High Frequency Financial Econometrics
DOWNLOAD
Download High Frequency Financial Econometrics PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get High Frequency Financial Econometrics book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages. If the content not found or just blank you must refresh this page
High Frequency Financial Econometrics
DOWNLOAD
Author : Yacine Aït-Sahalia
language : en
Publisher: Princeton University Press
Release Date : 2014-07-21
High Frequency Financial Econometrics written by Yacine Aït-Sahalia and has been published by Princeton University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-07-21 with Business & Economics categories.
A comprehensive introduction to the statistical and econometric methods for analyzing high-frequency financial data High-frequency trading is an algorithm-based computerized trading practice that allows firms to trade stocks in milliseconds. Over the last fifteen years, the use of statistical and econometric methods for analyzing high-frequency financial data has grown exponentially. This growth has been driven by the increasing availability of such data, the technological advancements that make high-frequency trading strategies possible, and the need of practitioners to analyze these data. This comprehensive book introduces readers to these emerging methods and tools of analysis. Yacine Aït-Sahalia and Jean Jacod cover the mathematical foundations of stochastic processes, describe the primary characteristics of high-frequency financial data, and present the asymptotic concepts that their analysis relies on. Aït-Sahalia and Jacod also deal with estimation of the volatility portion of the model, including methods that are robust to market microstructure noise, and address estimation and testing questions involving the jump part of the model. As they demonstrate, the practical importance and relevance of jumps in financial data are universally recognized, but only recently have econometric methods become available to rigorously analyze jump processes. Aït-Sahalia and Jacod approach high-frequency econometrics with a distinct focus on the financial side of matters while maintaining technical rigor, which makes this book invaluable to researchers and practitioners alike.
Econometrics Of Financial High Frequency Data
DOWNLOAD
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.
Econometric Forecasting And High Frequency Data Analysis
DOWNLOAD
Author : Yiu-kuen Tse
language : en
Publisher: World Scientific
Release Date : 2008-03-04
Econometric Forecasting And High Frequency Data Analysis written by Yiu-kuen Tse and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-03-04 with Business & Economics categories.
This important book consists of surveys of high-frequency financial data analysis and econometric forecasting, written by pioneers in these areas including Nobel laureate Lawrence Klein. Some of the chapters were presented as tutorials to an audience in the Econometric Forecasting and High-Frequency Data Analysis Workshop at the Institute for Mathematical Science, National University of Singapore in May 2006. They will be of interest to researchers working in macroeconometrics as well as financial econometrics. Moreover, readers will find these chapters useful as a guide to the literature as well as suggestions for future research.
An Introduction To High Frequency Finance
DOWNLOAD
Author : Ramazan Gençay
language : en
Publisher: Elsevier
Release Date : 2001-05-29
An Introduction To High Frequency Finance written by Ramazan Gençay and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001-05-29 with Business & Economics categories.
Liquid markets generate hundreds or thousands of ticks (the minimum change in price a security can have, either up or down) every business day. Data vendors such as Reuters transmit more than 275,000 prices per day for foreign exchange spot rates alone. Thus, high-frequency data can be a fundamental object of study, as traders make decisions by observing high-frequency or tick-by-tick data. Yet most studies published in financial literature deal with low frequency, regularly spaced data. For a variety of reasons, high-frequency data are becoming a way for understanding market microstructure. This book discusses the best mathematical models and tools for dealing with such vast amounts of data.This book provides a framework for the analysis, modeling, and inference of high frequency financial time series. With particular emphasis on foreign exchange markets, as well as currency, interest rate, and bond futures markets, this unified view of high frequency time series methods investigates the price formation process and concludes by reviewing techniques for constructing systematic trading models for financial assets.
High Frequency Financial Econometrics
DOWNLOAD
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.
In this paper, we propose a new econometric approach to jointly model the time series dynamics of the trading process and the revisions of ask and bid prices. We use this model to test the validity of certain symmetry assumptions very common among microstructure models. Namely, we test whether ask and bid quotes respond symmetrically to trade-related shocks, and whether buyer-initiated trades and seller-initiated trades are equally informative. In essence, the procedure we propose generalizes Hasbrouck’s (1991) vector autoregressive model for signed trades and changes in the quote midpoint by relaxing the implicit symmetry assumptions in his model. The properties of the empirical model are derived from a structural dynamic model for ask and bid prices. In this model, ask and bid prices share a common lung-run component, the efficient price. The long-term value of the stock varies due to buyer-initiated shocks, seller-initiated shocks, and trade-unrelated shocks. The transitory components of ask and bid prices are characterized by two correlated and trade-dependent stochastic processes, whose dynamics are allowed to differ. The trading process is endogenous. Buyer and seller-initiated trades are generated by two idiosyncratic but mutually dependent stochastic processes. The generating processes of quotes and trades both depend on several exogenous variables that feature the trades and the market conditions.
