Handbook of financial markets : dynamics and evolution / edited by Thorsten Hens and Klaus Reiner Schenk-Hoppe.

Format:

Book

Contributor:

Hens, Thorsten.

Schenk-Hoppé, Klaus Reiner.

Series:

Handbooks in finance.

Handbooks in finance, 1568-4997

Language:

English

Subjects (All):

Capital assets pricing model.

Portfolio management.

Physical Description:

1 online resource (607 p.)

Edition:

1st edition

Place of Publication:

Amsterdam ; London : North Holland, c2009.

Language Note:

English

System Details:

text file

Summary:

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 abo

Contents:

Front Cover; Handbook of Financial Markets: Dyanamics and Evolution; Copyright Page; Contents; List of Contributors; Preface; Introduction to the Series; Chapter 1 Thought and Behavior Contagion in Capital Markets; 1.1. Introduction; 1.2. Sources of Behavioral Convergence; 1.3. Rational Learning and Information Cascades: Basic Implications; 1.4. What Is Communicated or Observed?; 1.5. Psychological Bias; 1.6. Reputation, Contracts, and Herding; 1.7. Security Analysis; 1.8. Herd Behavior and Cascades in Security Trading; 1.9. Markets, Equilibrium Prices, and Bubbles

1.10. Cascades and Herding in Firm Behavior1.11. Contagion of Financial Memes; 1.12. Conclusion; References; Chapter 2 How Markets Slowly Digest Changes in Supply and Demand; 2.1. Introduction; 2.2. Market Structure; 2.3. Information, Liquidity, and Efficiency; 2.4. Large Fluctuations and Long Memory of Order Flow; 2.5. Summary of Empirical Results for Diverse Types of Market Impact; 2.6. Theory of Market Impact; 2.7. The Determinants of the Bid-Ask Spread; 2.8. Liquidity and Volatility; 2.9. Order Book Dynamics; 2.10. Impact and Optimized Execution Strategies

2.11. Toward an Empirical Characterization of a Market Ecology2.12 Conclusion; Appendix 2.1: Mechanical vs. Nonmechanical Impact; Appendix 2.2: Volume Fluctuations; Appendix 2.3: The Bid-Ask Spread in the MRR Model; References; Chapter 3 Stochastic Behavioral Asset-Pricing Models and the Stylized Facts; 3.1. Introduction; 3.2. The Stylized Facts of Financial Data; 3.3. The Stylized Facts as "Scaling Laws"; 3.4. Behavioral Asset-Pricing Models with Interacting Agents; 3.5. Conclusion; References; Chapter 4 Complex Evolutionary Systems in Behavioral Finance; 4.1. Introduction

4.2. An Asset-Pricing Model with Heterogeneous Beliefs4.3. Simple Examples; 4.4. Many Trader Types; 4.5. Empirical Validation; 4.6. Laboratory Experiments; 4.7. Conclusion; Appendix 4.1: Bifurcation Theory; Appendix 4.2: Bifurcation Scenarios; References; Chapter 5 Heterogeneity, Market Mechanisms, and Asset Price Dynamics; 5.1. Introduction; 5.2. Heterogeneity and Market-Clearing Mechanisms; 5.3. Price Dynamics Implied by the CARA Utility Function; 5.4. Price Behavior and Wealth Dynamics Implied by the CRRA Utility; 5.5. Empirical Behavior

5.6. Heterogeneity in a Dynamic Multiasset Framework5.7. The Continuous Stochastic Dynamics of Speculative Behavior; 5.8. Conclusion; References; Chapter 6 Perfect Forecasting, Behavioral Heterogeneities, and Asset Prices; 6.1. Introduction; 6.2. The CAPM as a Two-Period Equilibrium Model; 6.3. Heterogeneous Beliefs and Social Interaction; 6.4. Multiperiod Planning Horizons; 6.5. Nonergodic Asset Prices; 6.6. Conclusion; References; Chapter 7 Market Selection and Asset Pricing; 7.1. Introduction; 7.2. The Economy; 7.3. Equilibrium Allocations and Prices; 7.4. Selection

7.5. Multiple Survivors

Notes:

Description based upon print version of record.

Includes bibliographical references and index.

ISBN:

9786612034718

9781282034716

1282034715

9780080921433

0080921434

OCLC:

476255229