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1.

図書

図書
edited by Massimo Picardello, Wolfgang Woess
出版情報: Cambridge : Cambridge University Press, 1999  viii, 361 p. ; 24 cm
シリーズ名: Symposia mathematica ; v. 39
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2.

図書

図書
Andrew W. Lo, A. Craig MacKinlay
出版情報: Princeton, N.J. : Princeton University Press, c1999  xxiii, 424 p. ; 24 cm
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目次情報: 続きを見る
List of Figures
List of Tables
Preface
Introduction / 1:
The Random Walk and Efficient Markets / 1.1:
The Current State of Efficient Markets / 1.2:
Practical Implications / 1.3:
Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test / Part I:
The Specification Test / 2.1:
Homoskedastic Increments / 2.1.1:
Heteroskedastic Increments / 2.1.2:
The Random Walk Hypothesis for Weekly Returns / 2.2:
Results for Market Indexes / 2.2.1:
Results for Size-Based Portfolios / 2.2.2:
Results for Individual Securities / 2.2.3:
Spurious Autocorrelation Induced by Nontrading / 2.3:
The Mean-Reverting Alternative to the Random Walk / 2.4:
Conclusion / 2.5:
Proof of Theorems / Appendix A2:
The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation / 3:
The Variance Ratio Test / 3.1:
The IID Gaussian Null Hypothesis / 3.2.1:
The Heteroskedastic Null Hypothesis / 3.2.2:
Variance Ratios and Autocorrelations / 3.2.3:
Properties of the Test Statistic under the Null Hypotheses / 3.3:
The Gaussian IID Null Hypothesis / 3.3.1:
A Heteroskedastic Null Hypothesis / 3.3.2:
Power / 3.4:
The Variance Ratio Test for Large q / 3.4.1:
Power against a Stationary AR(1) Alternative / 3.4.2:
Two Unit Root Alternatives to the Random Walk / 3.4.3:
An Econometric Analysis of Nonsynchronous Trading / 3.5:
A Model of Nonsynchronous Trading / 4.1:
Implications for Individual Returns / 4.2.1:
Implications for Portfolio Returns / 4.2.2:
Time Aggregation / 4.3:
An Empirical Analysis of Nontrading / 4.4:
Daily Nontrading Probabilities Implicit in Autocorrelations / 4.4.1:
Nontrading and Index Autocorrelations / 4.4.2:
Extensions and Generalizations / 4.5:
Proof of Propositions / Appendix A4:
When Are Contrarian Profits Due to Stock Market Overreaction? / 5:
A Summary of Recent Findings / 5.1:
Analysis of Contrarian Profitability / 5.3:
The Independently and Identically Distributed Benchmark / 5.3.1:
Stock Market Overreaction and Fads / 5.3.2:
Trading on White Noise and Lead-Lag Relations / 5.3.3:
Lead-Lag Effects and Nonsynchronous Trading / 5.3.4:
A Positively Dependent Common Factor and the Bid-Ask Spread / 5.3.5:
An Empirical Appraisal of Overreaction / 5.4:
Long Horizons Versus Short Horizons / 5.5:
Long-Term Memory in Stock Market Prices / 5.6:
Long-Range Versus Short-Range Dependence / 6.1:
The Null Hypothesis / 6.2.1:
Long-Range Dependent Alternatives / 6.2.2:
The Rescaled Range Statistic / 6.3:
The Modified R/S Statistic / 6.3.1:
The Asymptotic Distribution of Q[subscript n] / 6.3.2:
The Relation Between Q[subscript n] and Q[subscript n] / 6.3.3:
The Behavior of Q[subscript n] Under Long Memory Alternatives / 6.3.4:
R/S Analysis for Stock Market Returns / 6.4:
The Evidence for Weekly and Monthly Returns / 6.4.1:
Size and Power / 6.5:
The Size of the R/S Test / 6.5.1:
Power Against Fractionally-Differenced Alternatives / 6.5.2:
