{"product_id":"quantitative-financial-economics-isbn-9780470091715","title":"Quantitative Financial Economics","description":"\u003cb\u003eQuantitative Financial Economics\u003c\/b\u003e \u003cp\u003eQuantitative 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: \u003c\/p\u003e\u003cul\u003e\n\u003cli\u003eBehavioural finance: Preferences, arbitrage and learning\u003c\/li\u003e \u003cli\u003eMean-variance and intertemporal asset allocation\u003c\/li\u003e \u003cli\u003ePerformance of mutual and hedge funds\u003c\/li\u003e \u003cli\u003eMomentum, value-glamour strategies, style investing, market timing.\u003c\/li\u003e \u003cli\u003eStochastic discount factor models: Equity premium and volatility puzzles\u003c\/li\u003e \u003cli\u003eAffine and cash-in-advance models\u003c\/li\u003e \u003cli\u003eValue at risk: Monte Carlo simulation, bootstrapping.\u003c\/li\u003e \u003cli\u003eMarket microstructure: FX markets, technical trading, chartism\u003c\/li\u003e \u003cli\u003eCalibration, regime switching, data snooping, non-linear models.\u003c\/li\u003e\n\u003c\/ul\u003e \u003cp\u003eThe 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. \u003c\/p\u003e\u003cp\u003e\u003cb\u003eREVIEWS FOR 1ST EDITION\u003c\/b\u003e \u003c\/p\u003e\u003cp\u003eReview of 1st edition in \u003ci\u003eJournal of Banking and Finance\u003c\/i\u003e (22, pp 121-124): \u003c\/p\u003e\u003cp\u003e\u003ci\u003e“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.”\u003c\/i\u003e\u003cbr\u003e \u003cb\u003eTom Engsted, Aarhus School of Business, Aarhus, Denmark\u003c\/b\u003e \u003c\/p\u003e\u003cp\u003eReview of 1st edition in \u003ci\u003eJournal of Finance\u003c\/i\u003e (53(1), pp. 417-420): \u003c\/p\u003e\u003cp\u003e\u003ci\u003e“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.”\u003c\/i\u003e\u003cbr\u003e \u003cb\u003eRobert F. Whitelaw, Stern School of Business, NYU\u003c\/b\u003e \u003c\/p\u003e\u003cp\u003eThe book has a supporting website \u003cb\u003ehttp:\/\/www.wiley.co.uk\/cuthbertson\u003c\/b\u003e which includes questions and answers, illustrative Excel and GAUSS programmes and econometrics notes.  Preface.  \u003c\/p\u003e\u003cp\u003eAcknowledgements.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e1 Basic Concepts in Finance.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAims.\u003c\/p\u003e \u003cp\u003e1.1 Returns on Stocks, Bonds and Real Assets.\u003c\/p\u003e \u003cp\u003e1.2 Discounted Present Value, DPV.\u003c\/p\u003e \u003cp\u003e1.3 Utility and Indifference Curves.\u003c\/p\u003e \u003cp\u003e1.4 Asset Demands.\u003c\/p\u003e \u003cp\u003e1.5 Indifference Curves and Intertemporal Utility.\u003c\/p\u003e \u003cp\u003e1.6 Investment Decisions and Optimal Consumption.\u003c\/p\u003e \u003cp\u003e1.7 Summary.\u003c\/p\u003e \u003cp\u003eAppendix: Mean-Variance Model and Utility Functions.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e2 Basic Statistics in Finance.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAims.\u003c\/p\u003e \u003cp\u003e2.1 Lognormality and Jensen’s Inequality.\u003c\/p\u003e \u003cp\u003e2.2 Unit Roots, Random Walk and Cointegration.\u003c\/p\u003e \u003cp\u003e2.3 Monte Carlo Simulation (MCS) and Bootstrapping.\u003c\/p\u003e \u003cp\u003e2.4 Bayesian Learning.\u003c\/p\u003e \u003cp\u003e2.5 Summary.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e3 Efficient Markets Hypothesis.