Buch, Englisch, 312 Seiten, Format (B × H): 155 mm x 235 mm, Gewicht: 1380 g
Recent Developments
Buch, Englisch, 312 Seiten, Format (B × H): 155 mm x 235 mm, Gewicht: 1380 g
Reihe: Studies in Empirical Economics
ISBN: 978-3-7908-1991-5
Verlag: Physica
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.
Zielgruppe
Research
Autoren/Hrsg.
Fachgebiete
- Wirtschaftswissenschaften Betriebswirtschaft Wirtschaftsmathematik und -statistik
- Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Geldwirtschaft, Währungspolitik
- Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen Angewandte Mathematik, Mathematische Modelle
- Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Ökonometrie
Weitere Infos & Material
Editor's introduction: recent developments in high frequency financial econometrics.- Exchange rate volatility and the mixture of distribution hypothesis.- A multivariate integer count hurdle model: theory and application to exchange rate dynamics.- Asymmetries in bid and ask responses to innovations in the trading process.- Liquidity supply and adverse selection in a pure limit order book market.- How large is liquidity risk in an automated auction market?.- Order aggressiveness and order book dynamics.- Modelling financial transaction price movements: a dynamic integer count data model.- The performance analysis of chart patterns: Monte Carlo simulation and evidence from the euro/dollar foreign exchange market.- Semiparametric estimation for financial durations.- Intraday stock prices, volume, and duration: a nonparametric conditional density analysis.- Macroeconomic surprises and short-term behaviour in bond futures.- Dynamic modelling of large-dimensional covariance matrices.
