Flitshandel
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Flitshandel
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Author : Michael Lewis
language : nl
Publisher: Overamstel Uitgevers
Release Date : 2014-09-15
Flitshandel written by Michael Lewis and has been published by Overamstel Uitgevers this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-09-15 with Business & Economics categories.
Flitshandel viel als een bom in de financiële wereld. Binnen een mum van tijd stond de FBI op Wall Street en riep senator John McCain om een onderzoek door het Amerikaanse Congres. Wat maakt Flitshandel zo explosief? Het gaat over supercomputers, geprogrammeerd door de allerslimste en geniaalste nerds, die hierdoor een nanoseconde sneller zijn dan andere computers en zo tientallen miljarden extra verdienen voor hun bazen op de beurs. Is het strafbaar? Is het handelen met voorkennis? En wie is de dupe? Bestsellerauteur Michael Lewis schreef met Flitshandel een waargebeurde thriller van wereldformaat. MICHAEL LEWIS is de grootste nonfictie auteur van Amerika en heeft diverse internationale best sellers op zijn naam staan, waaronder: The Big Short, Moneyball en Liar's Poker. 'Een groot voorbeeld' Jeroen Smit 'Een bom in de financiële wereld. (...) Een topjournalist.' - Matthijs van Nieuwkerk 'Verrukkelijke non-fi ctie. Als lezer krijg je soms het idee dat je een thriller van John le Carré leest, in plaats van een boek over algoritmen, dark pools en rebate arbitrage. (...) Lewis kan als geen ander laten zien hoe de fi nanciële markten van gezicht zijn veranderd.' - De Groene Amsterdammer 'Met een oerknal staat ook zijn nieuwste werk op de kaart.' - Het Financieele Dagblad 'Dit is wat ik wil. (...) Een groot voorbeeld.' - Jeroen Smit 'Niet veel schrijvers weten een hoorzitting in de senaat te veroorzaken met hun boek. Michael Lewis wel. Zijn explosieve Flash Boys, over de corrupte beurshandel, veroorzaakte dit voorjaar veel opschudding. ' - NRC Q 'Flash Boys leest als een spannend jongensboek: met een antiheld, een geheime samenzwering en mysterieuze dark pools. Het is ook nog eens op echte gebeurtenissen gebaseerd. (...) Nog altijd is een enkel ouderwets, spannend geschreven boek in staat de hightechaandelenhandel flink op zijn kop te zetten. (...) Het beschrijft op pakkende wijze het fenomeen fl itshandel.' - Het Financieele Dagblad In de zomer van 2009 was de lijn een eigen leven gaan leiden. Tweeduizend mannen groeven en boorden de merkwaardige behuizing die de lijn nodig had om te overleven. 205 ploegen van acht man elk, plus allerlei adviseurs en inspecteurs, stonden dagelijks voor dag en dauw op om te bedenken welke explosieven ze nodig hadden om een gat te maken in een onschuldige berg, hoe ze een tunnel konden aanleggen onder een rivierbedding, of hoe ze een geul moesten graven naast een landweg zonder berm. Dat deden ze zonder een alleszins voor de hand liggende vraag te beantwoorden: waarom? De lijn was een buis van hard plastic met een dikte van nog geen vier centimeter en was ontworpen om vierhonderd flinterdunne strengen glas te beschermen. Toch kreeg je het gevoel dat het een levend wezen was, een onderaards reptiel met specifi eke behoeften en verlangens. De geul waarin de lijn zou komen te liggen moest kaarsrecht zijn. Er was misschien nog nooit een pad zo compromisloos door de aarde gegraven. De lijn moest een datacentrum in het zuiden van Chicago verbinden met een aandelenbeurs in het noorden van de staat New Jersey. Het was van cruciaal belang dat de hele onderneming geheim zou blijven.
Handbook Of High Frequency Trading And Modeling In Finance
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Author : Ionut Florescu
language : en
Publisher: John Wiley & Sons
Release Date : 2016-04-05
Handbook Of High Frequency Trading And Modeling In Finance written by Ionut Florescu and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-04-05 with Business & Economics categories.