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAims.\u003c\/p\u003e \u003cp\u003e3.1 Overview.\u003c\/p\u003e \u003cp\u003e3.2 Implications of the EMH.\u003c\/p\u003e \u003cp\u003e3.3 Expectations, Martingales and Fair Game.\u003c\/p\u003e \u003cp\u003e3.4 Testing the EMH.\u003c\/p\u003e \u003cp\u003e3.5 Using Survey Data.\u003c\/p\u003e \u003cp\u003e3.6 Summary.\u003c\/p\u003e \u003cp\u003eAppendix: Cross-Equation Restrictions.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e4 Are Stock Returns Predictable?\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAims.\u003c\/p\u003e \u003cp\u003e4.1 A Century of Returns.\u003c\/p\u003e \u003cp\u003e4.2 Simple Models.\u003c\/p\u003e \u003cp\u003e4.3 Univariate Tests.\u003c\/p\u003e \u003cp\u003e4.4 Multivariate Tests.\u003c\/p\u003e \u003cp\u003e4.5 Cointegration and Error Correction Models (ECM).\u003c\/p\u003e \u003cp\u003e4.6 Non-Linear Models.\u003c\/p\u003e \u003cp\u003e4.7 Markov Switching Models.\u003c\/p\u003e \u003cp\u003e4.8 Profitable Trading Strategies?\u003c\/p\u003e \u003cp\u003e4.9 Summary.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e5 Mean-Variance Portfolio Theory and the CAPM.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAims.\u003c\/p\u003e \u003cp\u003e5.1 An Overview.\u003c\/p\u003e \u003cp\u003e5.2 Mean-Variance Model.\u003c\/p\u003e \u003cp\u003e5.3 Capital Asset Pricing Model.\u003c\/p\u003e \u003cp\u003e5.4 Beta and Systematic Risk.\u003c\/p\u003e \u003cp\u003e5.5 Summary.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e6 International Portfolio Diversification.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAims.\u003c\/p\u003e \u003cp\u003e6.1 Mathematics of the Mean-Variance Model.\u003c\/p\u003e \u003cp\u003e6.2 International Diversification.\u003c\/p\u003e \u003cp\u003e6.3 Mean-Variance Optimisation in Practice.\u003c\/p\u003e \u003cp\u003e6.4 Summary.\u003c\/p\u003e \u003cp\u003eAppendix I: Efficient Frontier and the CML.\u003c\/p\u003e \u003cp\u003eAppendix II: Market Portfolio.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e7 Performance Measures, CAPM and APT.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAims.\u003c\/p\u003e \u003cp\u003e7.1 Performance Measures.\u003c\/p\u003e \u003cp\u003e7.2 Extensions of the CAPM.\u003c\/p\u003e \u003cp\u003e7.3 Single Index Model.\u003c\/p\u003e \u003cp\u003e7.4 Arbitrage Pricing Theory.\u003c\/p\u003e \u003cp\u003e7.5 Summary.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e8 Empirical Evidence: CAPM and APT.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAims.\u003c\/p\u003e \u003cp\u003e8.1 CAPM: Time-Series Tests.\u003c\/p\u003e \u003cp\u003e8.2 CAPM: Cross-Section Tests.\u003c\/p\u003e \u003cp\u003e8.3 CAPM, Multifactor Models and APT.\u003c\/p\u003e \u003cp\u003e8.4 Summary.\u003c\/p\u003e \u003cp\u003eAppendix: Fama–MacBeth Two-Step Procedure.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e9 Applications of Linear Factor Models.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAims.\u003c\/p\u003e \u003cp\u003e9.1 Event Studies.\u003c\/p\u003e \u003cp\u003e9.2 Mutual Fund Performance.\u003c\/p\u003e \u003cp\u003e9.3 Mutual Fund ‘Stars’?\u003c\/p\u003e \u003cp\u003e9.4 Summary.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e10 Valuation Models and Asset Returns.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAims.