Forecasting Expected Returns in the Financial Markets

Forecasting Expected Returns in the Financial Markets
Author: Stephen Satchell
Publsiher: Elsevier
Total Pages: 304
Release: 2011-04-08
ISBN: 0080550673
Category: Business & Economics
Language: EN, FR, DE, ES & NL

Forecasting Expected Returns in the Financial Markets Book Excerpt:

Forecasting returns is as important as forecasting volatility in multiple areas of finance. This topic, essential to practitioners, is also studied by academics. In this new book, Dr Stephen Satchell brings together a collection of leading thinkers and practitioners from around the world who address this complex problem using the latest quantitative techniques. *Forecasting expected returns is an essential aspect of finance and highly technical *The first collection of papers to present new and developing techniques *International authors present both academic and practitioner perspectives

Forecasting Volatility in the Financial Markets

Forecasting Volatility in the Financial Markets
Author: Stephen Satchell,John Knight
Publsiher: Elsevier
Total Pages: 420
Release: 2002-08-22
ISBN: 0080494978
Category: Business & Economics
Language: EN, FR, DE, ES & NL

Forecasting Volatility in the Financial Markets Book Excerpt:

'Forecasting Volatility in the Financial Markets' assumes that the reader has a firm grounding in the key principles and methods of understanding volatility measurement and builds on that knowledge to detail cutting edge modelling and forecasting techniques. It then uses a technical survey to explain the different ways to measure risk and define the different models of volatility and return. The editors have brought together a set of contributors that give the reader a firm grounding in relevant theory and research and an insight into the cutting edge techniques applied in this field of the financial markets. This book is of particular relevance to anyone who wants to understand dynamic areas of the financial markets. * Traders will profit by learning to arbitrage opportunities and modify their strategies to account for volatility. * Investment managers will be able to enhance their asset allocation strategies with an improved understanding of likely risks and returns. * Risk managers will understand how to improve their measurement systems and forecasts, enhancing their risk management models and controls. * Derivative specialists will gain an in-depth understanding of volatility that they can use to improve their pricing models. * Students and academics will find the collection of papers an invaluable overview of this field. This book is of particular relevance to those wanting to understand the dynamic areas of volatility modeling and forecasting of the financial marketsProvides the latest research and techniques for Traders, Investment Managers, Risk Managers and Derivative Specialists wishing to manage their downside risk exposure Current research on the key forecasting methods to use in risk management, including two new chapters

Predicting the Unpredictable

Predicting the Unpredictable
Author: Terence C. Mills
Publsiher: London School of Economics and Political Science
Total Pages: 46
Release: 1992
ISBN: 1928374650XXX
Category: Investment analysis
Language: EN, FR, DE, ES & NL

Predicting the Unpredictable Book Excerpt:

The author discusses how research in financial markets has evolved and whether the application of theories can ever be translated into 'excess profits'.

Forecasting Financial Markets in India

Forecasting Financial Markets in India
Author: Rudra Prakash Pradhan
Publsiher: Allied Publishers
Total Pages: 209
Release: 2009
ISBN: 9788184244267
Category: Finance, Personal
Language: EN, FR, DE, ES & NL

Forecasting Financial Markets in India Book Excerpt:

Papers presented at the Forecasting Financial Markets in India, held at Kharagpur during 29-31 December 2008.

Portfolio Theory and Management

Portfolio Theory and Management
Author: H. Kent Baker,Greg Filbeck
Publsiher: Oxford University Press
Total Pages: 816
Release: 2013-01-07
ISBN: 019931151X
Category: Business & Economics
Language: EN, FR, DE, ES & NL

Portfolio Theory and Management Book Excerpt:

