£82.12

Springer - Dynamic Markov Bridges and Market Microstructure

Name: Springer - Dynamic Markov Bridges and Market Microstructure
Brand: Springer
Price: 82.12 GBP
Availability: InStock

Econometrics

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Description

Explore the complex relationship between stochastic processes and financial markets with this academic text from Springer. This book provides a detailed construction of Dynamic Markov Bridges, combining theoretical frameworks with practical real-world applications to help readers master essential methodologies. The text is organized into two comprehensive parts. Part I focuses on the development of theory through the use of stochastic filtering, partial differential equations, and Markov processes. This provides a strong mathematical foundation for understanding how these elements work together. Part II applies these theoretical developments to asymmetric information models among financial agents. A key focus includes the study of strategic risk-neutral insiders who hold private signals regarding the future value of traded assets. This resource is designed for professionals and students in econometrics, probability theory, and stochastic modelling looking to deepen their understanding of market microstructure.

Key Features

Comprehensive theory development using stochastic filtering and partial differential equations.

Detailed study of Markov processes and their practical applications in mathematical modelling.

In-depth analysis of asymmetric information models within financial agent environments.

Examination of strategic risk-neutral insiders and private signal possession in asset trading.

Part of the Probability Theory and Stochastic Modelling series (Volume 90) by Springer.

Product Specifications

Brand: Springer
Format: paperback
ASIN: 1493993992
Category: Books > Subjects > Business, Finance & Law > Economics > Econometrics
Domain: Amazon UK
Release Date: 10 December 2019
Listed Since: 29 September 2019

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Springer - Dynamic Markov Bridges and Market Microstructure

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