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Author: Clive M. Corcoran
Publisher: John Wiley & Sons
ISBN: 0470065311
Category : Business & Economics
Languages : en
Pages : 358
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Book Description
Hedge funds are now the largest volume players in the capital markets. They follow a wide assortment of strategies but their activities have replaced and overshadowed the traditional model of the long only portfolio manager. Many of the traditional technical indicators and commonly accepted trading strategies have become obsolete or ineffective. The focus throughout the book is to describe the principal innovations that have been made within the equity markets over the last several years and that have changed the ground rules for trading activities. By understanding these changes the active trader is far better equipped to profit in today’s more complex and risky markets. Long/Short Market Dynamics includes: A completely new technique, Comparative Quantiles Analysis, for identifying market turning points is introduced. It is based on statistical techniques that can be used to recognize money flow and price/momentum divergences that can provide substantial profit opportunities. Power laws, regime shifts, self-organized criticality, phase transitions, network dynamics, econophysics, algorithmic trading and other ideas from the science of complexity are examined. All are described as concretely as possible and avoiding unnecessary mathematics and formalism. Alpha generation, portfolio construction, hedge ratios, and beta neutral portfolios are illustrated with case studies and worked examples. Episodes of financial contagion are illustrated with a proposed explanation of their origins within underlying market dynamics
Author: Clive M. Corcoran
Publisher: John Wiley & Sons
ISBN: 0470065311
Category : Business & Economics
Languages : en
Pages : 358
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Book Description
Hedge funds are now the largest volume players in the capital markets. They follow a wide assortment of strategies but their activities have replaced and overshadowed the traditional model of the long only portfolio manager. Many of the traditional technical indicators and commonly accepted trading strategies have become obsolete or ineffective. The focus throughout the book is to describe the principal innovations that have been made within the equity markets over the last several years and that have changed the ground rules for trading activities. By understanding these changes the active trader is far better equipped to profit in today’s more complex and risky markets. Long/Short Market Dynamics includes: A completely new technique, Comparative Quantiles Analysis, for identifying market turning points is introduced. It is based on statistical techniques that can be used to recognize money flow and price/momentum divergences that can provide substantial profit opportunities. Power laws, regime shifts, self-organized criticality, phase transitions, network dynamics, econophysics, algorithmic trading and other ideas from the science of complexity are examined. All are described as concretely as possible and avoiding unnecessary mathematics and formalism. Alpha generation, portfolio construction, hedge ratios, and beta neutral portfolios are illustrated with case studies and worked examples. Episodes of financial contagion are illustrated with a proposed explanation of their origins within underlying market dynamics
Author: Thorsten Hens
Publisher: Elsevier
ISBN: 0080921434
Category : Business & Economics
Languages : en
Pages : 607
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Book Description
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 selection hypothesis. By explicitly assuming the heterogeneity of investors, they present models that are descriptive and normative as well, making the volume useful for both finance theorists and financial practitioners. Explains the market dynamics of asset prices, offering insights about asset management approaches Assumes a heterogeneity of investors that yields descriptive and normative models of portfolio selections and asset pricing dynamics
Author: Joseph L. McCauley
Publisher: Cambridge University Press
ISBN: 1139479571
Category : Business & Economics
Languages : en
Pages : 287
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Book Description
This second edition presents the advances made in finance market analysis since 2005. The book provides a careful introduction to stochastic methods along with approximate ensembles for a single, historic time series. The new edition explains the history leading up to the biggest economic disaster of the 21st century. Empirical evidence for finance market instability under deregulation is given, together with a history of the explosion of the US Dollar worldwide. A model shows how bounds set by a central bank stabilized FX in the gold standard era, illustrating the effect of regulations. The book presents economic and finance theory thoroughly and critically, including rational expectations, cointegration and arch/garch methods, and replaces several of those misconceptions by empirically based ideas. This book will be of interest to finance theorists, traders, economists, physicists and engineers, and leads the reader to the frontier of research in time series analysis.
