The Resource Stock markets : emergence, macroeconomic factors and recent developments, Filippo Petroni, Ph.D., Flavio Prattico and Guglielmo D'Amico, editors

Stock markets : emergence, macroeconomic factors and recent developments, Filippo Petroni, Ph.D., Flavio Prattico and Guglielmo D'Amico, editors

Label
Stock markets : emergence, macroeconomic factors and recent developments
Title
Stock markets
Title remainder
emergence, macroeconomic factors and recent developments
Statement of responsibility
Filippo Petroni, Ph.D., Flavio Prattico and Guglielmo D'Amico, editors
Contributor
Subject
Genre
Language
  • eng
  • eng
Summary
Much effort has gone into the study of financial markets and how prices vary with time. The usual approach of random walk is known to be inadequate to fully describe price dynamics. In this book, many different approaches are provided that use alternative and more adequate models. This book also examines the renewal theory in actuarial science. A simple actuarial model can be simulated well by means of this kind of stochastic process. A method dealing with the numerical solution of the renewal equation is presented. In addition, based on a theoretical model for opinion spreading on a network,
Member of
Cataloging source
MiAaPQ
Dewey number
332.642
Illustrations
  • illustrations
  • charts
Index
index present
Language note
English
LC call number
HG4551
LC item number
.S76 2013
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
http://library.link/vocab/relatedWorkOrContributorName
  • Petroni, Filippo
  • Prattico, Flavio
  • D'Amico, Guglielmo
Series statement
Economic issues, problems and perspectives
http://library.link/vocab/subjectName
  • Stock exchanges
  • Stocks
Label
Stock markets : emergence, macroeconomic factors and recent developments, Filippo Petroni, Ph.D., Flavio Prattico and Guglielmo D'Amico, editors
Instantiates
Publication
Copyright
Note
Description based upon print version of record
Bibliography note
Includes bibliographical references and index
Carrier category
online resource
Carrier category code
cr
Content category
text
Content type code
txt
Contents
  • ""STOCK MARKETS EMERGENCE, MACROECONOMIC FACTORS AND RECENT DEVELOPMENTS""; ""STOCK MARKETS EMERGENCE, MACROECONOMIC FACTORS AND RECENT DEVELOPMENTS""; ""Library of Congress Cataloging-in-Publication Data""; ""CONTENTS""; ""PREFACE""; ""Chapter 1: DYNAMICS OF MEAN REVERSION AFTER EXTREME STOCK RETURNS IN THE PAST 125 YEARS""; ""ABSTRACT""; ""INTRODUCTION""; ""DATA AND METHODOLOGY""; ""EMPIRICAL RESULTS""; ""CONCLUSION""; ""REFERENCES""; ""Chapter 2: RECENT CHANGES IN THE STRUCTURE OF CORRELATIONS BETWEEN CEE AND GLOBAL STOCK MARKETS""; ""ABSTRACT""; ""INTRODUCTION""; ""LITERATURE REVIEW""
  • ""METHODOLOGY""""DATA AND RESEARCH QUESTIONS""; ""RESULTS""; ""CONCLUSION""; ""APPENDIX""; ""REFERENCES""; ""Chapter 3: MODELING AND PRICING OF COVARIANCE AND CORRELATION SWAPS FOR FINANCIAL MARKETS WITH SEMI-MARKOV VOLATILITIES""; ""Abstract""; ""1. Introduction""; ""2. Martingale Representation of Semi-Markov Processes""; ""3. Variance and Volatility Swaps for Financial Markets with Semi-Markov Stochastic Volatilities""; ""4. Covariance and Correlation Swaps for a Two Risky Assetsin Financial Markets with Semi-Markov Stochastic Volatilities""
