Financial Modelling with Forward-Looking Information : an Intuitive Approach to Asset Pricing.

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Financial Modelling with Forward-Looking Information : an Intuitive Approach to Asset Pricing.

9783319571461
331957146X
9783319571478 (electronic book)
3319571478 (electronic book)

New York : Springer, 2017.

English

1 online resource (xvii, 98 pages) : illustrations.

9783319571461
10.1007/978-3-319-57147-8 doi

HG4636 .A935 2017

332.63222015118

Annotation This volume 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.

Annotation This volume 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.

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