High-frequency financial econometrics
Yacine Ait-Sahalia
Bok · Engelsk · 2014
| Medvirkende | |
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| Utgitt | Princeton, N.J. : Princeton University Press , cop. 2014
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| Omfang | XXIV, 659 s. : ill.
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| Opplysninger | "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 t- - ools of analysis.Yacine Ait-Sahalia and Jean Jacod cover the mathematical foundations of stochastic processes, describe the primary characteristics of high-frequency financial data, and present the asympto- ti- c concepts that their analysis relies on. Ait-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 e- stimation 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.Ait-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 a- nd pr- actitioners alike"--
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| Emner | BUSINESS & ECONOMICS / Econometrics
BUSINESS & ECONOMICS / Economics / Theory BUSINESS & ECONOMICS / Finance Econometrics Vis mer... Finance - Econometric models
Algoritmer Finansvirksomhet finans finansøkonomi teori statistikk økonometri |
| Dewey | |
| ISBN | 978-0-691-16143-3
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