Contributions to Management Science: An Intuitive Approach to Asset Pricing

Aydın, Nadi Serhan

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 information content of financial signals, and links the present framework with the literature on asymmetric information and market microstructure by means of a dynamic, bipartite, heterogeneous agent network. Numerical and explicit analyses shed light on the effects of differential information and information acquisition on the allocation of profit and loss as well as the pace of fundamental price discovery. The dynamic programming method is used to seek an optimal strategy for utilizing superior information. Lastly, the book features an implementation of the present framework using real-world financial data.

Details

Published by: Springer

Publication Date: 2018-08-02

Format: Paperback

ISBN-13: 9783319860879

DOI: 10.1007/978-3-319-57147-8

Dimensions: 235cm x155cm

Pages: 98