Multifactor Models Do Not Explain Deviations from the CAPM / 6.6:
Linear Pricing Models, Mean-Variance Analysis, and the Optimal Orthogonal Portfolio / 7.1:
Squared Sharpe Measures / 7.3:
Implications for Risk-Based Versus Nonrisk-Based Alternatives / 7.4:
Zero Intercept F-Test / 7.4.1:
Testing Approach / 7.4.2:
Estimation Approach / 7.4.3:
Asymptotic Arbitrage in Finite Economies / 7.5:
Data-Snooping Biases in Tests of Financial Asset Pricing Models / 7.6:
Quantifying Data-Snooping Biases With Induced Order Statistics / 8.1:
Asymptotic Properties of Induced Order Statistics / 8.1.1:
Biases of Tests Based on Individual Securities / 8.1.2:
Biases of Tests Based on Portfolios of Securities / 8.1.3:
Interpreting Data-Snooping Bias as Power / 8.1.4:
Monte Carlo Results / 8.2:
Simulation Results for [theta subscript p] / 8.2.1:
Effects of Induced Ordering on F-Tests / 8.2.2:
F-Tests With Cross-Sectional Dependence / 8.2.3:
Two Empirical Examples / 8.3:
Sorting By Beta / 8.3.1:
Sorting By Size / 8.3.2:
How the Data Get Snooped / 8.4:
Maximizing Predictability in the Stock and Bond Markets / 8.5:
Motivation / 9.1:
Predicting Factors vs. Predicting Returns / 9.2.1:
Numerical Illustration / 9.2.2:
Empirical Illustration / 9.2.3:
Maximizing Predictability / 9.3:
Maximally Predictable Portfolio / 9.3.1:
Example: One-Factor Model / 9.3.2:
An Empirical Implementation / 9.4:
The Conditional Factors / 9.4.1:
Estimating the Conditional-Factor Model / 9.4.2:
The Maximally Predictable Portfolios / 9.4.3:
Statistical Inference for the Maximal R[subscript 2] / 9.5:
Monte Carlo Analysis / 9.5.1:
Three Out-of-Sample Measures of Predictability / 9.6:
Naive vs. Conditional Forecasts / 9.6.1:
Merton's Measure of Market Timing / 9.6.2:
The Profitability of Predictability / 9.6.3:
An Ordered Probit Analysis of Transaction Stock Prices / 9.7:
The Ordered Probit Model / 10.1:
Other Models of Discreteness / 10.2.1:
The Likelihood Function / 10.2.2:
The Data / 10.3:
Sample Statistics / 10.3.1:
The Empirical Specification / 10.4:
The Maximum Likelihood Estimates / 10.5:
Diagnostics / 10.5.1:
Endogeneity of [Delta]t[subscript k] and IBS[subscript k] / 10.5.2:
Applications / 10.6:
Order-Flow Dependence / 10.6.1:
Measuring Price Impact Per Unit Volume of Trade / 10.6.2:
Does Discreteness Matter? / 10.6.3:
A Larger Sample / 10.7:
Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices / 10.8:
Arbitrage Strategies and the Behavior of Stock Index Futures Prices / 11.1:
Forward Contracts on Stock Indexes (No Transaction Costs) / 11.1.1:
The Impact of Transaction Costs / 11.1.2:
Empirical Evidence / 11.2:
Data / 11.2.1:
Behavior of Futures and Index Series / 11.2.2:
The Behavior of the Mispricing Series / 11.2.3:
Path Dependence of Mispricing / 11.2.4:
Order Imbalances and Stock Price Movements on October 19 and 20, 1987 / 11.3:
Some Preliminaries / 12.1:
The Source of the Data / 12.1.1:
The Published Standard and Poor's Index / 12.1.2:
The Constructed Indexes / 12.2:
Buying and Selling Pressure / 12.3:
A Measure of Order Imbalance / 12.3.1:
Time-Series Results / 12.3.2:
Cross-Sectional Results / 12.3.3:
Return Reversals / 12.3.4:
Appendix A12 / 12.4:
Index Levels / A12.1:
Fifteen-Minute Index Returns / A12.2:
References
Index
List of Figures
List of Tables
Preface
3.

