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
Table of contents
- Brief Table of Contents
- Table of Contents
- Copyright
- 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 BEHAVIOR
- 1.11.. CONTAGION OF FINANCIAL MEMES
- 1.12.. CONCLUSION
- BibliographyReferences
-
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 ECOLOGY
- 2.12.. CONCLUSION
- APPENDIX 2.1. MECHANICAL VS. NONMECHANICAL IMPACT
- APPENDIX 2.2. VOLUME FLUCTUATIONS
- APPENDIX 2.3. THE BID–ASK SPREAD IN THE MRR MODEL
- BibliographyReferences
- Chapter 3. Stochastic Behavioral Asset-Pricing Models and the Stylized Facts
- BibliographyReferences
- Chapter 4. Complex Evolutionary Systems in Behavioral Finance
- BibliographyReferences
-
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 FRAMEWORK
- 5.7.. THE CONTINUOUS STOCHASTIC DYNAMICS OF SPECULATIVE BEHAVIOR
- 5.8.. CONCLUSION
- BibliographyReferences
- Chapter 6. Perfect Forecasting, Behavioral Heterogeneities, and Asset Prices
- BibliographyReferences
- Chapter 7. Market Selection and Asset Pricing
- BibliographyReferences
- Chapter 8. Rational Diverse Beliefs and Market Volatility
- BibliographyReferences
- Chapter 9. Evolutionary Finance
- BibliographyReferences
- Index
Product information
- Title: Handbook of Financial Markets: Dynamics and Evolution
- Author(s):
- Release date: June 2009
- Publisher(s): North Holland
- ISBN: 9780080921433
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