The Econometrics Of Sequential Trade Models
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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.
The Econometrics Of Sequential Trade Models
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Author : Springer
language : en
Publisher:
Release Date : 2012-09-17
The Econometrics Of Sequential Trade Models written by Springer and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-09-17 with categories.
The Econometrics Of Sequential Trade Models
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Author : Stefan Kokot
language : en
Publisher: Springer Science & Business Media
Release Date : 2004-02-09
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 2004-02-09 with Business & Economics categories.
This clearly structured and well-written reference work examines the consequences of speculative trading based on private information about financial asset markets. It presents an extensive and thorough discussion of theoretical and empirical methods used in previous studies on sequential trade models. The text also introduces a new framework for estimation and hypothesis testing that substantially advances earlier work in the field. The results that are necessary for understanding the introduced empirical framework are derived step-by-step. The text is ideally suited as a reference work on old and new results as well as a textbook for graduate courses on market microstructure theory, empirical methods in finance or econometrics.
Complex Systems Approach To Economic Dynamics
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Author : Abraham C.-L. Chian
language : en
Publisher: Springer Science & Business Media
Release Date : 2007-07-13
Complex Systems Approach To Economic Dynamics written by Abraham C.-L. Chian 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 2007-07-13 with Business & Economics categories.
Economic Systems exhibit complex dynamics evidenced by large-amplitude and aperiodic fluctuations in economic variables, such as foreign exchange rates and stock market prices, indicating that these systems are driven far from the equilibrium. Characterization of the complex behavior of economic cycles, by identifying regular and irregular patterns and regime switching in economic time series, is the key for pattern recognition and forecasting of economic cycles. Statistical analysis of stock markets and foreign exchange markets has demonstrated the intermittent nature of economic time series. A nonlinear model of business cycles is able to simulate intermittency arising from order-chaos and chaos-chaos transitions. This monograph introduces new concepts of unstable periodic orbits and chaotic saddles which are unstable structures embedded in a chaotic attractor, responsible for economic intermittency.
Empirical Market Microstructure
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Author : Joel Hasbrouck
language : en
Publisher: Oxford University Press
Release Date : 2007-01-04
Empirical Market Microstructure written by Joel Hasbrouck and has been published by Oxford University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-01-04 with Business & Economics categories.
The interactions that occur in securities markets are among the fastest, most information intensive, and most highly strategic of all economic phenomena. This book is about the institutions that have evolved to handle our trading needs, the economic forces that guide our strategies, and statistical methods of using and interpreting the vast amount of information that these markets produce. The book includes numerous exercises.
Preferences In Negotiations
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Author : Henner Gimpel
language : en
Publisher: Springer Science & Business Media
Release Date : 2007-06-13
Preferences In Negotiations written by Henner Gimpel 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 2007-06-13 with Science categories.
The attachment effect can hinder effective negotiation. Parties are influenced by their subjective expectations formed on account of the exchange of offers, they form reference points, and loss aversion potentially leads to a change of preferences when expectations change. This book presents a motivation, formalization, and substantiation of the attachment effect. The results can be used for prescriptive advice to negotiators.
Strategic Supply Chain Management In Process Industries
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Author : Reinhard Hübner
language : en
Publisher: Springer Science & Business Media
Release Date : 2007-06-13
Strategic Supply Chain Management In Process Industries written by Reinhard Hübner 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 2007-06-13 with Business & Economics categories.
Practitioners in process industry have to increasingly adapt their global production networks to changes in the competitive environment. A majority of the supply network design models proposed by academia do not sufficiently capture the questions that have to be resolved. This book provides the necessary operations research decision support tools. It builds on an example of the specialty chemicals industry.
Applied Financial Economics Theory With Empirics
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Author : Chiu Yu Ko
language : en
Publisher: Chiu Yu Ko
Release Date :
Applied Financial Economics Theory With Empirics written by Chiu Yu Ko and has been published by Chiu Yu Ko this book supported file pdf, txt, epub, kindle and other format this book has been release on with Business & Economics categories.
We cover two main parts in this textbook: how to model price movement and trading process. Prices are studied under fundamental analysis (Chapter 1), technical analysis (Chapter 2), time series analysis (Chapter 3) and factor pricing model (Chapter 4). For application, we consider event study and difference-and-difference estimation to examine various maker anomalies (Chapter 5). For trading process, we first study how to characterize the outcome (Chapter 6). Then we study Roll model that shows how trading cost affects price movement (Chapter 7). Using inventory model, we show that the imbalance of buy and sell orders as a source of bid-ask spread (Chapter 8). By sequential trade model, we demonstrate how information asymmetry leads to bid ask spread and how trade impacts the price moving process as the market learns the underlying state of the world (Chapter 9). Then, we study how strategic behaviour of informed traders changes the trading outcomes in a strategic trade model (Chapter 11). Finally, we examine how behavioural model can be used to explain short-run momentum and long-run reversal of price (Chapter 12).
Financial Econometrics And Empirical Market Microstructure
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Author : Anil K. Bera
language : en
Publisher: Springer
Release Date : 2014-11-18
Financial Econometrics And Empirical Market Microstructure written by Anil K. Bera and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-11-18 with Business & Economics categories.
In the era of Big Data our society is given the unique opportunity to understand the inner dynamics and behavior of complex socio-economic systems. Advances in the availability of very large databases, in capabilities for massive data mining, as well as progress in complex systems theory, multi-agent simulation and computational social science open the possibility of modeling phenomena never before successfully achieved. This contributed volume from the Perm Winter School address the problems of the mechanisms and statistics of the socio-economics system evolution with a focus on financial markets powered by the high-frequency data analysis.
The New Palgrave Dictionary Of Economics
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Author :
language : en
Publisher: Springer
Release Date : 2016-05-18
The New Palgrave Dictionary Of Economics written by and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-05-18 with Law categories.
The award-winning The New Palgrave Dictionary of Economics, 2nd edition is now available as a dynamic online resource. Consisting of over 1,900 articles written by leading figures in the field including Nobel prize winners, this is the definitive scholarly reference work for a new generation of economists. Regularly updated! This product is a subscription based product.