Financial Modelling with Forward-looking Information
Nadi Serhan Aydin
Gebundenes Buch

Financial Modelling with Forward-looking Information

An Intuitive Approach to Asset Pricing

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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 pr...