Handbook of Modeling High-Frequency Data in Finance /

Handbook of Modeling High-Frequency Data in Finance /

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 ada...

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Bibliographic Details
Corporate Author: Wiley InterScience (Online service)
Other Authors: Viens, Frederi G., Mariani, Maria C., Florescu, Ionut
Format: eBook
Language:English
Published: Hoboken, NJ : Wiley, 2012.
Subjects:
Finance > Econometric models.
Electronic books.
Online Access:Full Text via HEAL-Link
Table of Contents:
  • 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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