Reflecting the fast pace and ever-evolving nature of the financial industry, the Handbook of High-Frequency Trading and Modeling in Finance details how high-frequency analysis presents new systematic approaches to implementing quantitative activities with high-frequency financial data. Introducing new and established mathematical foundations necessary to analyze realistic market models and scenarios, the handbook begins with a presentation of the dynamics and complexity of futures and derivatives markets as well as a portfolio optimization problem using quantum computers. Subsequently, the handbook addresses estimating complex model parameters using high-frequency data. Finally, the handbook focuses on the links between models used in financial markets and models used in other research areas such as geophysics, fossil records, and earthquake studies. The Handbook of High-Frequency Trading and Modeling in Finance also features: • Contributions by well-known experts within the academic, industrial, and regulatory fields • A well-structured outline on the various data analysis methodologies used to identify new trading opportunities • Newly emerging quantitative tools that address growing concerns relating to high-frequency data such as stochastic volatility and volatility tracking; stochastic jump processes for limit-order books and broader market indicators; and options markets • Practical applications using real-world data to help readers better understand the presented material The Handbook of High-Frequency Trading and Modeling in Finance is an excellent reference for professionals in the fields of business, applied statistics, econometrics, and financial engineering. The handbook is also a good supplement for graduate and MBA-level courses on quantitative finance, volatility, and financial econometrics. Ionut Florescu, PhD, is Research Associate Professor in Financial Engineering and Director of the Hanlon Financial Systems Laboratory at Stevens Institute of Technology. His research interests include stochastic volatility, stochastic partial differential equations, Monte Carlo Methods, and numerical methods for stochastic processes. Dr. Florescu is the author of Probability and Stochastic Processes, the coauthor of Handbook of Probability, and the coeditor of Handbook of Modeling High-Frequency Data in Finance, all published by Wiley. Maria C. Mariani, PhD, is Shigeko K. Chan Distinguished Professor in Mathematical Sciences and Chair of the Department of Mathematical Sciences at The University of Texas at El Paso. Her research interests include mathematical finance, applied mathematics, geophysics, nonlinear and stochastic partial differential equations and numerical methods. Dr. Mariani is the coeditor of Handbook of Modeling High-Frequency Data in Finance, also published by Wiley. H. Eugene Stanley, PhD, is William Fairfield Warren Distinguished Professor at Boston University. Stanley is one of the key founders of the new interdisciplinary field of econophysics, and has an ISI Hirsch index H=128 based on more than 1200 papers. In 2004 he was elected to the National Academy of Sciences. Frederi G. Viens, PhD, is Professor of Statistics and Mathematics and Director of the Computational Finance Program at Purdue University. He holds more than two dozen local, regional, and national awards and he travels extensively on a world-wide basis to deliver lectures on his research interests, which range from quantitative finance to climate science and agricultural economics. A Fellow of the Institute of Mathematics Statistics, Dr. Viens is the coeditor of Handbook of Modeling High-Frequency Data in Finance, also published by Wiley.
An Empirical Analysis Of Order Dynamics In A High Frequency Trading Environment
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Author : Arne Breuer
language : en
Publisher:
Release Date : 2013
An Empirical Analysis Of Order Dynamics In A High Frequency Trading Environment written by Arne Breuer and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
Flash Crash A Trading Savant A Global Manhunt And The Most Mysterious Market Crash In History
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Author : Liam Vaughan
language : en
Publisher: HarperCollins UK
Release Date : 2020-05-14
Flash Crash A Trading Savant A Global Manhunt And The Most Mysterious Market Crash In History written by Liam Vaughan and has been published by HarperCollins UK this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-05-14 with Biography & Autobiography categories.
’Not just a readable, pacey account of an extraordinary individual and his quixotic quest ... but also a troubling exposé of the fragility of our entire financial system ... I loved it’ Oliver Bullough, author of Moneyland
The Econometrics Of Sequential Trade Models
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Author : Stefan Kokot
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-08-27
The Econometrics Of Sequential Trade Models written by Stefan Kokot and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-08-27 with Business & Economics categories.
The present study has been accepted as a doctoral thesis by the Depart ment of Economics of the Johann Wolfgang Goethe-University in Frankfurt am Main. It grew out from my five year long participation in two research projects, "Econometric analysis of transaction intensity and volatility on fi nancial markets", and "Microstructure on financial markets", that were both conducted by the chair of Statistics and Econometrics (Empirical Economic Research) at the Department of Economics and Business Administration, Jo hann Wolfgang Goethe-University in Frankfurt am Main and financed by the state of Hessen. During this time I have benefitted from many people. First and foremost I would like to thank my thesis supervisor, Prof. Dr. Reinhard Hujer, for initiating and supporting my studies with great encouragement. I am also very grateful to Prof. Dr. Christian Schlag for acting as the second thesis supervisor. Furthermore, I wish to thank Prof. Dr. Joachim Grammig who introduced me to the topics covered in this study in the first place and helped me to sharpen my views on econometrics and financial market microstructure theory through many discussions and also through his willingness to work with me on several related studies.
