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Author: Zaafri Husodo
Publisher: LAP Lambert Academic Publishing
ISBN: 9783838377506
Category :
Languages : en
Pages : 156
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Book Description
This book contains three essays that explore the speed of adjustment, volatility and noise in the Indonesia Stock Exchange. The first essay found that the significant factor determining the noise in the speed of adjustment is bid-ask fluctuations. Further, the adverse selection cost is found to be a significant component determining the speed of adjustment level in the Indonesia Stock Exchange. The second essay analyses the exact time of adjustment at intraday frequency from 2000 to 2007. Both first and second moment estimation of the speed of adjustment provide consistent result of 30 minute adjustment period. The third essay analyses the second moment of continuously compounded returns from 2000 to 2007. Using the realized variance, the optimal frequency to estimate the efficient variance, on average, is nine minutes. Further, the variance ratio of daily efficient variance to daily open-to-close reveals significant private information underlying price process in the Indonesia Stock Exchange.
Author: Zaafri Husodo
Publisher: LAP Lambert Academic Publishing
ISBN: 9783838377506
Category :
Languages : en
Pages : 156
Get Book Here
Book Description
This book contains three essays that explore the speed of adjustment, volatility and noise in the Indonesia Stock Exchange. The first essay found that the significant factor determining the noise in the speed of adjustment is bid-ask fluctuations. Further, the adverse selection cost is found to be a significant component determining the speed of adjustment level in the Indonesia Stock Exchange. The second essay analyses the exact time of adjustment at intraday frequency from 2000 to 2007. Both first and second moment estimation of the speed of adjustment provide consistent result of 30 minute adjustment period. The third essay analyses the second moment of continuously compounded returns from 2000 to 2007. Using the realized variance, the optimal frequency to estimate the efficient variance, on average, is nine minutes. Further, the variance ratio of daily efficient variance to daily open-to-close reveals significant private information underlying price process in the Indonesia Stock Exchange.
Author: Zaafri Ananto Husodo
Publisher:
ISBN:
Category : Stock exchanges
Languages : en
Pages :
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Book Description
Author: Hans R. Stoll
Publisher: Springer Science & Business Media
ISBN: 1461557070
Category : Business & Economics
Languages : en
Pages : 143
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Book Description
Since the US stock market crashed on October 19, 1987, many studies have been conducted to learn from this experience in the hopes of avoiding a similarly adverse future fall. The book, originally published as a special issue of the Journal of Financial Services Research, considers some of the important policy adjustments that have been implemented in the wake of the 1987 crash. Taken separately and together, these five papers offer a synthesis and summary of the most important policy innovations that have evolved since the largest single-day decline in stock market history.
Author: John Barkley Rosser
Publisher:
ISBN:
Category : Complexity (Philosophy)
Languages : en
Pages : 520
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Book Description
Author: CAIA Association
Publisher: John Wiley & Sons
ISBN: 1119651700
Category : Business & Economics
Languages : en
Pages : 960
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Book Description
Whether you are a seasoned professional looking to explore new areas within the alternative investment arena or a new industry participant seeking to establish a solid understanding of alternative investments, Alternative Investments: An Allocator's Approach, Fourth Edition (CAIA Level II curriculum official text) is the best way to achieve these goals. In recent years, capital formation has shifted dramatically away from public markets as issuers pursue better financial and value alignment with ownership, less onerous and expensive regulatory requirements, market and information dislocation, and liberation from the short-term challenges that undergird the public capital markets. The careful and informed use of alternative investments in a diversified portfolio can reduce risk, lower volatility, and improve returns over the long-term, enhancing investors' ability to meet their investment outcomes. Alternative Investments: An Allocator's Approach (CAIA Level II curriculum official text) is a key resource that can be used to improve the sophistication of asset owners and those who work with them. This text comprises the curriculum, when combined with supplemental materials available at caia.org, for the CAIA Level II exam. "Over the course of my long career one tenet has held true, 'Continuing Education'. Since CalSTRS is a teachers' pension plan, it is no surprise that continuing education is a core attribute of our Investment Office culture. Overseeing one of the largest institutional pools of capital in the world requires a cohesive knowledge and understanding of both public and private market investments and strategies. We must understand how these opportunities might contribute to delivering on investment outcomes for our beneficiaries. Alternative Investments: An Allocator's Approach is the definitive core instruction manual for an institutional investor, and it puts you in the captain's chair of the asset owner." —Christopher J. Ailman, Chief Investment Officer, California State Teachers’ Retirement System "Given their diversified cash flow streams and returns, private markets continue to be a growing fixture of patient, long-term portfolios. As such, the need to have proficiency across these sophisticated strategies, asset classes, and instruments is critical for today's capital allocator. As a proud CAIA charterholder, I have seen the practical benefits in building a strong private markets foundation, allowing me to better assist my clients." —Jayne Bok, CAIA, CFA, Head of Investments, Asia, Willis Tower Watson
Author: Peter Eris Kloeden
Publisher: Springer Science & Business Media
ISBN: 9783540570745
Category : Mathematics
Languages : en
Pages : 314
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Book Description
This book provides an easily accessible, computationally-oriented introduction into the numerical solution of stochastic differential equations using computer experiments. It develops in the reader an ability to apply numerical methods solving stochastic differential equations. It also creates an intuitive understanding of the necessary theoretical background. Software containing programs for over 100 problems is available online.