\u003c\/p\u003e \u003cp\u003e10.1 The Rational Valuation Formula (RVF).\u003c\/p\u003e \u003cp\u003e10.2 Special Cases of the RVF.\u003c\/p\u003e \u003cp\u003e10.3 Time-Varying Expected Returns.\u003c\/p\u003e \u003cp\u003e10.4 Summary.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e11 Stock Price Volatility.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAims.\u003c\/p\u003e \u003cp\u003e11.1 Shiller Volatility Tests.\u003c\/p\u003e \u003cp\u003e11.2 Volatility Tests and Stationarity.\u003c\/p\u003e \u003cp\u003e11.3 Peso Problems and Variance Bounds Tests.\u003c\/p\u003e \u003cp\u003e11.4 Volatility and Regression Tests.\u003c\/p\u003e \u003cp\u003e11.5 Summary.\u003c\/p\u003e \u003cp\u003eAppendix: LeRoy–Porter and West Tests.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e12 Stock Prices: The VAR Approach.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAims.\u003c\/p\u003e \u003cp\u003e12.1 Linearisation of Returns and the RVF.\u003c\/p\u003e \u003cp\u003e12.2 Empirical Results.\u003c\/p\u003e \u003cp\u003e12.3 Persistence and Volatility.\u003c\/p\u003e \u003cp\u003e12.4 Summary.\u003c\/p\u003e \u003cp\u003eAppendix: Returns, Variance Decomposition and Persistence.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e13 SDF Model and the C-CAPM.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAims.\u003c\/p\u003e \u003cp\u003e13.1 Consumption-CAPM.\u003c\/p\u003e \u003cp\u003e13.2 C-CAPM and the ‘Standard’ CAPM.\u003c\/p\u003e \u003cp\u003e13.3 Prices and Covariance.\u003c\/p\u003e \u003cp\u003e13.4 Rational Valuation Formula and SDF.\u003c\/p\u003e \u003cp\u003e13.5 Factor Models.\u003c\/p\u003e \u003cp\u003e13.6 Summary.\u003c\/p\u003e \u003cp\u003eAppendix: Joint Lognormality and Power Utility.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e14 C-CAPM: Evidence and Extensions.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAims.\u003c\/p\u003e \u003cp\u003e14.1 Should Returns be Predictable in the C-CAPM?\u003c\/p\u003e \u003cp\u003e14.2 Equity Premium Puzzle.\u003c\/p\u003e \u003cp\u003e14.3 Testing the Euler Equations of the C-CAPM.\u003c\/p\u003e \u003cp\u003e14.4 Extensions of the SDF Model.\u003c\/p\u003e \u003cp\u003e14.5 Habit Formation.\u003c\/p\u003e \u003cp\u003e14.6 Equity Premium: Further Explanations.\u003c\/p\u003e \u003cp\u003e14.7 Summary.\u003c\/p\u003e \u003cp\u003eAppendix: Hansen–Jagannathan Bound.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e15 Intertemporal Asset Allocation: Theory.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAims.\u003c\/p\u003e \u003cp\u003e15.1 Two-Period Model.\u003c\/p\u003e \u003cp\u003e15.2 Multi-Period Model.\u003c\/p\u003e \u003cp\u003e15.3 SDF Model of Expected Returns.\u003c\/p\u003e \u003cp\u003e15.4 Summary.\u003c\/p\u003e \u003cp\u003eAppendix I: Envelope Condition for Consumption-Portfolio Problem.\u003c\/p\u003e \u003cp\u003eAppendix II: Solution for Log Utility.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e16 Intertemporal Asset Allocation: Empirics.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAims.\u003c\/p\u003e \u003cp\u003e16.1 Retirement and Stochastic Income.\u003c\/p\u003e \u003cp\u003e16.2 Many Risky Assets.\u003c\/p\u003e \u003cp\u003e16.3 Different Preferences.\u003c\/p\u003e \u003cp\u003e16.4 Horizon Effects and Uncertainty.\u003c\/p\u003e \u003cp\u003e16.5 Market Timing and Uncertainty.