007/s10260-003-0053-3.

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Bulut, H., H. Merdan, and D. Swigon. "Asset price dynamics for a two-asset market system." Chaos: An Interdisciplinary Journal of Nonlinear Science 29, no. 2 (2019): 023114. http://dx.doi.org/10.1063/1.5046925.

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Lim, G. C., Vance L. Martin, and Leslie E. Teo. "ENDOGENOUS JUMPING AND ASSET PRICE DYNAMICS." Macroeconomic Dynamics 2, no. 2 (1998): 213–37. http://dx.doi.org/10.1017/s1365100598007044.

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A model of asset price dynamics is derived in which large jumps in stock prices are determined endogenously. An important property of the model is that it can lead to asset price distributions that are multimodal. The model can explain how relatively small changes in dividends can lead to relatively large changes in asset prices and it can be used to identify the time period in which bubbles begin and end. The framework is applied to modeling the U.S. stock market crash in October 1987. Some forecasting experiments also are conducted with the result that the model is able to predict the size o

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Caginalp, G., and H. Merdan. "Asset price dynamics with heterogeneous groups." Physica D: Nonlinear Phenomena 225, no. 1 (2007): 43–54. http://dx.doi.org/10.1016/j.physd.2006.09.036.

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6

Chia-Hsuan Yeh and Chun-Yi Yang. "Social Networks and Asset Price Dynamics." IEEE Transactions on Evolutionary Computation 19, no. 3 (2015): 387–99. http://dx.doi.org/10.1109/tevc.2014.2322121.

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7

Kyung-Soo, Kim, and Lee Jaewoo. "Asset Price And Current Account Dynamics." International Economic Journal 15, no. 3 (2001): 85–108. http://dx.doi.org/10.1080/10168730100000045.

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KIM, KYUNG-SOO, and JAEWOO LEE. "ASSET PRICE AND CURRENT ACCOUNT DYNAMICS." International Economic Journal 15, no. 3 (2001): 85–108. http://dx.doi.org/10.1080/10168730100080021.

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Gyles, Anthony F. "Asset Price Dynamics, Volatility, and Prediction." Journal of the Royal Statistical Society: Series A (Statistics in Society) 170, no. 4 (2007): 1187–89. http://dx.doi.org/10.1111/j.1467-985x.2007.00506_18.x.

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Bondarenko, Julia, and Nicole Branger. "Alternative model for asset price dynamics." Computing and Visualization in Science 10, no. 4 (2007): 211–17. http://dx.doi.org/10.1007/s00791-007-0071-z.

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Dissertations / Theses on the topic "Asset-price dynamics"

1

Precup, Ovidiu Vasile. "New methods for measuring correlation and modelling asset price dynamics." Thesis, London School of Economics and Political Science (University of London), 2011. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.551341.

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The first two chapters of the thesis are a comparative study of several methods for correlation estimation from high-frequency data. These range from the well established Pearson correlation coefficient and Spearman's rho to the more recently proposed realised correlation and Fourier method estimators. Measuring correlation from high-frequency data is impeded by two main problems. One problem stems from the asynchronous and non-homogeneous nature of the time series and the other is caused by a market microstructure effect called the "Epps effect". The performance of each correlation method in

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2

Sim, Min Kyu. "Empirical findings in asset price dynamics revealed by quantitative modelling." Diss., Georgia Institute of Technology, 2014. http://hdl.handle.net/1853/54302.

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This dissertation addresses the fundamental question of what factors drive equity prices and investigates the mechanisms through which the drivers influence the price dynamics. The studies are based on the two different frequency levels of financial data. The first part aims to identify what systematic risk factors affect the expected return of stocks based on historical data with frequency being daily or monthly. The second part aims to explain how the hidden supply-demand of a stock affects the stock price dynamics based on market data observed at frequency levels generally between a mill

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3

Burgess, Andrew Neil. "A computational methodology for modelling the dynamics of statistical arbitrage." Thesis, London Business School (University of London), 2000. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.311932.

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Chu, Mei-Lie. "Exchange rate and asset price dynamics in a small open economy." The Ohio State University, 1986. http://rave.ohiolink.edu/etdc/view?acc_num=osu1279736179.

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Thurner, Stefan, Engelbert J. Dockner, and Andrea Gaunersdorfer. "Asset Price Dynamics in a Model of Investors Operating on Different Time Horizons." SFB Adaptive Information Systems and Modelling in Economics and Management Science, WU Vienna University of Economics and Business, 2002. http://epub.wu.ac.at/786/1/document.pdf.

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We present a dynamic asset pricing model based on a heterogenous class of traders. These traders are homogenous in the sense that they are fundamentalists who base their investment decisions on an exogenoulsy given fundamental value. They are heterogenous in the sense that each trader is working with a different frequency of the underlying price data. As a result we have a system of interacting investors who together influence the market price. We derive a system that characterizes out-of-equilibrium dynamics of prices in this market which is structurally equivalent to the Nosé-Hoover thermost

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6

Haboub, Ahmad. "Essays on equity valuation and accounting conservatism for insurance companies." Thesis, Brunel University, 2017. http://bura.brunel.ac.uk/handle/2438/15823.

