Introduction

This book deeply explores the determination mechanism of asset prices and their behavior in financial markets, especially integrating the pioneering research results of 2013 Nobel Prize winners in economics Eugene Fama, Lars Peter Hansen and Robert Shiller on the empirical analysis of asset prices. The book systematically introduces the core concepts of modern asset pricing theory, including the efficient market hypothesis, the predictability of asset returns, and the application of econometric techniques such as the generalized method of moments (GMM) in the financial field. Readers will learn how to use rigorous mathematical models and statistical methods to analyze price fluctuations of various assets such as stocks, bonds, and derivatives, understand the relationship between risk and return, and explore the formation and impact of market anomalies (such as asset bubbles). This book aims to provide quantitative analysts, algorithmic traders, financial engineers and data scientists with a solid theoretical foundation and rich practical tools to deal with complex and ever-changing financial market challenges.

Main features

• Solid theoretical foundation
• Rich practical cases
• Clear operating instructions
• Suitable for practical applications

Suitable for the crowd

• Quantitative Analyst
• Algorithmic Trader
• Financial Engineer
• Data Scientist