High Frequency Financial Econometrics
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Author : Luc Bauwens
language : en
Publisher: Springer Science & Business Media
Release Date : 2007-12-31
High Frequency Financial Econometrics written by Luc Bauwens and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-12-31 with Business & Economics categories.
Shedding light on some of the most pressing open questions in the analysis of high frequency data, this volume presents cutting-edge developments in high frequency financial econometrics. Coverage spans a diverse range of topics, including market microstructure, tick-by-tick data, bond and foreign exchange markets, and large dimensional volatility modeling. The volume is of interest to graduate students, researchers, and industry professionals.
Econometrics Of Financial High Frequency Data
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Author : Nikolaus Hautsch
language : en
Publisher: Springer Science & Business Media
Release Date : 2011-10-12
Econometrics Of Financial High Frequency Data written by Nikolaus Hautsch and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-10-12 with Business & Economics categories.
The availability of financial data recorded on high-frequency level has inspired a research area which over the last decade emerged to a major area in econometrics and statistics. The growing popularity of high-frequency econometrics is driven by technological progress in trading systems and an increasing importance of intraday trading, liquidity risk, optimal order placement as well as high-frequency volatility. This book provides a state-of-the art overview on the major approaches in high-frequency econometrics, including univariate and multivariate autoregressive conditional mean approaches for different types of high-frequency variables, intensity-based approaches for financial point processes and dynamic factor models. It discusses implementation details, provides insights into properties of high-frequency data as well as institutional settings and presents applications to volatility and liquidity estimation, order book modelling and market microstructure analysis.
Fourier Malliavin Volatility Estimation
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Author : Maria Elvira Mancino
language : en
Publisher: Springer
Release Date : 2017-03-01
Fourier Malliavin Volatility Estimation written by Maria Elvira Mancino and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-03-01 with Mathematics categories.
This volume is a user-friendly presentation of the main theoretical properties of the Fourier-Malliavin volatility estimation, allowing the readers to experience the potential of the approach and its application in various financial settings. Readers are given examples and instruments to implement this methodology in various financial settings and applications of real-life data. A detailed bibliographic reference is included to permit an in-depth study.
Separating Information Maximum Likelihood Method For High Frequency Financial Data
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Author : Naoto Kunitomo
language : en
Publisher: Springer
Release Date : 2018-06-14
Separating Information Maximum Likelihood Method For High Frequency Financial Data written by Naoto Kunitomo and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-06-14 with Mathematics categories.
This book presents a systematic explanation of the SIML (Separating Information Maximum Likelihood) method, a new approach to financial econometrics. Considerable interest has been given to the estimation problem of integrated volatility and covariance by using high-frequency financial data. Although several new statistical estimation procedures have been proposed, each method has some desirable properties along with some shortcomings that call for improvement. For estimating integrated volatility, covariance, and the related statistics by using high-frequency financial data, the SIML method has been developed by Kunitomo and Sato to deal with possible micro-market noises. The authors show that the SIML estimator has reasonable finite sample properties as well as asymptotic properties in the standard cases. It is also shown that the SIML estimator has robust properties in the sense that it is consistent and asymptotically normal in the stable convergence sense when there are micro-market noises, micro-market (non-linear) adjustments, and round-off errors with the underlying (continuous time) stochastic process. Simulation results are reported in a systematic way as are some applications of the SIML method to the Nikkei-225 index, derived from the major stock index in Japan and the Japanese financial sector.
The Problem Of Hft
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Author : Haim Bodek
language : en
Publisher: Createspace Independent Publishing Platform
Release Date : 2013
The Problem Of Hft written by Haim Bodek and has been published by Createspace Independent Publishing Platform this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with Business enterprises categories.
This book explores the problem of high frequency trading (HFT) as well as the need for US stock market reform. This collection of previously published and unpublished materials includes the following articles and white papers: The Problem of HFT HFT Scalping Strategies Why HFTs Have an Advantage Electronic Liquidity Strategy HFT - A Systemic Issue Reforming the National Market System NZZ Interview with Haim Bodek TradeTech Interview with Haim Bodek "Modern HFT wasn't a paradigm shift because its innovations brought new efficiencies into the marketplace. HFT was a paradigm shift because its innovations proved that anti-competitive barriers to entry could be erected in the market structure itself to preference one class of market participant above all others"