Frederi G. Viens,Maria C. Mariani,Ionut Florescu's Handbook of Modeling High-Frequency Data in Finance (Wiley PDF

By Frederi G. Viens,Maria C. Mariani,Ionut Florescu

ISBN-10: 0470876883

ISBN-13: 9780470876886

CUTTING-EDGE advancements IN HIGH-FREQUENCY monetary ECONOMETRICS

In contemporary years, the supply of high-frequency information and advances in computing have allowed monetary practitioners to layout platforms which can deal with and research this knowledge. Handbook of Modeling High-Frequency facts in Finance addresses the various theoretical and useful questions raised through the character and intrinsic homes of this data.

A one-stop compilation of empirical and analytical examine, this guide explores info sampled with high-frequency finance in monetary engineering, facts, and the fashionable monetary company enviornment. each bankruptcy makes use of real-world examples to give new, unique, and suitable subject matters that relate to newly evolving discoveries in high-frequency finance, such as:

  • Designing new technique to find elasticity and plasticity of rate evolution

  • Constructing microstructure simulation models

  • Calculation of choice costs within the presence of jumps and transaction costs

  • Using boosting for monetary research and trading

The guide motivates practitioners to use high-frequency finance to real-world events by means of together with unique issues corresponding to threat dimension and administration, UHF info, microstructure, dynamic multi-period optimization, loan facts versions, hybrid Monte Carlo, retirement, buying and selling structures and forecasting, pricing, and boosting. the various issues and viewpoints awarded in each one bankruptcy make sure that readers are provided with a large therapy of useful methods.

Handbook of Modeling High-Frequency info in Finance is a necessary reference for teachers and practitioners in finance, enterprise, and econometrics who paintings with high-frequency information of their daily paintings. It additionally serves as a complement for possibility administration and high-frequency finance classes on the upper-undergraduate and graduate levels.

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Handbook of Modeling High-Frequency Data in Finance (Wiley Handbooks in Financial Engineering and Econometrics) by Frederi G. Viens,Maria C. Mariani,Ionut Florescu


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