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Key to Understanding Financial Market Risk - Baosheng Yuan
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2010, ISBN: 9783838359045

ID: 810580593

This thesis studies three most important and difficult problems in financial risk: 1). Scaling, clustering and dynamics of volatility of financial asset returns; 2). Statistical and dynamical properties of the market; and 3). Driven force underlying the market volatility. The Value at Risk (VaR) measure currently used in financial industry is far from a reliable tool due to its lack of volatility clustering measure. This thesis presents a solution to this problem. Next, the dynamics of the market is studied from the perspective of interacting and competing agents with self-segregation or herding behaviors. This model shows that investor´s winning strategy depends on the market dynamics: active when market is highly volatile and clustered and inactive otherwise. Last, a heterogeneous agent-based model is developed to investigate the impact of investor´s sentiments on asset price dynamics. The simulation results show that investor´s dynamical risk aversion is the primary driven force that gives rise to the excess and clustered volatility. All these results are the keys to understanding, quantifying and managing financial risk. Scaling, clustering and dynamics of volatility in finacial time series Buch (fremdspr.) Taschenbuch 30.07.2010 Bücher>Fremdsprachige Bücher>Englische Bücher, LAP Lambert Academic Publishing, .201

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Key to Understanding Financial Market Risk - Baosheng Yuan
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Key to Understanding Financial Market Risk - neues Buch

ISBN: 9783838359045

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This thesis studies three most important and difficult problems in financial risk: 1). Scaling, clustering and dynamics of volatility of financial asset returns; 2). Statistical and dynamical properties of the market; and 3). Driven force underlying the market volatility. The Value at Risk (VaR) measure currently used in financial industry is far from a reliable tool due to its lack of volatility clustering measure. This thesis presents a solution to this problem. Next, the dynamics of the market is studied from the perspective of interacting and competing agents with self-segregation or herding behaviors. This model shows that investor´s winning strategy depends on the market dynamics: active when market is highly volatile and clustered and inactive otherwise. Last, a heterogeneous agent-based model is developed to investigate the impact of investor´s sentiments on asset price dynamics. The simulation results show that investor´s dynamical risk aversion is the primary driven force that gives rise to the excess and clustered volatility. All these results are the keys to understanding, quantifying and managing financial risk. Scaling, clustering and dynamics of volatility in finacial time series Buch (fremdspr.) Bücher>Fremdsprachige Bücher>Englische Bücher, LAP Lambert Academic Publishing

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Key to Understanding Financial Market Risk:Scaling, clustering and dynamics of volatility in finacial time series Baosheng Yuan Key to Understanding Financial Market Risk:Scaling, clustering and dynamics of volatility in finacial time series Baosheng Yuan Bücher > Wissenschaft > Wirtschaftswissenschaft, LAP Lambert Acad. Publ.

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Key to Understanding Financial Market Risk ab 79 EURO Scaling, clustering and dynamics of volatility in finacial time series Key to Understanding Financial Market Risk ab 79 EURO Scaling, clustering and dynamics of volatility in finacial time series Bücher > Wissenschaft > Wirtschaftswissenschaft

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Key to Understanding Financial Market Risk Scaling, clustering and dynamics of volatility in finacial time series - Yuan, Baosheng
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Yuan, Baosheng:
Key to Understanding Financial Market Risk Scaling, clustering and dynamics of volatility in finacial time series - neues Buch

2010, ISBN: 3838359046

ID: A10361431

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Details zum Buch
Key to Understanding Financial Market Risk

This thesis studies three most important and difficult problems in financial risk: 1). Scaling, clustering and dynamics of volatility of financial asset returns; 2). Statistical and dynamical properties of the market; and 3). Driven force underlying the market volatility. The Value at Risk (VaR) measure currently used in financial industry is far from a reliable tool due to its lack of volatility clustering measure. This thesis presents a solution to this problem. Next, the dynamics of the market is studied from the perspective of interacting and competing agents with self-segregation or herding behaviors. This model shows that investor's winning strategy depends on the market dynamics: active when market is highly volatile and clustered and inactive otherwise. Last, a heterogeneous agent-based model is developed to investigate the impact of investor's sentiments on asset price dynamics. The simulation results show that investor's dynamical risk aversion is the primary driven force that gives rise to the excess and clustered volatility. All these results are the keys to understanding, quantifying and managing financial risk.

Detailangaben zum Buch - Key to Understanding Financial Market Risk


EAN (ISBN-13): 9783838359045
ISBN (ISBN-10): 3838359046
Gebundene Ausgabe
Taschenbuch
Erscheinungsjahr: 2010
Herausgeber: LAP Lambert Acad. Publ.
232 Seiten
Gewicht: 0,362 kg
Sprache: eng/Englisch

Buch in der Datenbank seit 21.08.2008 09:07:30
Buch zuletzt gefunden am 13.01.2018 13:42:25
ISBN/EAN: 9783838359045

ISBN - alternative Schreibweisen:
3-8383-5904-6, 978-3-8383-5904-5


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