\u003c\/p\u003e \u003cp\u003e16.6 Stochastic Parameters.\u003c\/p\u003e \u003cp\u003e16.7 Robustness.\u003c\/p\u003e \u003cp\u003e16.8 Summary.\u003c\/p\u003e \u003cp\u003eAppendix: Parameter Uncertainty and Bayes Theorem.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e17 Rational Bubbles and Learning.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAims.\u003c\/p\u003e \u003cp\u003e17.1 Rational Bubbles.\u003c\/p\u003e \u003cp\u003e17.2 Tests of Rational Bubbles.\u003c\/p\u003e \u003cp\u003e17.3 Intrinsic Bubbles.\u003c\/p\u003e \u003cp\u003e17.4 Learning.\u003c\/p\u003e \u003cp\u003e17.5 Summary.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e18 Behavioural Finance and Anomalies.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAims.\u003c\/p\u003e \u003cp\u003e18.1 Key Ideas.\u003c\/p\u003e \u003cp\u003e18.2 Beliefs and Preferences.\u003c\/p\u003e \u003cp\u003e18.3 Survival of Noise Traders.\u003c\/p\u003e \u003cp\u003e18.4 Anomalies.\u003c\/p\u003e \u003cp\u003e18.5 Corporate Finance.\u003c\/p\u003e \u003cp\u003e18.6 Summary.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e19 Behavioural Models.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAims.\u003c\/p\u003e \u003cp\u003e19.1 Simple Model.\u003c\/p\u003e \u003cp\u003e19.2 Optimising Model of Noise Trader Behaviour.\u003c\/p\u003e \u003cp\u003e19.3 Shleifer–Vishny Model: Short-Termism.\u003c\/p\u003e \u003cp\u003e19.4 Contagion.\u003c\/p\u003e \u003cp\u003e19.5 Beliefs and Expectations.\u003c\/p\u003e \u003cp\u003e19.6 Momentum and Newswatchers.\u003c\/p\u003e \u003cp\u003e19.7 Style Investing.\u003c\/p\u003e \u003cp\u003e19.8 Prospect Theory.\u003c\/p\u003e \u003cp\u003e19.9 Summary.\u003c\/p\u003e \u003cp\u003eAppendix I: The DeLong et al Model of Noise Traders.\u003c\/p\u003e \u003cp\u003eAppendix II: The Shleifer–Vishny Model of Short-Termism.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e20 Theories of the Term Structure.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAims.\u003c\/p\u003e \u003cp\u003e20.1 Prices, Yields and the RVF.\u003c\/p\u003e \u003cp\u003e20.2 Theories of the Term Structure.\u003c\/p\u003e \u003cp\u003e20.3 Expectations Hypothesis.\u003c\/p\u003e \u003cp\u003e20.4 Summary.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e21 The EH–From Theory to Testing.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAims.\u003c\/p\u003e \u003cp\u003e21.1 Alternative Representations of the EH.\u003c\/p\u003e \u003cp\u003e21.2 VAR Approach.\u003c\/p\u003e \u003cp\u003e21.3 Time-Varying Term Premium–VAR Methodology.\u003c\/p\u003e \u003cp\u003e21.4 Summary.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e22 Empirical Evidence on the Term Structure.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAims.\u003c\/p\u003e \u003cp\u003e22.1 Data and Cointegration.\u003c\/p\u003e \u003cp\u003e22.2 Variance Bounds Tests.\u003c\/p\u003e \u003cp\u003e22.3 Single-Equation Tests.\u003c\/p\u003e \u003cp\u003e22.4 Expectations Hypothesis: Case Study.\u003c\/p\u003e \u003cp\u003e22.5 Previous Studies.\u003c\/p\u003e \u003cp\u003e22.6 Summary.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e23 SDF and Affine Term Structure Models.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAims.\u003c\/p\u003e \u003cp\u003e23.1 SDF Model.\u003c\/p\u003e \u003cp\u003e23.2 Single-Factor Affine Models.\u003c\/p\u003e \u003cp\u003e23.3 Multi-Factor Affine Models.