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Microstructure, Statistical Fluctuations, and Technical Signals in Rational Asset Pricing
Hardcover
Investing & FinanceGeneral Mathematics
ISBN13: 9781041370031
Publisher: CRC Press
Published: Jan 18 2027
Pages: 816
Language: English
Microstructure, Statistical Fluctuations, and Technical Signals in Rational Asset Pricing develops a unified, research-level framework for rational asset pricing under realistic information frictions, connecting three literatures that are too often treated separately: market microstructure, statistical fluctuation models (including scaling, heavy tails, and dependence), and technical signals used in empirical practice.
The organizing claim of the book is not that markets are 'irrational', but that standard rational finance is frequently implemented with empirically incomplete statistical structure and with an overly idealized information-transmission mechanism.
This book is primarily intended for advanced graduate (Ph.D. and strong M.S.) students and research-oriented practitioners. It is also accessible to advanced undergraduates in mathematics, statistics, financial engineering, and economics, provided they have prior exposure to probability, regression, and basic asset pricing.
Features
- Numerous illustrative examples and worked proofs
- Comprehensive, in-depth coverage of topics
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