Author: Jennifer Francis
Publisher: Now Publishers Inc
ISBN: 1601981147
Category : Business & Economics
Languages : en
Pages : 97
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Book Description
This review lays out a research perspective on earnings quality. We provide an overview of alternative definitions and measures of earnings quality and a discussion of research design choices encountered in earnings quality research. Throughout, we focus on a capital markets setting, as opposed, for example, to a contracting or stewardship setting. Our reason for this choice stems from the view that the capital market uses of accounting information are fundamental, in the sense of providing a basis for other uses, such as stewardship. Because resource allocations are ex ante decisions while contracting/stewardship assessments are ex post evaluations of outcomes, evidence on whether, how and to what degree earnings quality influences capital market resource allocation decisions is fundamental to understanding why and how accounting matters to investors and others, including those charged with stewardship responsibilities. Demonstrating a link between earnings quality and, for example, the costs of equity and debt capital implies a basic economic role in capital allocation decisions for accounting information; this role has only recently been documented in the accounting literature. We focus on how the precision of financial information in capturing one or more underlying valuation-relevant constructs affects the assessment and use of that information by capital market participants. We emphasize that the choice of constructs to be measured is typically contextual. Our main focus is on the precision of earnings, which we view as a summary indicator of the overall quality of financial reporting. Our intent in discussing research that evaluates the capital market effects of earnings quality is both to stimulate further research in this area and to encourage research on related topics, including, for example, the role of earnings quality in contracting and stewardship.
Author: Eckhard Platen
Publisher: Springer Science & Business Media
ISBN: 3540478566
Category : Business & Economics
Languages : en
Pages : 704
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Book Description
A framework for financial market modeling, the benchmark approach extends beyond standard risk neutral pricing theory. It permits a unified treatment of portfolio optimization, derivative pricing, integrated risk management and insurance risk modeling. This book presents the necessary mathematical tools, followed by a thorough introduction to financial modeling under the benchmark approach, explaining various quantitative methods for the fair pricing and hedging of derivatives.
Author: Cheng-Few Lee
Publisher: Springer
ISBN: 9781461477495
Category : Business & Economics
Languages : en
Pages : 0
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Book Description
The Handbook of Financial Econometrics and Statistics provides, in four volumes and over 100 chapters, a comprehensive overview of the primary methodologies in econometrics and statistics as applied to financial research. Including overviews of key concepts by the editors and in-depth contributions from leading scholars around the world, the Handbook is the definitive resource for both classic and cutting-edge theories, policies, and analytical techniques in the field. Volume 1 (Parts I and II) covers all of the essential theoretical and empirical approaches. Volumes 2, 3, and 4 feature contributed entries that showcase the application of financial econometrics and statistics to such topics as asset pricing, investment and portfolio research, option pricing, mutual funds, and financial accounting research. Throughout, the Handbook offers illustrative case examples and applications, worked equations, and extensive references, and includes both subject and author indices.
Author: Antonio Palacios
Publisher: Springer Nature
ISBN: 303104729X
Category : Technology & Engineering
Languages : en
Pages : 575
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Book Description
This book provides qualitative and quantitative methods to analyze and better understand phenomena that change in space and time. An innovative approach is to incorporate ideas and methods from dynamical systems and equivariant bifurcation theory to model, analyze and predict the behavior of mathematical models. In addition, real-life data is incorporated in the derivation of certain models. For instance, the model for a fluxgate magnetometer includes experiments in support of the model. The book is intended for interdisciplinary scientists in STEM fields, who might be interested in learning the skills to derive a mathematical representation for explaining the evolution of a real system. Overall, the book could be adapted in undergraduate- and postgraduate-level courses, with students from various STEM fields, including: mathematics, physics, engineering and biology.