図書

図書
Guy Fayolle, Roudolf Iasnogorodski, Vadim Malyshev
出版情報: Berlin ; New York : Springer, c1999  xv, 156 p. ; 25 cm
シリーズ名: Applications of mathematics ; 40
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目次情報: 続きを見る
Introduction and History
Probabilistic Background / 1:
Markov Chains / 1.1:
Random Walks in a Quarter Plane / 1.2:
Functional Equations for the Invariant Measure / 1.3:
Foundations of the Analytic Approach / 2:
Fundamental Notions and Definitions / 2.1:
Covering Manifolds / 2.1.1:
Algebraic Functions / 2.1.2:
Elements of Galois Theory / 2.1.3:
Universal Cover and Uniformization / 2.1.4:
Abelian Differentials and Divisors / 2.1.5:
Restricting the Equation to an Algebraic Curve / 2.2:
First Insight (Algebraic Functions) / 2.2.1:
Second Insight (Algebraic Curve) / 2.2.2:
Third Insight (Factorization) / 2.2.3:
Fourth Insight (Riemann Surfaces) / 2.2.4:
The Algebraic Curve Q(x,y) = 0 / 2.3:
Branches of the Algebraic Functions on the Unit Circle / 2.3.1:
Branch Points / 2.3.2:
Galois Automorphisms and the Group of the Random Walk / 2.4:
? and ? on S / 2.4.1:
Reduction of the Main Equation to the Riemann Torus / 2.5:
Analytic Continuation of the Unknown Functions in the Genus Case / 3:
Lifting the Fundamental Equation onto the Universal Covering / 3.1:
Lifting of the Branch Points / 3.1.1:
Lifting of the Automorphisms on the Universal Covering / 3.1.2:
Analytic Continuation / 3.2:
More about Uniformization / 3.3:
The Case of a Finite Group / 4:
On the Conditions for H to be Finite / 4.1:
Explicit Conditions for Groups of Order 4 or 6 / 4.1.1:
The General Case / 4.1.2:
Rational Solutions / 4.2:
The Case N(f) = 1 / 4.2.1:
Algebraic Solutions / 4.2.2:
Final Form of the General Solution / 4.3.1:
The Problem of the Poles and Examples / 4.5:
Reversible Random Walks / 4.5.1:
Simple Examples of Nonreversible Random Walks / 4.5.1.2:
One Parameter Families / 4.5.1.3:
Two Typical Situations / 4.5.1.4:
Ergodicity Conditions / 4.5.1.5:
Proof of Lemma 4.5.2 / 4.5.1.6:
An Example of Algebraic Solution by Flatto and Hahn / 4.6:
Two Queues in Tandem / 4.7:
Solution in the Case of an Arbitrary Group / 5:
Informal Reduction to a Riemann-Hilbert-Carleman BVP / 5.1:
Introduction to BVP in the Complex Plane / 5.2:
A Bit of History / 5.2.1:
The Sokhotski-Plemelj Formulae / 5.2.2:
The Riemann Boundary Value Problem for a Closed Con- tour / 5.2.3:
The Riemann BVP for an Open Contour / 5.2.4:
The Riemann-Carleman Problem with a Shift / 5.2.5:
Further Properties of the Branches Defined by Q(x,y) = 0 / 5.3:
Index and Solution of the BVP (5.1.5) / 5.4:
Complements / 5.5:
Computation of w / 5.5.1:
An Explicit Form via the Weierstrass P-Function / 5.5.2.1:
A Differential Equation / 5.5.2.2:
An Integral Equation / 5.5.2.3:
The Genus 0 Case / 6:
Properties of the Branches / 6.1:
Case 1: <$$$> / 6.2:
Case 3: <$$$> / 6.3:
Case 4: <$$$> / 6.4:
Integral Equation / 6.4.1:
Series Representation / 6.4.2:
Uniformization / 6.4.3:
Boundary Value Problem / 6.4.4:
Case 5: <$$$> / 6.5:
Miscellanea / 7:
About Explicit Solutions / 7.1:
Asymptotics / 7.2:
Large Deviations and Stationary Probabilities / 7.2.1:
Generalized Problems and Analytic Continuation / 7.3:
Outside Probability / 7.4:
References
Index
Introduction and History
Probabilistic Background / 1:
Markov Chains / 1.1:
4.

図書

図書
edited by Silvio Levy
出版情報: Cambridge : Cambridge University Press, 1997  ix, 194 p. ; 25 cm
シリーズ名: Mathematical Sciences Research Institute publications ; 31
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5.

図書

図書
Wolfgang Woess
出版情報: Cambridge ; New York : Cambridge University Press, 2000  xi, 334 p. ; 24 cm
シリーズ名: Cambridge tracts in mathematics ; 138
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6.

図書

図書
edited by Pál Révész, Bálint Tóth
出版情報: Budapest : János Bolyai Mathematical Society, 1999  384 p. ; 25 cm
シリーズ名: Bolyai Society mathematical studies ; 9
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7.

図書

図書
Mikhail Menshikov, Serguei Popov, Andrew Wade
出版情報: Cambridge : Cambridge University Press, 2017  xviii, 363 p. ; 24 cm
シリーズ名: Cambridge tracts in mathematics ; 209
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8.

図書

図書
David E. Handelman
出版情報: Berlin ; Tokyo : Springer-Verlag, c1987  x, 136 p. ; 25 cm
シリーズ名: Lecture notes in mathematics ; 1282
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9.

図書

図書
Yves Guivarc'h, Michael Keane, Bernard Roynette
出版情報: Berlin ; New York : Springer-Verlag, 1977  vii, 292 p. ; 25 cm
シリーズ名: Lecture notes in mathematics ; 624
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10.

図書

図書
Roberto Fernández, Jürg Fröhlich, Alan D. Sokal
出版情報: Berlin ; Tokyo : Springer-Verlag, c1992  xiii, 444 p. ; 24 cm
シリーズ名: Texts and monographs in physics
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