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111213s2011 njua ob 001 0 eng d |
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|b eng
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|a 9781118204580
|q (electronic bk.)
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|a 1118204581
|q (electronic bk.)
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|b 000051955939
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|b BV041167602
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|a (OCoLC)768204539
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|a 10.1002/9781118204580
|b Wiley InterScience
|n http://www3.interscience.wiley.com
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|a HG106
|b .H36 2012
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|a 332.01/5195
|2 23
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|a MAIN
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|a Handbook of Modeling High-Frequency Data in Finance /
|c edited by Frederi G. Viens, Maria C. Mariani, Ionut Florescu.
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|a Hoboken, NJ :
|b Wiley,
|c 2012.
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|a 1 online resource (xiv, 441 pages) :
|b illustrations
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|a text
|b txt
|2 rdacontent
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|a computer
|b c
|2 rdamedia
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|a online resource
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|a Frontmatter -- Analysis of Empirical Data. Estimation of NIG and VG Models for High Frequency Financial Data / Još E Figueroa-L̤pez, Steven R Lancette, Kiseop Lee, Yanhui Mi -- A Study of Persistence of Price Movement Using High Frequency Financial Data / Dragos Bozdog, Ionut Florescu, Khaldoun Khashanah, Jim Wang -- Using Boosting for Financial Analysis and Trading / Germ̀n Creamer -- Impact of Correlation Fluctuations on Securitized Structures / Eric Hillebrand, Ambar N Sengupta, Junyue Xu -- Construction of Volatility Indices Using a Multinomial Tree Approximation Method / Dragos Bozdog, Ionut Florescu, Khaldoun Khashanah, Hongwei Qiu -- Long Range Dependence Models. Long Correlations Applied to the Study of Memory Effects in High Frequency (TICK) Data, the Dow Jones Index, and International Indices / Ernest Barany, Maria Pia Beccar Varela -- Risk Forecasting with GARCH, Skewed Distributions, and Multiple Timescales / Alec N Kercheval, Yang Liu -- Parameter Estimation and Calibration for Long-Memory Stochastic Volatility Models / Alexandra Chronopoulou -- Analytical Results. A Market Microstructure Model of Ultra High Frequency Trading / Carlos A Ulibarri, Peter C Anselmo -- Multivariate Volatility Estimation with High Frequency Data Using Fourier Method / Maria Elvira Mancino, Simona Sanfelici -- The ₃Retirement₄ Problem / Cristian Pasarica -- Stochastic Differential Equations and Levy Models with Applications to High Frequency Data / Ernest Barany, Maria Pia Beccar Varela -- Solutions to Integro-Differential Parabolic Problem Arising on Financial Mathematics / Maria C Mariani, Marc Salas, Indranil Sengupta -- Existence of Solutions for Financial Models with Transaction Costs and Stochastic Volatility / Maria C Mariani, Emmanuel K Ncheuguim, Indranil Sengupta -- Index.
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|a 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.
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|a Includes index.
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588 |
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|a Print version record.
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650 |
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|a Finance
|x Econometric models.
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650 |
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7 |
|a Finance
|x Econometric models.
|2 fast
|0 (OCoLC)fst00924377
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655 |
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|a Electronic books.
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700 |
1 |
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|a Viens, Frederi G.
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700 |
1 |
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|a Mariani, Maria C.
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700 |
1 |
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|a Florescu, Ionut.
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710 |
2 |
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|a Wiley InterScience (Online service)
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776 |
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8 |
|i Print version:
|t Handbook of Modeling High-Frequency Data in Finance.
|d Wiley 2011
|z 9780470876886
|w (OCoLC)724644259
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856 |
4 |
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|u https://doi.org/10.1002/9781118204580
|z Full Text via HEAL-Link
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|a 92
|b DG1
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