Portfolio management is an ongoing process of constructing portfolios that balances an investor's objectives with the portfolio manager's expectations about the future. This dynamic process provides the payoff for investors. Portfolio management evaluates individual assets or investments by their contribution to the risk and return of an investor's portfolio rather than in isolation. This is called the portfolio perspective. Thus, by constructing a diversified portfolio, a portfolio manager can reduce risk for a given level of expected return, compared to investing in an individual asset or security. According to modern portfolio theory (MPT), investors who do not follow a portfolio perspective bear risk that is not rewarded with greater expected return. Portfolio diversification works best when financial markets are operating normally compared to periods of market turmoil such as the 2007-2008 financial crisis. During periods of turmoil, correlations tend to increase thus reducing the benefits of diversification. Portfolio management today emerges as a dynamic process, which continues to evolve at a rapid pace. The purpose of Portfolio Theory and Management is to take readers from the foundations of portfolio management with the contributions of financial pioneers up to the latest trends emerging within the context of special topics. The book includes discussions of portfolio theory and management both before and after the 2007-2008 financial crisis. This volume provides a critical reflection of what worked and what did not work viewed from the perspective of the recent financial crisis. Further, the book is not restricted to the U.S. market but takes a more global focus by highlighting cross-country differences and practices. This 30-chapter book consists of seven sections. These chapters are: (1) portfolio theory and asset pricing, (2) the investment policy statement and fiduciary duties, (3) asset allocation and portfolio construction, (4) risk management, (V) portfolio execution, monitoring, and rebalancing, (6) evaluating and reporting portfolio performance, and (7) special topics.

Financial Markets and the Real Economy

Financial Markets and the Real Economy
Author: John Howland Cochrane
Publsiher: Now Publishers Inc
Total Pages: 103
Release: 2005
ISBN: 1933019158
Category: Business & Economics
Language: EN, FR, DE, ES & NL

Financial Markets and the Real Economy Book Excerpt:

Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.

Economics for Financial Markets

Economics for Financial Markets
Author: Brian Kettell
Publsiher: Elsevier
Total Pages: 384
Release: 2001-11-23
ISBN: 0080494633
Category: Business & Economics
Language: EN, FR, DE, ES & NL

Economics for Financial Markets Book Excerpt:

Successful trading, speculating or simply making informed decisions about financial markets means it is essential to have a firm grasp of economics. Financial market behaviour revolves around economic concepts, however the majority of economic textbooks do not tell the full story. To fully understand the behaviour of financial markets it is essential to have a model that enables new information to be absorbed and analysed with some predictive implications. That model is provided by the business cycle. 'Economics for Financial Markets' takes the reader from the basics of financial market valuation to a more sophisticated understanding of the actions that traders take which ultimately drives the volatility in the financial markets. The author shows traders, investment managers, risk managers and finance professionals how to distil the flow of information and show what needs to be concentrated on, covering topics such as: * Why are financial markets subject to economic fashions? * How has the New Economy changed financial market behaviour? * Does the creation of the euro fundamentally change the behaviour of the currency markets? Shows how to distil the vast amount of information in financial markets and identify what is important Demonstrates how the "New Economy" had changed financial market behaviour Explains how to follow the behaviour of central banks

Predicting Excess Returns in Financial Markets

Predicting Excess Returns in Financial Markets
Author: Fabio Canova,Jane Marrinan,European University Institute. Department of Economics
Publsiher: Unknown
Total Pages: 31
Release: 1993
ISBN: 1928374650XXX
Category: Capital market
Language: EN, FR, DE, ES & NL

Predicting Excess Returns in Financial Markets Book Excerpt:

Financial Risk Forecasting

Financial Risk Forecasting
Author: Jon Danielsson
Publsiher: John Wiley & Sons
Total Pages: 296
Release: 2011-04-20
ISBN: 1119977118
Category: Business & Economics
Language: EN, FR, DE, ES & NL

Financial Risk Forecasting Book Excerpt:

Financial Risk Forecasting is a complete introduction to practical quantitative risk management, with a focus on market risk. Derived from the authors teaching notes and years spent training practitioners in risk management techniques, it brings together the three key disciplines of finance, statistics and modeling (programming), to provide a thorough grounding in risk management techniques. Written by renowned risk expert Jon Danielsson, the book begins with an introduction to financial markets and market prices, volatility clusters, fat tails and nonlinear dependence. It then goes on to present volatility forecasting with both univatiate and multivatiate methods, discussing the various methods used by industry, with a special focus on the GARCH family of models. The evaluation of the quality of forecasts is discussed in detail. Next, the main concepts in risk and models to forecast risk are discussed, especially volatility, value-at-risk and expected shortfall. The focus is both on risk in basic assets such as stocks and foreign exchange, but also calculations of risk in bonds and options, with analytical methods such as delta-normal VaR and duration-normal VaR and Monte Carlo simulation. The book then moves on to the evaluation of risk models with methods like backtesting, followed by a discussion on stress testing. The book concludes by focussing on the forecasting of risk in very large and uncommon events with extreme value theory and considering the underlying assumptions behind almost every risk model in practical use – that risk is exogenous – and what happens when those assumptions are violated. Every method presented brings together theoretical discussion and derivation of key equations and a discussion of issues in practical implementation. Each method is implemented in both MATLAB and R, two of the most commonly used mathematical programming languages for risk forecasting with which the reader can implement the models illustrated in the book. The book includes four appendices. The first introduces basic concepts in statistics and financial time series referred to throughout the book. The second and third introduce R and MATLAB, providing a discussion of the basic implementation of the software packages. And the final looks at the concept of maximum likelihood, especially issues in implementation and testing. The book is accompanied by a website - www.financialriskforecasting.com – which features downloadable code as used in the book.

Forecast of Financial Markets Stock Prices Using Neural Networks and ANFIS

Forecast of Financial Markets Stock Prices Using Neural Networks and ANFIS
Author: Luis Alberto Valencia Vega
Publsiher: Unknown
Total Pages: 135
Release: 2011
ISBN: 1928374650XXX
Category: Finance
Language: EN, FR, DE, ES & NL

Forecast of Financial Markets Stock Prices Using Neural Networks and ANFIS Book Excerpt:

The financial market is a very complex nonlinear series of time. There have been a lot of opinions in the topic of the predictability of it. The need to predict a next day, week, or month has always existed for the final purpose of making money. The most common way of forecasting this time series is with statistic methods and linear regression models. However, the use of artificial intelligence algorithms may have a better outcome, due to the capability of them to handle nonlinear data. The present thesis will be focused on evaluating the use of artificial intelligence algorithms as forecasters for financial markets stock prices. Two algorithms will be used, Feed-Forward Neural networks and Adaptive Neuro-Fuzzy Inference Systems (ANFIS). All forecasts are made with the purpose of a short term trading strategy. Three stocks will be used as an example of the consistency of the method; Google, Apple and the Mexican stock ALFA. These three stocks have different distributed data and different behavior from the neural networks and ANFIS ¡s expected.

Portfolio Risk Analysis

Portfolio Risk Analysis
Author: Gregory Connor,Lisa R. Goldberg,Robert A. Korajczyk
Publsiher: Princeton University Press
Total Pages: 400
Release: 2010-03-15
ISBN: 1400835291
Category: Business & Economics
Language: EN, FR, DE, ES & NL

Portfolio Risk Analysis Book Excerpt:

Portfolio risk forecasting has been and continues to be an active research field for both academics and practitioners. Almost all institutional investment management firms use quantitative models for their portfolio forecasting, and researchers have explored models' econometric foundations, relative performance, and implications for capital market behavior and asset pricing equilibrium. Portfolio Risk Analysis provides an insightful and thorough overview of financial risk modeling, with an emphasis on practical applications, empirical reality, and historical perspective. Beginning with mean-variance analysis and the capital asset pricing model, the authors give a comprehensive and detailed account of factor models, which are the key to successful risk analysis in every economic climate. Topics range from the relative merits of fundamental, statistical, and macroeconomic models, to GARCH and other time series models, to the properties of the VIX volatility index. The book covers both mainstream and alternative asset classes, and includes in-depth treatments of model integration and evaluation. Credit and liquidity risk and the uncertainty of extreme events are examined in an intuitive and rigorous way. An extensive literature review accompanies each topic. The authors complement basic modeling techniques with references to applications, empirical studies, and advanced mathematical texts. This book is essential for financial practitioners, researchers, scholars, and students who want to understand the nature of financial markets or work toward improving them.