  • ""5. Numerical Evaluation of Covariance and Correlation Swaps with Semi-Markov Stochastic Volatilit""""Appendix""; ""References""; ""Chapter 4: MEAN ANNUAL NUMBER OF MOTORCAR ACCIDENTS: A RENEWAL APPROACH""; ""ABSTRACT""; ""INTRODUCTION""; ""MAIN DEFINITIONS""; ""A REAL APPLICATION OF MOTOR ACCIDENTS""; ""CONCLUSION""; ""ACKNOWLEDGMENTS""; ""REFERENCES""; ""Chapter 5: THRESHOLD MODEL FOR TRIGGERED AVALANCHES ON NETWORKS""; ""Abstract""; ""1. Introduction""; ""2. Avalanche on Networks""; ""3. Results""; ""4. Discussion""; ""Acknowledgments""; ""References""
  • ""Chapter 6: INTERNATIONAL DEPENDENCE STRUCTURE: EVIDENCE FROM ASIA AMID THE US MORTGAGE CRISIS""""ABSTRACT""; ""INTRODUCTION""; ""LITERATURE REVIEW""; ""METHODS""; ""DATA AND EMPIRICAL RESULTS""; ""CONCLUSION""; ""ACKNOWLEDGMENTS""; ""REFERENCES""; ""Chapter 7: DIVERSIFICATION MEASURES FOR PORTFOLIO SELECTION""; ""Abstract""; ""1. Introduction""; ""2. Fixing the Notation and Preliminary Results""; ""3. Portfolio DiversificationMeasures""; ""4. Portfolio Diversification in Practice""
  • ""5. Measuring Dependency among Assets: From the Correlation Coefficient to the Kullback-Leibler Pseudo-distance""""6. Conclusion""; ""Acknowledgments""; ""Appendix""; ""References""; ""Chapter 8: OPTIMAL FISCAL POLICY IN A SIMPLE MACROECONOMIC CONTEXT""; ""Abstract""; ""1. Introduction""; ""2. The Setup""; ""3. Solving the Optimal Control Problem for the Authority""; ""4. Conclusion""; ""5. Appendix A""; ""6. Appendix B""; ""Appendix C""; ""Acknowledgments""; ""References""; ""Chapter 9: SEMI-MARKOV MODELS IN HIGH FREQUENCY FINANCE: A REVIEW""; ""Abstract""; ""1. Introduction""
  • ""2. Financial Return Models""
Dimensions
unknown
Extent
1 online resource (259 p.)
Form of item
online
Isbn
9781628089233
Media category
computer
Media type code
c
Specific material designation
remote
System control number
  • (CKB)3710000000021316
  • (EBL)2194018
  • (OCoLC)864912636
  • (SSID)ssj0001037430
  • (PQKBManifestationID)12385458
  • (PQKBTitleCode)TC0001037430
  • (PQKBWorkID)11043602
  • (PQKB)11604460
  • (MiAaPQ)EBC2194018
  • (EXLCZ)993710000000021316
Label
Stock markets : emergence, macroeconomic factors and recent developments, Filippo Petroni, Ph.D., Flavio Prattico and Guglielmo D'Amico, editors
Publication
Copyright
Note
Description based upon print version of record
Bibliography note
Includes bibliographical references and index
Carrier category
online resource
Carrier category code
cr
Content category
text
Content type code
txt
Contents