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This thesis contributes to the literature in the finance and accounting field throughout its three empirical chapters. The first empirical chapter contributes to the literature on accounting conservatism in several ways; first, it investigates the accounting conservatism of US insurance companies using four measures, namely, non-operating accruals, skewness of earnings and cash flows, book to market ratio and asymmetric timeliness measures. Second, this paper compares these four measures in order to determine the association and differences between them. Finally, the level of accounting conser

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Gustavsson, Marcus, and Daniel Levén. "The Predictability of Speculative Bubbles : An examination of the log-periodic power law model." Thesis, Linköpings universitet, Nationalekonomi, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-120378.

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In this thesis we examine the ability of the log-periodic power law model to accurately predict the end of speculative bubbles on financial markets through modeling of asset price dynamics on a selection of historical bubbles. The methods we use are based on a nonlinear least squares estimation which yields predictions of when the bubble will change regime.We find evidence which support the occurrence of LPPL-patterns leading up to the change in regime; asset prices during bubble periods seem to oscillate around a faster-than-exponential growth. In most cases the estimation yields accurate pre

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Gaunersdorfer, Andrea. "Adaptive beliefs and the volatility of asset prices." SFB Adaptive Information Systems and Modelling in Economics and Management Science, WU Vienna University of Economics and Business, 2000. http://epub.wu.ac.at/1250/1/document.pdf.

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I present a simple model of an evolutionary financial market with heterogeneous agents, based on the concept of adaptive belief systems introduced by Brock and Hommes (1997a). Agents choose between different forecast rules based on past performance, resulting in an evolutionary dynamics across predictor choice coupled to the equilibrium dynamics. The model generates endogenous price fluctuations with similar statistical properties as those observed in real return data, such as fat tails and volatility clustering. These similarities are demonstrated for data from the British, German, and Austri

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Cheriyan, Vinod. "Models of human behavior with applications to finance and pricing." Diss., Georgia Institute of Technology, 2014. http://hdl.handle.net/1853/52310.

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This thesis presents two classes of models of boundedly rational decision makers - one with application to finance and the other to pricing. It consists of three parts. The first part of the thesis investigates the impact of investors' boundedly rational forecasting on asset price bubbles. We present a class of models, called extrapolation-correction models, of boundedly rational investor behavior. That is, the investors in our model, quite reasonably, use data available to them, i.e. past price data, to form forecasts about future prices. We relate the model parameters to various behavioral

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Mokbel, Rita. "Systemic risk in financial economic institutions." Thesis, Besançon, 2016. http://www.theses.fr/2016BESA2080.

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Les crises financières et les problèmes se formaient mais les indicateurs ne sont pas précis pour permettre une intervention réglementaire. La thèse propose un modèle dynamique pour le système bancaire avec une banque centrale afin de calculer un indicateur de faillite en fonction de la probabilité qu'une banque soit en faillite et les pertes rencontrées dans le réseau financier, une méthodologie qui peut améliorer la mesure, le suivi et la gestion du risque systémique.La thèse propose également des mécanismes de compensation : 1- avec un modèle considérant l'ancienneté du passif et avec un ty

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Books on the topic "Asset-price dynamics"

1

Asset price dynamics, volatility, and prediction. Princeton University Press, 2005.

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2

Jawadi, Fredj, ed. Uncertainty, Expectations and Asset Price Dynamics. Springer International Publishing, 2018. http://dx.doi.org/10.1007/978-3-319-98714-9.

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3

Cochrane, John H. Two trees: Asset price dynamics induced by market clearing. National Bureau of Economic Research, 2003.

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4

Campbell, John Y. Where do betas come from?: Asset price dynamics and the sources of systematic risk. National Bureau of Economic Research, 1993.

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5

Chan, Yeung Lewis. Catching up with the Joneses: Heterogeneous preferences and the dynamics of asset prices. National Bureau of Economic Research, 2001.

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6

Taylor, Stephen J. Asset Price Dynamics, Volatility, and Prediction. Princeton University Press, 2011.

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7

Taylor, Stephen J. Asset Price Dynamics, Volatility, and Prediction. Princeton University Press, 2007.

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8

Taylor, Stephen J. Asset Price Dynamics, Volatility, and Prediction. Princeton University Press, 2011.

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9

Uncertainty, Expectations and Asset Price Dynamics: Essays in Honor of Georges Prat. Springer, 2018.

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10

Back, Kerry E. Dynamic Securities Markets. Oxford University Press, 2017. http://dx.doi.org/10.1093/acprof:oso/9780190241148.003.0008.

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The dynamic model with time‐additive utility is defined. The intertemporal budget constraint is explained. SDF processes are defined in terms of a martingale property. There is a strictly positive SDF process if and only if there are no arbitrage opportunities. Dynamic complete markets are explained. The difference between the price of an asset and its value calculated from an SDF process is called a bubble. There is no bubble if a transversality condition is satisfied. Some constraints on trading strategies are needed to rule out Ponzi schemes. SDF processes are derived for nominal asset pric

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Book chapters on the topic "Asset-price dynamics"

1

Pachamanova, Dessislava A., and Frank J. Fabozzi. "Modeling Asset Price Dynamics." In The Theory and Practice of Investment Management. John Wiley & Sons, Inc., 2011. http://dx.doi.org/10.1002/9781118267028.ch6.