\u003c\/p\u003e \u003cp\u003e23.4 Summary.\u003c\/p\u003e \u003cp\u003eAppendix I: Math of SDF Model of Term Structure.\u003c\/p\u003e \u003cp\u003eAppendix II: Single-Factor Affine Models.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e24 The Foreign Exchange Market.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAims.\u003c\/p\u003e \u003cp\u003e24.1 Exchange Rate Regimes.\u003c\/p\u003e \u003cp\u003e24.2 PPP and LOOP.\u003c\/p\u003e \u003cp\u003e24.3 Covered-Interest Parity, CIP.\u003c\/p\u003e \u003cp\u003e24.4 Uncovered Interest Parity, UIP.\u003c\/p\u003e \u003cp\u003e24.5 Forward Rate Unbiasedness, FRU.\u003c\/p\u003e \u003cp\u003e24.6 Real Interest Rate Parity.\u003c\/p\u003e \u003cp\u003e24.7 Summary.\u003c\/p\u003e \u003cp\u003eAppendix: PPP and the Wage–Price Spiral.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e25 Testing CIP, UIP and FRU.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAims.\u003c\/p\u003e \u003cp\u003e25.1 Covered Interest Arbitrage.\u003c\/p\u003e \u003cp\u003e25.2 Uncovered Interest Parity.\u003c\/p\u003e \u003cp\u003e25.3 Forward Rate Unbiasedness, FRU.\u003c\/p\u003e \u003cp\u003e25.4 Testing FRU: VAR Methodology.\u003c\/p\u003e \u003cp\u003e25.5 Peso Problems and Learning.\u003c\/p\u003e \u003cp\u003e25.6 Summary.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e26 Modelling the FX Risk Premium.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAims.\u003c\/p\u003e \u003cp\u003e26.1 Implications of \u003ci\u003eβ \u0026lt;\u003c\/i\u003e 1 in FRU Regressions.\u003c\/p\u003e \u003cp\u003e26.2 Consumption-CAPM.\u003c\/p\u003e \u003cp\u003e26.3 Affine Models of FX Returns.\u003c\/p\u003e \u003cp\u003e26.4 FRU and Cash-in-Advance Models.\u003c\/p\u003e \u003cp\u003e26.5 Summary.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e27 Exchange Rate and Fundamentals.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAims.\u003c\/p\u003e \u003cp\u003e27.1 Monetary Models.\u003c\/p\u003e \u003cp\u003e27.2 Testing the Models.\u003c\/p\u003e \u003cp\u003e27.3 New Open-Economy Macroeconomics.\u003c\/p\u003e \u003cp\u003e27.4 Summary.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e28 Market Risk.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAims.\u003c\/p\u003e \u003cp\u003e28.1 Measuring VaR.\u003c\/p\u003e \u003cp\u003e28.2 Mapping Assets: Simplifications.\u003c\/p\u003e \u003cp\u003e28.3 Non-Parametric Measures.\u003c\/p\u003e \u003cp\u003e28.4 Monte Carlo Simulation.\u003c\/p\u003e \u003cp\u003e28.5 Alternative Methods.\u003c\/p\u003e \u003cp\u003e28.6 Summary.\u003c\/p\u003e \u003cp\u003eAppendix I: Monte Carlo Analysis and VaR.\u003c\/p\u003e \u003cp\u003eAppendix II: Single Index Model (SIM).\u003c\/p\u003e \u003cp\u003e\u003cb\u003e29 Volatility and Market Microstructure.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAims.\u003c\/p\u003e \u003cp\u003e29.1 Volatility.\u003c\/p\u003e \u003cp\u003e29.2 What Influences Volatility?\u003c\/p\u003e \u003cp\u003e29.3 Multivariate GARCH.\u003c\/p\u003e \u003cp\u003e29.4 Market Microstructure–FX Trading.\u003c\/p\u003e \u003cp\u003e29.5 Survey Data and Expectations.\u003c\/p\u003e \u003cp\u003e29.6 Technical Trading Rules.\u003c\/p\u003e \u003cp\u003e29.7 Summary.\u003c\/p\u003e \u003cp\u003e\u003cb\u003eReferences.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eRecommended Reading.\u003c\/p\u003e \u003cp\u003e\u003cb\u003eIndex.