Multiple Investment Horizons and Stock Price Dynamics
Essays in quantitative finance
Paperback
Lieferzeit: Print on Demand - Lieferbar innerhalb von 3-5 Werktagen I
ISBN-13:
9783844333350
Veröffentl:
2011
Einband:
Paperback
Erscheinungsdatum:
22.05.2011
Seiten:
168
Autor:
Alexander Subbotin
Gewicht:
268 g
Format:
220x150x11 mm
Sprache:
Englisch
Beschreibung:
Market prices of risky assets are driven by the actions of economic agents that have different investment horizons: they adjust their portfolios at various frequencies and observe returns at different scales. In this book we examine the problem of multiple investment scales from three different angles. In the first place, we study the theoretical implications of the heterogeneity of investors' decision horizons for price dynamics. This analysis is carried in the frameworks of complete and bounded rationality. Second, different time series models of price volatility are examined in view of their capacity to represent the properties of stock returns simultaneously at various time scales. Finally, a method of measuring volatility at multiple scales with wavelet filters is developed, with application to the detection of financial crises.