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Handbook of modeling high-frequency data in finance

Frederi G Viens 1969-; Maria C Mariani; Ionut Florescu 1973-

Hoboken, NJ Wiley c2012

Localização: FEA - Fac. Econ. Adm. Contab. e Atuária    (332.015195 H236a ) e outros locais(Acessar)

  • Título:
    Handbook of modeling high-frequency data in finance
  • Autor: Frederi G Viens 1969-; Maria C Mariani; Ionut Florescu 1973-
  • Assuntos: Finance -- Econometric models; BUSINESS et ECONOMICS -- Finance -- bisacsh; Finance -- Econometric models; Finanzmathematik; Mathematisches Modell; ECONOMETRIA; ESTATÍSTICA APLICADA; FINANÇAS (MODELOS MATEMÁTICOS); Aufsatzsammlung
  • Notas: Includes bibliographical references and index
  • Descrição: pt. 1 Analysis of empirical data -- 1 Estimation of NIG and VG models for high frequency financial data / Jose E. Figueroa-Lopez [and others] -- 2 A study of persistence of price movement using high frequency financial data / Dragos Bozdog [and others] -- 3 Using boosting for financial analysis and trading / German Creamer -- 4 Impact of correlation fluctuations on securitized structures / Eric Hillebrand, Ambar N. Sengupta, and Junyue Xu -- 5 Construction of volatility indices using a multinomial tree approximation method / Dragos Bozdog [and others] -- pt. 2 Long range dependence models -- 6 Long correlations applied to the study of memory effects in high frequency (TICK) data, the Dow Jones index, and international indices / Ernest Barany and Maria Pia Beccar Varela -- 7 Risk forecasting with GARCH, skewed t distributions, and multiple timescales / Alec N. Kercheval and Yang Liu -- 8 Parameter estimation and calibration for long-memory stochastic volatility models / Alexandra Chronopoulou -- pt. 3 Analytical results -- 9 A market microstructure model of ultra high frequency trading / Carlos A. Ulibarri and Peter C. Anselmo.
    10 Multivariate volatility estimation with high frequency data using fourier method / Maria Elvira Mancino and Simona Sanfelici -- 11 The retirement problem /Cristian Pasarica -- 12 Stochastic differential equations and Levy models with applications to high frequency data / Ernest Barany and Maria Pia Beccar Varela -- 13 Solutions to integro-differential parabolic problem arising on financial mathematics / Maria C. Mariani, Marc Salas and Indranil Sengupta -- 14 Existence of solutions for financial models with transaction costs and stochastic / Maria C. Mariani, Emmanuel K. Ncheuguim and Indranil SenGupta
    "This exciting volume presents cutting-edge developments in high frequency financial econometrics, spanning a diverse range of topics: stochastic modeling, statistical analysis of high-frequency data, models in econophysics, applications to the analysis of high-frequency data, systems and complex adaptive systems in finance, among a host of others. Written, in part, on the outgrowth of several recent conferences in the subject matter and in concert with over two-dozen experts in the field, the main purpose of the handbook is to mathematically illustrate the fundamental implementation of high-frequency models in the banking and financial industries, both at home and abroad, through use of real-world, time-sensitive applications. By using examples derived from consulting projects, current research and course instruction, each chapter in the book offers a systematic understanding of the recent advances in high-frequency modeling related to real-world situations. Every effort is made to present a balanced treatment between theory and practice, as well as to showcase how accuracy and efficiency in implementing various methods can be used as indispensable tools. To by-pass tedious computation, software illustrations are presented in an assortment of packages, ranging from R, C++, EXCEL-VBA, Minitab, to JMP/SAS. Shedding light on some of the most relevant open questions in the analysis of high-frequency data, this volume will be of interest to graduate students, researchers and industry professionals"--
  • Títulos relacionados: Série:Wiley handbooks in financial engineering and econometrics
  • Editor: Hoboken, NJ Wiley
  • Data de criação/publicação: c2012
  • Formato: xiv, 441 pages illustrations 25 cm.
  • Idioma: Inglês
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  • Realização: ABCD-USP USP   Logos de Redes Sociais: Freepik

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