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Porras, Eva R. "Asset Price Dynamics and Stochastic Processes." In Bubbles and Contagion in Financial Markets, Volume 2. Palgrave Macmillan UK, 2017. http://dx.doi.org/10.1057/978-1-137-52442-3_1.

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MacLean, Leonard, and Yonggan Zhao. "Asset Price Dynamics: Shocks and Regimes." In Optimal Financial Decision Making under Uncertainty. Springer International Publishing, 2016. http://dx.doi.org/10.1007/978-3-319-41613-7_2.

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4

Yeung, David W. K. "Equilibrium Asset Price Dynamics with Holding-Term Switching." In Decision & Control in Management Science. Springer US, 2002. http://dx.doi.org/10.1007/978-1-4757-3561-1_12.

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5

Gannon, Gerard L. "Stochastic Volatility Structures and Intraday Asset Price Dynamics." In Handbook of Financial Econometrics and Statistics. Springer New York, 2014. http://dx.doi.org/10.1007/978-1-4614-7750-1_44.

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6

Chiarella, Carl, Roberto Died, and Laura Gardini. "Asset Price Dynamics and Diversification with Heterogeneous Agents." In Lecture Notes in Economics and Mathematical Systems. Springer Berlin Heidelberg, 2005. http://dx.doi.org/10.1007/3-540-27296-8_17.

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7

Ellen, Saskia ter, and Willem F. C. Verschoor. "Heterogeneous Beliefs and Asset Price Dynamics: A Survey of Recent Evidence." In Dynamic Modeling and Econometrics in Economics and Finance. Springer International Publishing, 2018. http://dx.doi.org/10.1007/978-3-319-98714-9_3.

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Brock, William A., and Cars H. Hommes. "Heterogeneous Beliefs and Routes to Complex Dynamics in Asset Pricing Models with Price Contingent Contracts." In Equilibrium, Markets and Dynamics. Springer Berlin Heidelberg, 2002. http://dx.doi.org/10.1007/978-3-642-56131-3_18.

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Chiarella, Carl, Xue-Zhong He, and Christina Sklibosios Nikitopoulos. "Stochastic Processes for Asset Price Modelling." In Dynamic Modeling and Econometrics in Economics and Finance. Springer Berlin Heidelberg, 2015. http://dx.doi.org/10.1007/978-3-662-45906-5_2.

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10

"Asset Price Dynamics." In Money, Payments, and Liquidity. The MIT Press, 2017. http://dx.doi.org/10.7551/mitpress/10518.003.0017.

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Conference papers on the topic "Asset-price dynamics"

1

Thurner, Stefan. "A dynamical thermostat approach to financial asset price dynamics." In Modeling complex systems. AIP, 2001. http://dx.doi.org/10.1063/1.1386819.

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2

Kolmanovsky, I., and T. L. Maizenberg. "Efficient frontier determination for dynamic investing policies: jump-diffusion driven asset price model." In Proceedings of 2002 American Control Conference. IEEE, 2002. http://dx.doi.org/10.1109/acc.2002.1024599.

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3

Li, Yiming, Chih-Young Hung, Shao-Ming Yu, Su-Yun Chiang, Yi-Hui Chiang, and Hui-Wen Cheng. "A Variable Coefficient Method for Accurate Monte Carlo Simulation of Dynamic Asset Price." In NOISE AND FLUCTUATIONS: 19th International Conference on Noise and Fluctuations; ICNF 2007. AIP, 2007. http://dx.doi.org/10.1063/1.2759756.

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Sajjad, Farasdaq, Jemi Jaenudin, Steven Chandra, et al. "Data-Driven Multi-Asset Optimisation Under Uncertainty: A Case Study Using the New Indonesia's Fiscal Policy." In International Petroleum Technology Conference. IPTC, 2021. http://dx.doi.org/10.2523/iptc-21425-ms.

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Abstract Optimizing multiple assets under uncertain techno-economic conditions and tight government policies is challenging. Operator needs to establish flexible Plan of Development (POD)s and put priority in developing multiple fields. The complexity of production and the profit margin should be simultaneously evaluated. In this work, we present a new workflow to perform such a rigorous optimization under uncertainty using the case study of PHE ONWJ, Indonesia. We begin the workflow by identifying the uncertain parameters and their prior distributions. We classify the parameters into three ma

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Reports on the topic "Asset-price dynamics"

1

Cochrane, John, Francis Longstaff, and Pedro Santa-Clara. Two Trees: Asset Price Dynamics Induced by Market Clearing. National Bureau of Economic Research, 2003. http://dx.doi.org/10.3386/w10116.

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Campbell, John, and Jianping Mei. Where do Betas Come From? Asset Price Dynamics and the Sources of Systematic Risk. National Bureau of Economic Research, 1993. http://dx.doi.org/10.3386/w4329.

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