What We Are Reading Today: Asset Price Dynamics, Volatility, and Prediction by Stephen J. Taylor

Updated 02 July 2019
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What We Are Reading Today: Asset Price Dynamics, Volatility, and Prediction by Stephen J. Taylor

  • Asset Price Dynamics, Volatility, and Prediction is ideal for students of economics, finance, and mathematics

This book shows how current and recent market prices convey information about the probability distributions that govern future prices. Moving beyond purely theoretical models, Stephen Taylor applies methods supported by empirical research of equity and foreign exchange markets to show how daily and more frequent asset prices, and the prices of option contracts, can be used to construct and assess predictions about future prices, their volatility, and their probability distributions.

Stephen Taylor provides a comprehensive introduction to the dynamic behavior of asset prices, relying on finance theory and statistical evidence. He uses stochastic processes to define mathematical models for price dynamics, but with less mathematics than in alternative texts. The key topics covered include random walk tests, trading rules, ARCH models, stochastic volatility models, high-frequency datasets, and the information that option prices imply about volatility and distributions.

Asset Price Dynamics, Volatility, and Prediction is ideal for students of economics, finance, and mathematics who are studying financial econometrics, and will enable researchers to identify and apply appropriate models and methods. It will likewise be a valuable resource for quantitative analysts, fund managers, risk managers, and investors who seek realistic expectations about future asset prices and the risks to which they are exposed.


What We Are Reading Today: Bettyville

Updated 24 July 2019
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What We Are Reading Today: Bettyville

Author: George Hodgman

Bettyville is a touching memoir about the relationship between a mother and son.
It is a memoir written with love by a man who returns home to care for his aging mother.
Author George Hodgman captures life as it was in small-town Missouri, where he grew up.
Hodgman “is a good writer, knows how to use repetition to good effect, knows how to tease the reader and then pull away, later returning to tease again,” said a review in goodreads.com.
“The memoir would especially appeal to those with family members with dementia as well as those who want to understand how it feels to want not to hurt or disappoint the ones you love,” it added.
“There are chapters on the colorful residents; there are sections on George’s publishing career; there are some awkward and frustrating stories from his childhood; and there are memories of his parents and grandmother,” said the review.
Hodgman died on Saturday at his home in Manhattan. He was 60.
“The book is instantly engaging, as Hodgman has a wry sense of humor, one he uses to keep others at a distance,” Eloise Kinney wrote in a review in Booklist.
“Yet the book is also devastatingly touching.”