  • ""STOCK MARKETS EMERGENCE, MACROECONOMIC FACTORS AND RECENT DEVELOPMENTS""; ""STOCK MARKETS EMERGENCE, MACROECONOMIC FACTORS AND RECENT DEVELOPMENTS""; ""Library of Congress Cataloging-in-Publication Data""; ""CONTENTS""; ""PREFACE""; ""Chapter 1: DYNAMICS OF MEAN REVERSION AFTER EXTREME STOCK RETURNS IN THE PAST 125 YEARS""; ""ABSTRACT""; ""INTRODUCTION""; ""DATA AND METHODOLOGY""; ""EMPIRICAL RESULTS""; ""CONCLUSION""; ""REFERENCES""; ""Chapter 2: RECENT CHANGES IN THE STRUCTURE OF CORRELATIONS BETWEEN CEE AND GLOBAL STOCK MARKETS""; ""ABSTRACT""; ""INTRODUCTION""; ""LITERATURE REVIEW""
  • ""METHODOLOGY""""DATA AND RESEARCH QUESTIONS""; ""RESULTS""; ""CONCLUSION""; ""APPENDIX""; ""REFERENCES""; ""Chapter 3: MODELING AND PRICING OF COVARIANCE AND CORRELATION SWAPS FOR FINANCIAL MARKETS WITH SEMI-MARKOV VOLATILITIES""; ""Abstract""; ""1. Introduction""; ""2. Martingale Representation of Semi-Markov Processes""; ""3. Variance and Volatility Swaps for Financial Markets with Semi-Markov Stochastic Volatilities""; ""4. Covariance and Correlation Swaps for a Two Risky Assetsin Financial Markets with Semi-Markov Stochastic Volatilities""
  • ""5. Numerical Evaluation of Covariance and Correlation Swaps with Semi-Markov Stochastic Volatilit""""Appendix""; ""References""; ""Chapter 4: MEAN ANNUAL NUMBER OF MOTORCAR ACCIDENTS: A RENEWAL APPROACH""; ""ABSTRACT""; ""INTRODUCTION""; ""MAIN DEFINITIONS""; ""A REAL APPLICATION OF MOTOR ACCIDENTS""; ""CONCLUSION""; ""ACKNOWLEDGMENTS""; ""REFERENCES""; ""Chapter 5: THRESHOLD MODEL FOR TRIGGERED AVALANCHES ON NETWORKS""; ""Abstract""; ""1. Introduction""; ""2. Avalanche on Networks""; ""3. Results""; ""4. Discussion""; ""Acknowledgments""; ""References""
  • ""Chapter 6: INTERNATIONAL DEPENDENCE STRUCTURE: EVIDENCE FROM ASIA AMID THE US MORTGAGE CRISIS""""ABSTRACT""; ""INTRODUCTION""; ""LITERATURE REVIEW""; ""METHODS""; ""DATA AND EMPIRICAL RESULTS""; ""CONCLUSION""; ""ACKNOWLEDGMENTS""; ""REFERENCES""; ""Chapter 7: DIVERSIFICATION MEASURES FOR PORTFOLIO SELECTION""; ""Abstract""; ""1. Introduction""; ""2. Fixing the Notation and Preliminary Results""; ""3. Portfolio DiversificationMeasures""; ""4. Portfolio Diversification in Practice""
  • ""5. Measuring Dependency among Assets: From the Correlation Coefficient to the Kullback-Leibler Pseudo-distance""""6. Conclusion""; ""Acknowledgments""; ""Appendix""; ""References""; ""Chapter 8: OPTIMAL FISCAL POLICY IN A SIMPLE MACROECONOMIC CONTEXT""; ""Abstract""; ""1. Introduction""; ""2. The Setup""; ""3. Solving the Optimal Control Problem for the Authority""; ""4. Conclusion""; ""5. Appendix A""; ""6. Appendix B""; ""Appendix C""; ""Acknowledgments""; ""References""; ""Chapter 9: SEMI-MARKOV MODELS IN HIGH FREQUENCY FINANCE: A REVIEW""; ""Abstract""; ""1. Introduction""
  • ""2. Financial Return Models""
Dimensions
unknown
Extent
1 online resource (259 p.)
Form of item
online
Isbn
9781628089233
Media category
computer
Media type code
c
Specific material designation
remote
System control number
  • (CKB)3710000000021316
  • (EBL)2194018
  • (OCoLC)864912636
  • (SSID)ssj0001037430
  • (PQKBManifestationID)12385458
  • (PQKBTitleCode)TC0001037430
  • (PQKBWorkID)11043602
  • (PQKB)11604460
  • (MiAaPQ)EBC2194018
  • (EXLCZ)993710000000021316

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