Author: El-hadj M. Bah
Publisher: Springer
ISBN: 1137597925
Category : Business & Economics
Languages : en
Pages : 285
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Book Description
This open access book utilizes new data to thoroughly analyze the main factors currently shaping the African housing market. Some of these factors include the supply and demand for housing finance, land tenure security issues, construction cost conundrum, infrastructure provision, and low-cost housing alternatives. Through detailed analysis, the authors investigate the political economy surrounding the continent’s housing market and the constraints that behind-the-scenes policy makers need to address in their attempts to provide affordable housing for the majority in need. With Africa’s urban population growing rapidly, this study highlights how broad demographic shifts and rapid urbanization are placing enormous pressure on the limited infrastructure in many cities and stretching the economic and social fabric of municipalities to their breaking point. But beyond providing a snapshot of the present conditions of the African housing market, the book offers recommendations and actionable measures for policy makers and other stakeholders on how best to provide affordable housing and alleviate Africa’s housing deficit. This work will be of particular interest to practitioners, non-governmental organizations, private sector actors, students and researchers of economic policy, international development, and urban development.
Author: Gilles Dufrénot
Publisher: Springer
ISBN: 3319052128
Category : Business & Economics
Languages : en
Pages : 322
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Book Description
This book discusses market microstructure environment within the context of the global financial crisis. In the first part, the market microstructure theory is recalled and the main microstructure models and hypotheses are discussed. The second part focuses on the main effects of the financial downturn through an examination of market microstructure dynamics. In particular, the effects of market imperfections and the limitations associated with microstructure models are discussed. Finally, the new regulations and recent developments for financial markets that aim to improve the market microstructure are discussed. Well-known experts on the subject contribute to the chapters in the book. A must-read for academic researchers, students and quantitative practitioners.
Author: Jati Sengupta
Publisher: Springer Science & Business Media
ISBN: 1461438527
Category : Business & Economics
Languages : en
Pages : 182
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Book Description
Economic growth of a country depends on its industries. The focus of modern growth theory is basically macroeconomics, although neoclassical models use competitive markets and the optimization behavior of households and firms in general equilibrium framework. The emphasis here is on industry growth, where the microfoundations of industry are analyzed in terms of economic efficiency. The various linkages which link firm growth with the industry growth are discerned here under various market structures both competitive and monopolistic. The role of information in facilitating market signals and allowing the adoption of new processes has been especially emphasized in this volume. Many issues of market failure and the suboptimality of competitive equilibria are due to incomplete and imperfect information structures and we need a comprehensive theory of information structures underlying the process of industry growth and its dynamics. This book will be of interest to economists studying economic and industry growth and innovation.
Author: Balwant Singh Mehta
Publisher: Springer Nature
ISBN: 9811390576
Category : Business & Economics
Languages : en
Pages : 178
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Book Description
This book addresses women’s changing role in and contributions to the Indian labour market. It explores how feminist theories and frameworks have changed over time and gradually been supplanted by new ones. The book explores the structural shift in women’s employment from farm to non-farm jobs in services and industries, both theoretically and empirically. Further, it examines the steady rise of women in high skilled or ‘new economy’ sectors like information and communication technology, electronics and telecom; and in low skilled work such as domestic work, particularly in urban areas. It also scrutinizes how emerging sectors of the economy are experimenting with new forms of employment by changing the temporal (part-time work, flexible hours), spatial (location of work) and contractual (temporary contracts) dimensions. Beyond analysing the above-mentioned aspects, the book discusses perennial challenges such as patriarchy, socio-cultural norms and gender-based labour market inequalities across occupations as a ‘glass ceiling’ or ‘sticky floor’. One of the book’s most important contributions is inclusion of detailed labour market statistics for women, with long-term trends and patterns, as well as comparisons with other countries and regions. In closing, the book highlights women’s participation in economic and non-economic activities and related quantification issues, i.e. the invisibility of women’s work, which remains a highly contentious aspect. Given its content, the book offers a valuable asset for a broad readership including academics, NGOs, and policymakers. “The subject of low work participation rates for women has been of concern to economists, gender specialists and policy makers for decades. This book makes an important contribution in understanding the role of women in development and identifies some new policy directions that could be initiated to facilitate greater employment of women.” - Rohini Nayyar, Former Principal Adviser, Yojana Aayog, Government of India “This book is timely and extremely relevant to the academic and policy debates in India. Given the puzzle of low and declining female labour force participation, it is critical to focus