\u003c\/b\u003e\u003c\/p\u003e  \u003cp\u003e\u003cb\u003eKeith Cuthbertson \u003c\/b\u003eis Professor of Finance at CASS Business School, City University, London. He has been an advisor to the Bank of England and UK Treasury and a visitor at the Federal Reserve, Washington DC and Bundesbank Professor at the Freie University, Berlin. He has held chairs at the University of Newcastle and Tanaka Business School, Imperial College, as well as undertaking consultancy with financial institutions. \u003c\/p\u003e\u003cp\u003e\u003cb\u003eDirk Nitzsche\u003c\/b\u003e is an Associate Professor in Finance at CASS Business School and previously was at the Tanaka Business School, Imperial College. \u003c\/p\u003e\u003cp\u003eComplementary texts by the same authors are \u003ci\u003eInvestments: Spot and Derivatives Markets\u003c\/i\u003e, and \u003ci\u003eFinancial Engineering: Derivatives and Risk Management\u003c\/i\u003e (2001) both published by John Wiley \u0026amp; Sons, Ltd.   \u003c\/p\u003e\u003cp\u003eQuantitative 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: \u003c\/p\u003e\u003cul\u003e\n\u003cli\u003eBehavioural finance: Preferences, arbitrage and learning\u003c\/li\u003e \u003cli\u003eMean-variance and intertemporal asset allocation\u003c\/li\u003e \u003cli\u003ePerformance of mutual and hedge funds\u003c\/li\u003e \u003cli\u003eMomentum, value-glamour strategies, style investing, market timing.\u003c\/li\u003e \u003cli\u003eStochastic discount factor models: Equity premium and volatility puzzles\u003c\/li\u003e \u003cli\u003eAffine and cash-in-advance models\u003c\/li\u003e \u003cli\u003eValue at risk: Monte Carlo simulation, bootstrapping.\u003c\/li\u003e \u003cli\u003eMarket microstructure: FX markets, technical trading, chartism\u003c\/li\u003e \u003cli\u003eCalibration, regime switching, data snooping, non-linear models.\u003c\/li\u003e\n\u003c\/ul\u003e \u003cp\u003eThe 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. \u003c\/p\u003e\u003cp\u003e\u003cb\u003eREVIEWS FOR 1ST EDITION\u003c\/b\u003e \u003c\/p\u003e\u003cp\u003eReview of 1st edition in \u003ci\u003eJournal of Banking and Finance\u003c\/i\u003e (22, pp 121-124): \u003c\/p\u003e\u003cp\u003e\u003ci\u003e“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.”\u003c\/i\u003e\u003cbr\u003e \u003cb\u003eTom Engsted, Aarhus School of Business, Aarhus, Denmark\u003c\/b\u003e \u003c\/p\u003e\u003cp\u003eReview of 1st edition in \u003ci\u003eJournal of Finance\u003c\/i\u003e (53(1), pp. 417-420): \u003c\/p\u003e\u003cp\u003e\u003ci\u003e“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.”\u003c\/i\u003e\u003cbr\u003e \u003cb\u003eRobert F. Whitelaw, Stern School of Business, NYU\u003c\/b\u003e \u003c\/p\u003e\u003cp\u003eThe book has a supporting website \u003cb\u003ehttp:\/\/www.wiley.co.uk\/cuthbertson\u003c\/b\u003e which includes questions and answers, illustrative Excel and GAUSS programmes and econometrics notes.\u003c\/p\u003e","brand":"Wiley","offers":[{"title":"Default Title","offer_id":47989895889125,"sku":"NP9780470091715","price":66.0,"currency_code":"USD","in_stock":false}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/1842\/7735\/files\/9780470091715.jpg?v=1761785830","url":"https:\/\/k12savings.com\/products\/quantitative-financial-economics-isbn-9780470091715","provider":"K12savings","version":"1.0","type":"link"}