{"product_id":"key-to-understanding-financial-market-risk-von-baosheng-yuan","title":"Key to Understanding Financial Market Risk","description":"\u003cp\u003eThis thesis studies three most important and  difficult problems in financial risk:  1). Scaling, clustering and dynamics of volatility of  financial asset returns; 2). Statistical and  dynamical properties of the market; and 3).  Driven force underlying the market volatility.    The Value at Risk (VaR) measure currently used in  financial industry is far from a reliable tool due  to its lack of volatility clustering measure.  This thesis presents a solution to this problem.    Next, the dynamics of the market is studied from  the perspective of interacting and competing agents  with self-segregation or herding behaviors. This  model shows that investor''s winning strategy depends  on the market dynamics: active when market is highly  volatile and clustered and inactive otherwise.    Last, a heterogeneous agent-based model is  developed to investigate the impact of investor''s  sentiments on asset price dynamics. The simulation  results show that investor''s dynamical risk aversion  is the primary driven force that gives rise to the  excess and clustered volatility.     All these results are the keys to understanding,  quantifying and managing financial risk.\u003c\/p\u003e\u003cdiv class=\"aw-variant-hidden-subtitle-div\" id=\"aw-variant-subtitle-9783838359045\"\u003e\u003ch3\u003eScaling, clustering and dynamics of volatility in finacial time series\u003c\/h3\u003e\u003c\/div\u003e","brand":"Autorenwelt Shop","offers":[{"title":"Softcover - 9783838359045","offer_id":39498896310365,"sku":"9783838359045","price":79.0,"currency_code":"EUR","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0940\/0622\/files\/89c24184-2cda-4544-adbb-0a7e6b594389.jpg?v=1765346508","url":"https:\/\/shop.autorenwelt.de\/products\/key-to-understanding-financial-market-risk-von-baosheng-yuan","provider":"Autorenwelt Shop","version":"1.0","type":"link"}