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...
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| Autori principali: | , |
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| Natura: | Livre numérique |
| Lingua: | Anglais |
| Pubblicazione: |
Princeton :
Princeton University Press
2014.
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| Soggetti: | |
| Accesso online: | Accès Université Orléans et IFPM |
| Nota: |
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 |
Sommario:
- 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