John Y.Campbell – The Econometrics of Financial Markets

Quantitative methods have grown in use in financial markets over the past twenty years. Finance professionals use sophisticated statistical techniques in portfolio management, proprietary trading, risk management, financial consulting, and securities regulation. The textbook is intended for PhD students, advanced MBA students, and industry professionals who are interested in econometrics of financial modeling. The entire spectrum of empirical finance is covered in the book, including: the predictability of asset returns, tests of the Random Walk Hypothesis, the microstructure of securities markets, event analysis, the Capital Asset Pricing Model and the Arbitrage Pricing Theory.

Within the context of a particular financial application, each chapter develops statistical techniques. This exciting new text contains a unique combination of theory and practice, bringing state-of-the-art statistical techniques to the forefront of financial applications. A discussion of recent empirical evidence, as well as problems designed to help readers incorporate what they have read into their own applications, are included in each chapter.