Portfolio Structuring and the Value of Forecasting

Portfolio Structuring and the Value of Forecasting
Author: Jacques Lussier,Andrew Ang,Mark Carhart,Craig Bodenstab,Philip E. Tetlock,Warren Hatch,David Rapach
Publsiher: CFA Institute Research Foundation
Total Pages: 36
Release: 2016-10-10
ISBN: 1944960090
Category: Business & Economics
Language: EN, FR, DE, ES & NL

Portfolio Structuring and the Value of Forecasting Book Excerpt:

Forecasting Volatility in the Financial Markets

Forecasting Volatility in the Financial Markets
Author: Stephen Satchell,John Knight
Publsiher: Elsevier
Total Pages: 432
Release: 2011-02-24
ISBN: 0080471420
Category: Business & Economics
Language: EN, FR, DE, ES & NL

Forecasting Volatility in the Financial Markets Book Excerpt:

This new edition of Forecasting Volatility in the Financial Markets assumes that the reader has a firm grounding in the key principles and methods of understanding volatility measurement and builds on that knowledge to detail cutting-edge modelling and forecasting techniques. It provides a survey of ways to measure risk and define the different models of volatility and return. Editors John Knight and Stephen Satchell have brought together an impressive array of contributors who present research from their area of specialization related to volatility forecasting. Readers with an understanding of volatility measures and risk management strategies will benefit from this collection of up-to-date chapters on the latest techniques in forecasting volatility. Chapters new to this third edition: * What good is a volatility model? Engle and Patton * Applications for portfolio variety Dan diBartolomeo * A comparison of the properties of realized variance for the FTSE 100 and FTSE 250 equity indices Rob Cornish * Volatility modeling and forecasting in finance Xiao and Aydemir * An investigation of the relative performance of GARCH models versus simple rules in forecasting volatility Thomas A. Silvey * Leading thinkers present newest research on volatility forecasting *International authors cover a broad array of subjects related to volatility forecasting *Assumes basic knowledge of volatility, financial mathematics, and modelling

The Dynamics of Expected Returns

The Dynamics of Expected Returns
Author: Daniele Bianchi,Andrea Tamoni
Publsiher: Unknown
Total Pages: 135
Release: 2016
ISBN: 1928374650XXX
Category: Electronic Book
Language: EN, FR, DE, ES & NL

The Dynamics of Expected Returns Book Excerpt:

Three Essays on Financial Markets and the Macroeconomy

Three Essays on Financial Markets and the Macroeconomy
Author: Shingo Goto
Publsiher: Unknown
Total Pages: 430
Release: 2001
ISBN: 1928374650XXX
Category: Inflation
Language: EN, FR, DE, ES & NL

Three Essays on Financial Markets and the Macroeconomy Book Excerpt:

Asset Pricing

Asset Pricing
Author: Hsien-hsing Liao,Jianping Mei
Publsiher: World Scientific
Total Pages: 264
Release: 2003
ISBN: 9812795618
Category: Business & Economics
Language: EN, FR, DE, ES & NL

Asset Pricing Book Excerpt:

Real estate finance is a fast-developing area where top quality research is in great demand. In the US, the real estate market is worth about US$4 trillion, and the REITs market about US$200 billion; tens of thousands of real estate professionals are working in this area. The market overseas could be considerably larger, especially in Asia. Given the rapidly growing real estate securities industry, this book fills an important gap in current real estate research and teaching. It is an ideal reference for investment professionals as well as senior MBA and PhD students. Contents: Introduction: Real Estate Analysis in a Dynamic Risk Environment; The Predictability of Returns on Equity REITs and Their Co-Movement with Other Assets; The Predictability of Real Estate Returns and Market Timing; A Time-Varying Risk Analysis of Equity and Real Estate Markets in the US and Japan; Price Reversal, Transaction Costs, and Arbitrage Profits in Real Estate Securities Market; Bank Risk and Real Estate: An Asset Pricing Perspective; Assessing the OC Santa ClausOCO Approach to Asset Allocation: Implications for Commercial Real Estate Investment; The Time-Variation of Risk for Life Insurance Companies; The Return Distributions of Property Shares in Emerging Markets; Conditional Risk Premiums of Asian Real Estate Stocks; Institutional Factors and Real Estate Returns: A Cross-Country Study. Readership: Financial researchers, real estate investors and investment bankers, as well as senior MBA and PhD students."

