Introduction: Definitions and Concepts

Financial markets can be regarded from various points of view. Firstly there are economic theories which make assertions about security pricing; different economic theories exist in different markets (currency, interest rates, stocks, derivatives, etc.).

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Jürgen Franke Wolfgang Karl Härdle Christian Matthias Hafner

Statistics of Financial Markets An Introduction Fourth Edition

Universitext

More information about this series at http://www.springer.com/series/223

JRurgen Franke • Wolfgang Karl HRardle • Christian Matthias Hafner

Statistics of Financial Markets An Introduction Fourth edition

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JRurgen Franke TU Kaiserslautern FB Mathematik Kaiserslautern Germany Christian Matthias Hafner Université Catholique de Louvain Inst. Statistique Leuven-la-Neuve Belgium

Wolfgang Karl HRardle Ladislaus von Bortkiewicz Chair of Statistics C.A.S.E. Centre for Applied Statistics and Economics School of Business and Economics Humboldt-Universität zu Berlin Unter den Linden 6 Berlin, Germany and Sim Kee Boon Institute for Financial Economics Singapore Management University Singapore

Editorial board: Sheldon Axler, San Francisco State University Vincenzo Capasso, Università degli Studi di Milano Carles Casacuberta, Universitat de Barcelona Angus MacIntyre, Queen Mary, University of London Kenneth Ribet, University of California, Berkeley Claude Sabbah, CNRS, École Polytechnique Endre Süli, University of Oxford Wojbor Woyczy´nski, Case Western Reserve University ISSN 0172-5939 ISSN 2191-6675 (electronic) ISBN 978-3-642-54538-2 ISBN 978-3-642-54539-9 (eBook) DOI 10.1007/978-3-642-54539-9 Springer Heidelberg New York Dordrecht London Library of Congress Control Number: 2015931240 © Springer-Verlag Berlin Heidelberg 2015 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. Exempted from this legal reservation are brief excerpts in connection with reviews or scholarly analysis or material supplied specifically for the purpose of being entered and executed on a computer system, for exclusive use by the purchaser of the work. Duplication of this publication or parts thereof is permitted only under the provisions of the Copyright Law of the Publisher’s location, in its current version, and permission for use must always be obtained from Springer. Permissions for use may be obtained through RightsLink at the Copyright Clearance Center. Violations are liable to prosecution under the respective Copyright Law. 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. While the advice and information in this book are believed to be true and accurate at the date of publication, neither the authors nor the editors nor the publisher can accept any legal responsibi