The econometrics of financial markets by A. Craig MacKinlay, Andrew W. Lo, Andrew Y. Lo, John Y. Campbell

The econometrics of financial markets



Download The econometrics of financial markets




The econometrics of financial markets A. Craig MacKinlay, Andrew W. Lo, Andrew Y. Lo, John Y. Campbell ebook
Page: 625
ISBN: 0691043019, 9780691043012
Publisher: PUP
Format: djvu


I like their "The Econometrics of Financial Markets" book; a nice survey of various econometric ideas and ways of looking for market inefficiencies. President of Hussman Econometrics Advisors. Doctoral students in finance today, for example, have to learn the econometrics of high frequency data and grapple first hand with the challenges of handling this data. In this context, it doesn't matter whether the Second, “A Non-Random Walk Down Wall Street”; if you are very good at statistics, “The Econometrics of Financial Markets” by Campbell/Lo is the big reference, though slightly out of date. When the next Federal Reserve meeting is expected to bring interest rate cuts or increases, it is wise, as a stock investor, to be aware of the potential effects behind such decisions. In his thought-provoking presentation, Hussman very clearly argues that distortions in the financial markets have created an environment with very low prospective returns. Traditionally, securities regulators globally have regarded the exchanges as it become increasingly out of touch with the reality of financial markets. The Econometrics of Financial Markets. Based on the implied volatilities (for March 16 expiration) of AAPL compared to SPY, GOOG, IBM and MSFT, I believe that the market expectation for AAPL is bullish for the next few weeks. I wrote about this kind of studies in audit area in one of my posts (click link) on February. Of course, if you are able to tell what the future of the market is, you will be able to make more money. Yet, it's pretty long in the tooth; 1996 is a long time ago. I wrote a column in the Financial Express today arguing that the financial market regulators need to get directly involved in real time market surveillance. After this crisis, the Keynes-Minsky view of financial markets as inherently destabilising looks a lot more appealing than the opposing view, argued most prominently by Milton Friedman. This is why many people will pay close attention to the econometrics of financial markets. Princeton , NJ : Princeton University Press, p.