Financial Modelling with Forward-looking Information An Intuitive Ap
This book focuses on modelling financial information flows and information-based asset pricing framework. After introducing the fundamental properties of the framework, it presents a short information-theoretic perspective with a view to quantifying the i
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Nadi Serhan Aydın
Financial Modelling with Forward-looking Information An Intuitive Approach to Asset Pricing
Contributions to Management Science
More information about this series at http://www.springer.com/series/1505
Nadi Serhan Aydın
Financial Modelling with Forward-looking Information An Intuitive Approach to Asset Pricing
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Nadi Serhan Aydın Ankara, Turkey
ISSN 1431-1941 ISSN 2197-716X (electronic) Contributions to Management Science ISBN 978-3-319-57146-1 ISBN 978-3-319-57147-8 (eBook) DOI 10.1007/978-3-319-57147-8 Library of Congress Control Number: 2017942803 © Springer International Publishing AG 2017 This work is subject to copyright. All rights are reserved by the Publisher, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilms or in any other physical way, and transmission or information storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology now known or hereafter developed. The use of general descriptive names, registered names, trademarks, service marks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. The publisher, the authors and the editors are safe to assume that the advice and information in this book are believed to be true and accurate at the date of publication. Neither the publisher nor the authors or the editors give a warranty, express or implied, with respect to the material contained herein or for any errors or omissions that may have been made. The publisher remains neutral with regard to jurisdictional claims in published maps and institutional affiliations. Printed on acid-free paper This Springer imprint is published by Springer Nature The registered company is Springer International Publishing AG The registered company address is: Gewerbestrasse 11, 6330 Cham, Switzerland
To my parents
Foreword
The purpose of this book, Financial Modelling with Forward-Looking Information: An Intuitive Approach to Asset Pricing, is to deeply inquire, holistically reflect on, and practically expose the current and emerging concept of informationbased modelling to the areas of financial market microdynamics and asset pricing with real-time signals. During the previous decades, the analytical tools and the methodological toolbox of applied and financial mathematics, and of statistics, have gained the attention of numerous researchers and practitioners from all over the world, providing a strong impact also in economics and finance. Here, the notions of futuristic information on asset fundamentals and informational disparities among market participants are turning out to be key issues from an integrated perspective, and they are closely connected with further areas such as financial signal processing, market microstructure, agent-based modelling, and early de
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