Handbook Of Modeling High Frequency Data In Finance
DOWNLOAD
Author : Frederi G. Viens
language : en
Publisher: John Wiley & Sons
Release Date : 2011-11-16
Handbook Of Modeling High Frequency Data In Finance written by Frederi G. Viens 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 2011-11-16 with Business & Economics categories.
CUTTING-EDGE DEVELOPMENTS IN HIGH-FREQUENCY FINANCIAL ECONOMETRICS In recent years, the availability of high-frequency data and advances in computing have allowed financial practitioners to design systems that can handle and analyze this information. Handbook of Modeling High-Frequency Data in Finance addresses the many theoretical and practical questions raised by the nature and intrinsic properties of this data. A one-stop compilation of empirical and analytical research, this handbook explores data sampled with high-frequency finance in financial engineering, statistics, and the modern financial business arena. Every chapter uses real-world examples to present new, original, and relevant topics that relate to newly evolving discoveries in high-frequency finance, such as: Designing new methodology to discover elasticity and plasticity of price evolution Constructing microstructure simulation models Calculation of option prices in the presence of jumps and transaction costs Using boosting for financial analysis and trading The handbook motivates practitioners to apply high-frequency finance to real-world situations by including exclusive topics such as risk measurement and management, UHF data, microstructure, dynamic multi-period optimization, mortgage data models, hybrid Monte Carlo, retirement, trading systems and forecasting, pricing, and boosting. The diverse topics and viewpoints presented in each chapter ensure that readers are supplied with a wide treatment of practical methods. Handbook of Modeling High-Frequency Data in Finance is an essential reference for academics and practitioners in finance, business, and econometrics who work with high-frequency data in their everyday work. It also serves as a supplement for risk management and high-frequency finance courses at the upper-undergraduate and graduate levels.
High Frequency Trading And Limit Order Book Dynamics
DOWNLOAD
Author : Ingmar Nolte
language : en
Publisher: Routledge
Release Date : 2016-04-14
High Frequency Trading And Limit Order Book Dynamics written by Ingmar Nolte and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-04-14 with Business & Economics categories.
This book brings together the latest research in the areas of market microstructure and high-frequency finance along with new econometric methods to address critical practical issues in these areas of research. Thirteen chapters, each of which makes a valuable and significant contribution to the existing literature have been brought together, spanning a wide range of topics including information asymmetry and the information content in limit order books, high-frequency return distribution models, multivariate volatility forecasting, analysis of individual trading behaviour, the analysis of liquidity, price discovery across markets, market microstructure models and the information content of order flow. These issues are central both to the rapidly expanding practice of high frequency trading in financial markets and to the further development of the academic literature in this area. The volume will therefore be of immediate interest to practitioners and academics. This book was originally published as a special issue of European Journal of Finance.
Recent Advances In Theory And Methods For The Analysis Of High Dimensional And High Frequency Financial Data
DOWNLOAD
Author : Norman R. Swanson
language : en
Publisher: MDPI
Release Date : 2021-08-31
Recent Advances In Theory And Methods For The Analysis Of High Dimensional And High Frequency Financial Data written by Norman R. Swanson and has been published by MDPI this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-08-31 with Business & Economics categories.
Recently, considerable attention has been placed on the development and application of tools useful for the analysis of the high-dimensional and/or high-frequency datasets that now dominate the landscape. The purpose of this Special Issue is to collect both methodological and empirical papers that develop and utilize state-of-the-art econometric techniques for the analysis of such data.
Handbook Of Financial Time Series
DOWNLOAD
Author : Torben Gustav Andersen
language : en
Publisher: Springer Science & Business Media
Release Date : 2009-04-21
Handbook Of Financial Time Series written by Torben Gustav Andersen 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 2009-04-21 with Business & Economics categories.
The Handbook of Financial Time Series gives an up-to-date overview of the field and covers all relevant topics both from a statistical and an econometrical point of view. There are many fine contributions, and a preamble by Nobel Prize winner Robert F. Engle.