Keith Cuthbertson – Quantitative Financial Economics

Quantitative techniques in finance have become important to academics and professionals in the financial markets looking to gain a more profitable edge. Quantitative Financial Economics gives a comprehensive introduction to models of economic behavior in financial markets. The most recent theoretical and econometric advances in the field are covered.

There are models of noise trader behavior.

There are Rational and Intrinsic bubbles.

The risk of chaos and time varies.

Cointegration and non?stationarity.

Rational expectations.

The models are called ARCH and GARCH.

The author gives illustrative results and theories from the stock, bond and foreign exchange markets. Quantitative Financial Economics progresses from simple to more complex theoretical models and empirical tests, making it accessible to both students and practitioners.

The author is a professor at the business school. He was an advisor to the Bank of England and the UK Treasury, as well as visiting the Federal Reserve in Washington DC and the Freie University in Berlin. He has worked with financial institutions as well as holding chairs at the University of Newcastle and the Imperial College. Dirk Nitzsche is an Associate Professor in Finance at the CASS Business School.