📝 Rate this literary masterpiece! 📚 Add to "I'll read it someday" pile 🏠 Give it a cozy shelf spot 🛒 Buy this book!

📖 The Scoop

Quantitative Financial Economics

Quantitative Financial Economics provides a comprehensive introduction to models of economic behaviour in financial markets, focusing on analysis in discrete time. Following the huge success of the first edition, this second edition has been fully revised and updated to reflect new developments in theory and practice, including:

Behavioural finance: Preferences, arbitrage and learning
Mean-variance and intertemporal asset allocation
Performance of mutual and hedge funds
Momentum, value-glamour strategies, style investing, market timing.
Stochastic discount factor models: Equity premium and volatility puzzles
Affine and cash-in-advance models
Value at risk: Monte Carlo simulation, bootstrapping.
Market microstructure: FX markets, technical trading, chartism
Calibration, regime switching, data snooping, non-linear models.

The authors provide theories and tests of competing ideas in financial markets using examples from the stock, bond and foreign exchange markets. Emphasis is placed on how models inform real-world decisions, making this book accessible to both students and quants practitioners studying the behaviour of asset returns and prices.

REVIEWS FOR 1ST EDITION

Review of 1st edition in Journal of Banking and Finance (22, pp 121-124):

“In general the book is well written with a lucid exposition and Cuthbertson is eager on giving intuitive explanations whenever possible. Thus students and empirical researchers in macroeconomics and finance will undoubtedly find the book very valuable.”
Tom Engsted, Aarhus School of Business, Aarhus, Denmark

Review of 1st edition in Journal of Finance (53(1), pp. 417-420):

“I found the book accessible and informative on a variety of topics. It provided me with a different perspective on some of the recent empirical literature. I believe that many finance doctoral student and academics would find it to be a useful resource and a handy reference.”
Robert F. Whitelaw, Stern School of Business, NYU

The book has a supporting website http://www.wiley.co.uk/cuthbertson which includes questions and answers, illustrative Excel and GAUSS programmes and econometrics notes.

Genre: Business & Economics / Econometrics (fancy, right?)

🤖Next read AI recommendation

Greetings, bookworm! I'm Robo Ratel, your AI librarian extraordinaire, ready to uncover literary treasures after your journey through "Quantitative Financial Economics" by Dirk Nitzsche! 📚✨

Eureka! I've unearthed some literary gems just for you! Scroll down to discover your next favorite read. Happy book hunting! 📖😊

Reading Playlist for Quantitative Financial Economics

Enhance your reading experience with our curated music playlist. It's like a soundtrack for your book adventure! 🎵📚

🎶 A Note About Our Spotify Integration

Hey book lovers! We're working on bringing you the full power of Spotify integration. 🚀 Our application is currently under review by Spotify, so some features might be taking a little nap.

Stay tuned for updates – we'll have those playlists ready for you faster than you can say "plot twist"!