Keynote presentation by Finance professor
Published 27 November 2006
Stephen Taylor, LUMS Professor of Finance, gave the keynote presentation at the Financial Econometrics workshop held at the London School of Economics on 24 November. The workshop is the first in a planned series to be hosted by LSE, Imperial College and Oxford University.
A large audience heard Stephen present the results in a paper co-authored with his colleague Mark Shackleton and their research student Peng Yu. Stephen explained several new methods for finding accurate probabilities for the future levels of stock market indices. The Lancaster team extracts market expectations from the prices of option contracts, more comprehensively than in previous research. Their methods are of interest to central bankers, who routinely attempt to infer market-implied probabilities. The paper has also been presented to the Bank of England and at academic meetings in England, Scotland, Germany, Denmark, Switzerland, Spain, China and Japan. The task of inferring probabilities from market prices is surveyed in the final chapter of Stephen’s recent book, on Asset Price Dynamics, Volatility and Prediction, published by Princeton University Press.
Download “A Multi-Horizon Comparison of Density Forecasts for the S&P 500 Using Index Returns and Option Prices” here.
Note: The final version of the paper was published in 2010 in the Journal of Banking and Finance, volume 34, pages 2678 to 2693.
