Asset Price Dynamics, Volatility, and Prediction

Asset Price Dynamics, Volatility, and Prediction provides a rigorous yet accessible exploration of how recent market prices reveal significant information about the probability distributions that determine future asset values. Stephen J. Taylor blends empirical research with core financial theories, demonstrating how daily and higher frequency asset and option price data can be used to model and forecast future price movements, volatility, and the underlying risks. Drawing on techniques such as random walk tests, trading rules, ARCH models, and stochastic volatility models, this book offers clear explanations of complex concepts with less emphasis on heavy mathematics. The use of high-frequency datasets and insights from option pricing further enriches the discussion, making the text both practical and theoretically robust. Designed to cater to the needs of students in economics, finance, and mathematics as well as quantitative analysts, fund managers, and risk managers, this comprehensive resource bridges econometric models with real-world market observations. Whether you are building a foundation in financial econometrics or seeking advanced strategies for market prediction, this book offers a balanced approach to understanding and navigating the dynamic behavior of asset prices.