High-frequency financial econometrics
La 4e de couv. indique : "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...
Enregistré dans:
| Auteurs principaux: | , |
|---|---|
| Format: | Livre numérique |
| Sprog: | Anglais |
| Udgivet: |
Princeton :
Princeton University Press
2014.
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| Fag: | |
| Online adgang: | Accès Université Orléans et IFPM |
| Kommentar: |
Titre provenant de la page de titre du document numérique La pagination de l'édition imprimée correspondante est de 683 p. Cyberlibris (ScholarVox) corpus sciences économiques et gestion |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • High-frequency financial econometrics, Yacine Aït-Sahalia, Jean Jacod, Princeton, Princeton University Press, 2014, 1 vol. (XXIV-659 p.), 978-0-691-16143-3 |
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| 020 | |a 9781400850327 | ||
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| 082 | |a 332.01/5195 | ||
| 084 | |a 91-02. 2020 | ||
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| 100 | 1 | |a Aït-Sahalia, Yacine. | |
| 245 | 1 | 0 | |a High-frequency financial econometrics |c Yacine Aït-Sahalia, Jean Jacod. |
| 256 | |a Données textuelles | ||
| 260 | |a Princeton : |b Princeton University Press, |c 2014. | ||
| 500 | |a Titre provenant de la page de titre du document numérique | ||
| 500 | |a La pagination de l'édition imprimée correspondante est de 683 p. | ||
| 500 | |a Cyberlibris (ScholarVox) corpus sciences économiques et gestion | ||
| 505 | 0 | |a PART I. PRELIMINARY MATERIAL -- 1. From diffusions to semimartingales -- 2. Data considerations -- PART II. ASYMPTOTIC CONCEPTS -- 3. Introduction to asymptotic concepts -- 4. With jumps : an introduction to power variations -- 5. High-frequency observations : identifiability and asymptotic efficiency -- PART III. VOLATILITY -- 6. Estimating integrated volatility : the base case with no noise and equidistant observations -- 7. Volatility and microstructure noise -- 8. Estimating spot volatility -- 9. Volatility and irregularly spaced observations -- PART IV. JUMPS -- 10. Testing for jumps -- 11. Finer analysis of jumps : the degree of jump activity -- 12. Finite or infinite activity for jumps ? -- 13. Is brownian motion really necessary ? -- 14. Co-jumps -- Appendix A. Asymptotic results for power variations -- Appendix B. Miscellaneous proofs | |
| 506 | |a L'accès complet à la ressource est réservé aux usagers des établissements qui en ont fait l'acquisition | ||
| 520 | |a La 4e de couv. indique : "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" | ||
| 538 | |a Configuration requise : navigateur internet | ||
| 650 | |a Finances |x Modèles économétriques | ||
| 700 | 1 | |a Jacod, Jean, |d 1944- |4 aut | |
| 776 | 0 | |0 18092477X |t High-frequency financial econometrics |f Yacine Aït-Sahalia, Jean Jacod |c Princeton |n Princeton University Press |d 2014 |p 1 vol. (XXIV-659 p.) |z 978-0-691-16143-3 | |
| 856 | 4 | |5 452349901:728237431 |u https://ezproxy.univ-orleans.fr/login?url=https://univ.scholarvox.com/catalog/book/docid/88833466 |z Accès Université Orléans et IFPM | |
| 997 | |0 646535 |1 Livre numérique |a Ressource numérique |b INSA |b ENSA |c 0/Bibliothèque numérique/ |c 1/Bibliothèque numérique/ScholarVox (ebooks)/ | ||