Indexation and Causation of Financial Markets

by Genshiro Kitagawa and Yoko Tanokura

​This book presents a new statistical method of constructing a price index of a financial asset where the price distributions are skewed and heavy-tailed and investigates the effectiveness of the method. In order to fully reflect the movements of prices or returns on a financial asset, the index should reflect their distributions. However, they are often heavy-tailed and possibly skewed, and identifying them directly is not easy. This book first...

• Format: Paperback
• Language: English
• ISBN: 4431552758
• ISBN13: 9784431552758
• Release Date: January 2016
• Publisher: Springer
• Length: 103 Pages
• Weight: 0.38 lbs.
• Dimensions: 0.2" x 6.1" x 9.2"