Microstructure, statistical fluctuations, and technical signals in rational asset pricing
Auteur :
Jha, Ayush / Jaffri, Ali / Lindquist, W. Brent / Rachev, Svetlozar / Boakye, Rexford / Hettiachchi-Halpe-Kankanamalage, Dilmi C. W. / Mensah, Abigail
Éditeur :
Taylor & Francis Ltd
ISBN :
9781041370031
Date de publication :
15 janv. 2027
Dimensions :
25,4 x 17,8 cm
Langue :
Anglais
Pays d'origine :
Grande Bretagne
This book develops a research-level framework for rational asset pricing under realistic information frictions, connecting three literatures that are often treated separately: market microstructure, statistical fluctuation models (including scaling, heavy tails, and dependence), and technical signals used in empirical practice.