Indexation and Causation of Financial Markets

• Main Authors: Tanokura, Yoko (Author), Kitagawa, Genshiro (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Tokyo : Springer Japan : Imprint: Springer, 2015.
• Edition: 1st ed. 2015.
• Series: SpringerBriefs in Statistics,
• Subjects: Statistics.; Statistical Theory and Methods.; Statistics for Business/Economics/Mathematical Finance/Insurance.; Statistics for Engineering, Physics, Computer Science, Chemistry and Earth Sciences.

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 shou...