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High-frequency financial econometrics / Yacine Aït-Sahalia and Jean Jacod

By: Contributor(s): Resource type: Ressourcentyp: BuchBookLanguage: English Publisher: Princeton, New Jersey ; Oxford : Princeton Universtity Press, [2014]Description: xxiv, 659 Seiten : DiagrammeISBN:
  • 9780691161433
Subject(s): Additional physical formats: Erscheint auch als: High-Frequency Financial Econometrics. Online-Ausgabe Princeton : Princeton University Press, 2014. Online-Ressource (684 p) | Erscheint auch als: High-Frequency Financial Econometrics. Online-Ausgabe Princeton : Princeton University Press, 2014. 1 Online-Ressource (684 pages)DDC classification:
  • 332.01/5195 23
  • BUS021000 BUS027000 BUS069030
MSC: MSC: *91-02 | 60G48 | 91G70 | 62P05RVK: RVK: SK 820 | SK 850 | SK 980 | QH 330LOC classification:
  • HG106
Summary: 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 alikeCall number: Grundsignatur: 2018 A 219PPN: PPN: 772356637
Holdings
Item type Home library Shelving location Call number Status Notes Date due Barcode
Handbibliothek Fakultät für Mathematik Handbibliothek (Ausleihe und Einsicht nicht möglich) Fin./Vers. / Ait Checked out Ausleihe und Einsicht nicht möglich Standort: FBM-Handapparat 06 16.12.2041 36609996090
Handbibliothek Fakultät für Wirtschaftswissenschaften 2018 A 219 Checked out Ausleihe und Einsicht nicht möglich 17.01.2038 53116179090
Total holds: 0
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