The Analytics of Risk Model Validation

The Analytics of Risk Model Validation
Author: George A. Christodoulakis,Stephen Satchell
Publsiher: Elsevier
Total Pages: 216
Release: 2007-11-14
ISBN: 9780080553887
Category: Business & Economics
Language: EN, FR, DE, ES & NL

The Analytics of Risk Model Validation Book Excerpt:

Risk model validation is an emerging and important area of research, and has arisen because of Basel I and II. These regulatory initiatives require trading institutions and lending institutions to compute their reserve capital in a highly analytic way, based on the use of internal risk models. It is part of the regulatory structure that these risk models be validated both internally and externally, and there is a great shortage of information as to best practise. Editors Christodoulakis and Satchell collect papers that are beginning to appear by regulators, consultants, and academics, to provide the first collection that focuses on the quantitative side of model validation. The book covers the three main areas of risk: Credit Risk and Market and Operational Risk. *Risk model validation is a requirement of Basel I and II *The first collection of papers in this new and developing area of research *International authors cover model validation in credit, market, and operational risk

Computational Finance Using C and C

Computational Finance Using C and C
Author: George Levy
Publsiher: Academic Press
Total Pages: 384
Release: 2008-06-13
ISBN: 9780080878072
Category: Business & Economics
Language: EN, FR, DE, ES & NL

Computational Finance Using C and C Book Excerpt:

Computational Finance Using C and C# raises computational finance to the next level using the languages of both standard C and C#. The inclusion of both these languages enables readers to match their use of the book to their firm’s internal software and code requirements. The book also provides derivatives pricing information for equity derivates (vanilla options, quantos, generic equity basket options); interest rate derivatives (FRAs, swaps, quantos); foreign exchange derivatives (FX forwards, FX options); and credit derivatives (credit default swaps, defaultable bonds, total return swaps). This book is organized into 8 chapters, beginning with an overview of financial derivatives followed by an introduction to stochastic processes. The discussion then shifts to generation of random variates; European options; single asset American options; multi-asset options; other financial derivatives; and C# portfolio pricing application. The text is supported by a multi-tier website which enables purchasers of the book to download free software, which includes executable files, configuration files, and results files. With these files the user can run the C# portfolio pricing application and change the portfolio composition and the attributes of the deals. This book will be of interest to financial engineers and analysts as well as numerical analysts in banking, insurance, and corporate finance. Illustrates the use of C# design patterns, including dictionaries, abstract classes, and .NET InteropServices.

Monetary Economics in Globalised Financial Markets

Monetary Economics in Globalised Financial Markets
Author: Ansgar Belke,Thorsten Polleit
Publsiher: Springer Science & Business Media
Total Pages: 819
Release: 2011-06-14
ISBN: 3540710027
Category: Business & Economics
Language: EN, FR, DE, ES & NL

Monetary Economics in Globalised Financial Markets Book Excerpt:

This book integrates the fundamentals of monetary theory, monetary policy theory and financial market theory, providing an accessible introduction to the workings and interactions of globalised financial markets. Includes examples and extensive data analyses.

A Non Random Walk Down Wall Street

A Non Random Walk Down Wall Street
Author: Andrew W. Lo,A. Craig MacKinlay
Publsiher: Princeton University Press
Total Pages: 448
Release: 2002-01-15
ISBN: 0691092567
Category: Business & Economics
Language: EN, FR, DE, ES & NL

A Non Random Walk Down Wall Street Book Excerpt:

For 50 years, financial experts have regarded the movements of markets as a random walk, and this hypothesis has become a cornerstone of modern financial economics. Lo and MacKinlay put the random walk hypothesis to the test in this volume, which elegantly integrates their most important articles.