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High-Frequency Financial Econometrics /
"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 dr...
| Clasificación: | Libro Electrónico |
|---|---|
| Autores principales: | , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Princeton :
Princeton University Press,
2014.
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| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- From diffusions to semimartingales
- Data considerations
- Introduction to asymptotic theory: volatility estimation for a continuous process
- With jumps: an introduction to power variations
- High-frequency observations: identifiability and asymptotic efficiency
- Estimating integrated volatility: the base case with no noise and equidistant observations
- Volatility and microstructure noise
- Estimating spot volatility
- Volatility and irregularly spaced observations
- Testing for jumps
- Finer analysis of jumps: the degree of jump activity
- Finite or infinite activity for jumps?
- Is Brownian motion really necessary?
- Co-jumps
- A: Asymptotic results for power variations
- B: Miscellaneous proofs.