Key to Understanding Financial Market Risk: Scaling, clustering and dynamics of volatility in finacial time series - Brossura
Sinossi
This thesis studies three most important and difficult problems in financial risk: 1). Scaling, clustering and dynamics of volatility of financial asset returns; 2). Statistical and dynamical properties of the market; and 3). Driven force underlying the market volatility. The Value at Risk (VaR) measure currently used in financial industry is far from a reliable tool due to its lack of volatility clustering measure. This thesis presents a solution to this problem. Next, the dynamics of the market is studied from the perspective of interacting and competing agents with self-segregation or herding behaviors. This model shows that investor's winning strategy depends on the market dynamics: active when market is highly volatile and clustered and inactive otherwise. Last, a heterogeneous agent-based model is developed to investigate the impact of investor's sentiments on asset price dynamics. The simulation results show that investor's dynamical risk aversion is the primary driven force that gives rise to the excess and clustered volatility. All these results are the keys to understanding, quantifying and managing financial risk.
Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.
L'autore
Baosheng is Vice President of Great Eastern Life Assurance Group Investment Management. Baosheng developes strategic and tactical asset allocation framework for company's investment management over $20 Billion in assets as of December 2009. Baosheng holds Ph.D. degree in Computational Science at National University of Sinagpore.
Le informazioni nella sezione "Su questo libro" possono far riferimento a edizioni diverse di questo titolo.
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Key to Understanding Financial Market Risk
Editore:
LAP LAMBERT Academic Publishing Apr 2010, 2010
ISBN 10: 3838359046
ISBN 13: 9783838359045
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Da: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Germania
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Taschenbuch. Condizione: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -This thesis studies three most important and difficult problems in financial risk: 1). Scaling, clustering and dynamics of volatility of financial asset returns; 2). Statistical and dynamical properties of the market; and 3). Driven force underlying the market volatility. The Value at Risk (VaR) measure currently used in financial industry is far from a reliable tool due to its lack of volatility clustering measure. This thesis presents a solution to this problem. Next, the dynamics of the market is studied from the perspective of interacting and competing agents with self-segregation or herding behaviors. This model shows that investor's winning strategy depends on the market dynamics: active when market is highly volatile and clustered and inactive otherwise. Last, a heterogeneous agent-based model is developed to investigate the impact of investor's sentiments on asset price dynamics. The simulation results show that investor's dynamical risk aversion is the primary driven force that gives rise to the excess and clustered volatility. All these results are the keys to understanding, quantifying and managing financial risk. 232 pp. Englisch. Codice articolo 9783838359045
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Key to Understanding Financial Market Risk
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Condizione: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Autor/Autorin: Yuan BaoshengBaosheng is Vice President of Great Eastern Life Assurance Group Investment Management. Baosheng developes strategic and tactical asset allocation framework for company s investment management over $20 Billion in ass. Codice articolo 5416267
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Key to Understanding Financial Market Risk | Scaling, clustering and dynamics of volatility in finacial time series
Editore:
LAP LAMBERT Academic Publishing, 2010
ISBN 10: 3838359046
ISBN 13: 9783838359045
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Da: preigu, Osnabrück, Germania
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Taschenbuch. Condizione: Neu. Key to Understanding Financial Market Risk | Scaling, clustering and dynamics of volatility in finacial time series | Baosheng Yuan | Taschenbuch | 232 S. | Englisch | 2010 | LAP LAMBERT Academic Publishing | EAN 9783838359045 | Verantwortliche Person für die EU: preigu GmbH & Co. KG, Lengericher Landstr. 19, 49078 Osnabrück, mail[at]preigu[dot]de | Anbieter: preigu. Codice articolo 107443505
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Key to Understanding Financial Market Risk
Editore:
LAP LAMBERT Academic Publishing Apr 2010, 2010
ISBN 10: 3838359046
ISBN 13: 9783838359045
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Da: buchversandmimpf2000, Emtmannsberg, BAYE, Germania
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Taschenbuch. Condizione: Neu. This item is printed on demand - Print on Demand Titel. Neuware -This thesis studies three most important and difficult problems in financial risk: 1). Scaling, clustering and dynamics of volatility of financial asset returns; 2). Statistical and dynamical properties of the market; and 3). Driven force underlying the market volatility. The Value at Risk (VaR) measure currently used in financial industry is far from a reliable tool due to its lack of volatility clustering measure. This thesis presents a solution to this problem. Next, the dynamics of the market is studied from the perspective of interacting and competing agents with self-segregation or herding behaviors. This model shows that investor''s winning strategy depends on the market dynamics: active when market is highly volatile and clustered and inactive otherwise. Last, a heterogeneous agent-based model is developed to investigate the impact of investor''s sentiments on asset price dynamics. The simulation results show that investor''s dynamical risk aversion is the primary driven force that gives rise to the excess and clustered volatility. All these results are the keys to understanding, quantifying and managing financial risk.VDM Verlag, Dudweiler Landstraße 99, 66123 Saarbrücken 232 pp. Englisch. Codice articolo 9783838359045
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Key to Understanding Financial Market Risk : Scaling, clustering and dynamics of volatility in finacial time series
Editore:
LAP LAMBERT Academic Publishing, 2010
ISBN 10: 3838359046
ISBN 13: 9783838359045
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Da: AHA-BUCH GmbH, Einbeck, Germania
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Taschenbuch. Condizione: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - This thesis studies three most important and difficult problems in financial risk: 1). Scaling, clustering and dynamics of volatility of financial asset returns; 2). Statistical and dynamical properties of the market; and 3). Driven force underlying the market volatility. The Value at Risk (VaR) measure currently used in financial industry is far from a reliable tool due to its lack of volatility clustering measure. This thesis presents a solution to this problem. Next, the dynamics of the market is studied from the perspective of interacting and competing agents with self-segregation or herding behaviors. This model shows that investor's winning strategy depends on the market dynamics: active when market is highly volatile and clustered and inactive otherwise. Last, a heterogeneous agent-based model is developed to investigate the impact of investor's sentiments on asset price dynamics. The simulation results show that investor's dynamical risk aversion is the primary driven force that gives rise to the excess and clustered volatility. All these results are the keys to understanding, quantifying and managing financial risk. Codice articolo 9783838359045
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