on where women work, beyond a supply-side perspective. In addition, efforts are needed to better measure women’s work, which is typically underreported. In both these dimensions, this book makes an important contribution, which will be valuable for both academics and policymakers.” - Sher Verick, Employment Policy and Analysis Programme (EPAP) of the International Training Centre (ITC), International Labour Organization “This book critically examines both theoretically and empirically the dynamics of changes in women’s participation in and contribution to the fast-transforming Indian labour market. The aspects covered include the essential issue of how the new forms of employment are impacting temporal, spatial and contractual dimensions. An excellent and compulsory read for academicians and policy-makers involved in gender as well as labour economics.” - Ritu Dewan, Former President, Indian Association for Women's Studies; Former Director & Professor, Dept. of Economics, University of Mumbai “The book is a required addition to the exiting literature on women’s work and employment for its comprehensive and distinctive approach. It is a unique blend of macro and micro level perspectives and issues capturing statistics.” - Neetha N., Acting Director & Professor, Centre for Women’s Development Studies (CWDS), New Delhi
Author: Steven J. Grisafi
Publisher: Createspace Independent Publishing Platform
ISBN: 9781492889052
Category : Financial engineering
Languages : en
Pages : 218
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Book Description
Investors in financial securities are desperate to find an advantage over their competition. Finance professionals often speak about market rotations. Market Dynamics makes their vague allusions a reality. The book presents a system theory approach to the dynamics of financial assets markets. Its purpose is to enable market analysts to describe the behavior of markets using reproducible mathematics that quantify the behavior as a step toward predicting future market behavior. Market behavior cannot be predicted with any degree of certainty from past performance. However, underlying all market performance is a distribution of probabilities that governs the evolution of a market in a stochastic fashion. Knowing those underlying probability distributions provides insight into future market movements and enables investors to anticipate market transients within well defined probability limits. There is a lot of fluff posing as investment advice and strategy. Market Dynamics gives no investment advice nor strategy. The book presents an analysis of market dynamics based upon kinetic theory and the properties of the peculiar velocity field. This analysis is meant for professionals and serious students of finance. It applies advanced concepts from analytical mechanics to the study of an asset market. The assets can be any entities bought and sold on a single market by the same market participants. The analysis is not meant to advance the efforts of traders and speculators to enrich themselves through market trades; but instead to identify the fundamental mechanisms operating underneath market transactions. The first chapter is the Introduction. It contains no mathematical analysis. Instead it presents a review of popular literature pertinent to the subject of modeling market dynamics. Chapter 2 begins the analysis, which progresses from one chapter to the next. It presents the state space for the probability distribution that is to be used to model the asset prices and their speeds. Chapter 3 presents the concept of the price velocity and its assumption as a solenoidal field. Chapter 4 simplifies the governing equation for the probability distribution of asset price speeds using the method of moments. Chapter 5 addresses the problem of failure of closure for the moment equations when the method of moments is applied. Chapter 6 introduces the concept of a moving price derivative that follows the motion of market prices. Chapter 7 addresses the price auction model of microeconomics and tries to include the model within the model of market dynamics. Chapter 8 addresses the concept of the rotation of price changes through different market sectors within the total market. Chapter 9 seeks to evaluate the equilibrium states within market dynamics when the price auction model is applied to it. Chapter 10 considers a simplification of the analysis that applies when there are very many assets contained within the market. Chapter 11 shows how market equilibrium is described using eigenvalues and eigenvectors. Chapter 12 considers the transients leading both to and from market equilibrium. Chapter 13 applies a nonlinear closure approximation to the method of moments for another approach to the analysis. Chapter 14 introduces the concept of a price potential function as the driving motive for asset price changes within the market. Chapter 15 more fully explores the concept of rotation of asset prices with a market. Chapter 16 explains conjugate variables in phase space and shows how to evaluate a time series in that context. Chapter 17 presents a predictor-corrector algorithm for modeling price speeds in real time. Chapter 18 concludes the book by showing how to minimize quadratic residuals for developing market indices representative of the total market performance.
Author: Stéphane Goutte
Publisher: Springer Nature
ISBN: 3030985423
Category : Business & Economics
Languages : en
Pages : 137
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Book Description
This book analyses the impact of the COVID-19 pandemic in different areas of Finance emphasizing the contagion effect in capital markets. The volume presents evidence-based case studies from the global financial crisis that followed after the onset of the pandemic in March 2020.
Author: Joseph L. McCauley
Publisher: Cambridge University Press
ISBN: 9780521824477
Category : Business & Economics
Languages : en
Pages : 246
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Book Description
Text introducing a new empirically-based model of financial market dynamics.
