MARC details
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04674cam a2200385 i 4500 |
| 003 - CONTROL NUMBER IDENTIFIER |
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| control field |
TR-AnTOB |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
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| control field |
20200626114228.0 |
| 006 - FIXED-LENGTH DATA ELEMENTS--ADDITIONAL MATERIAL CHARACTERISTICS |
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m o d |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION |
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cr cnu---aaaau |
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111213t20122012njua b 001 0 eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
9780470876886 (print) |
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| International Standard Book Number |
9781118204580 (electronic bk.) |
| 035 ## - SYSTEM CONTROL NUMBER |
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| System control number |
(OCoLC)768204539 |
| 040 ## - CATALOGING SOURCE |
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| Original cataloging agency |
DG1 |
| Language of cataloging |
eng |
| Description conventions |
rda |
| Transcribing agency |
DG1 |
| Modifying agency |
YDXCP |
| -- |
OCLCO |
| -- |
OCLCQ |
| -- |
OCLCF |
| -- |
TR-AnTOB |
| 041 0# - LANGUAGE CODE |
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| Language code of text/sound track or separate title |
İngilizce |
| 050 04 - LIBRARY OF CONGRESS CALL NUMBER |
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| Classification number |
HG106 |
| Item number |
.H36 2012 |
| 090 ## - LOCALLY ASSIGNED LC-TYPE CALL NUMBER (OCLC); LOCAL CALL NUMBER (RLIN) |
|---|
| Classification number (OCLC) (R) ; Classification number, CALL (RLIN) (NR) |
HG106 |
| Local cutter number (OCLC) ; Book number/undivided call number, CALL (RLIN) |
.H36 2012EBK |
| 245 00 - TITLE STATEMENT |
|---|
| Title |
Handbook of modeling high-frequency data in finance / |
| Statement of responsibility, etc. |
edited by Frederi G. Viens, Maria C. Mariani, Ionut Florescu. |
| 264 #1 - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE |
|---|
| Place of production, publication, distribution, manufacture |
Hoboken, New Jersey : |
| Name of producer, publisher, distributor, manufacturer |
Wiley, |
| Date of production, publication, distribution, manufacture, or copyright notice |
2012. |
|
|---|
| Place of production, publication, distribution, manufacture |
©2012 |
| 300 ## - PHYSICAL DESCRIPTION |
|---|
| Extent |
1 online resource (xiv, 441 pages) |
| 336 ## - CONTENT TYPE |
|---|
| Content type term |
text |
| Content type code |
txt |
| Source |
rdacontent |
| 337 ## - MEDIA TYPE |
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| Media type term |
computer |
| Media type code |
n |
| Source |
rdamedia |
| 338 ## - CARRIER TYPE |
|---|
| Carrier type term |
online resource |
| Carrier type code |
nc |
| Source |
rdacarrier |
| 504 ## - BIBLIOGRAPHY, ETC. NOTE |
|---|
| Bibliography, etc. note |
|
| 505 0# - FORMATTED CONTENTS NOTE |
|---|
| Formatted contents note |
Frontmatter -- Analysis of Empirical Data. Estimation of NIG and VG Models for High Frequency Financial Data / Još E Figueroa-̤Lpez, 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 / Ger̀mn 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. |
| 520 ## - SUMMARY, ETC. |
|---|
| Summary, etc. |
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. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Finance |
| General subdivision |
Econometric models |
| 9 (RLIN) |
127941 |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
|---|
| Personal name |
Viens, Frederi G., |
| Dates associated with a name |
1969- |
| Relator term |
editor |
| 9 (RLIN) |
127293 |
|
|---|
| Personal name |
Mariani, Maria C. |
| Relator term |
editor |
| 9 (RLIN) |
127294 |
|
|---|
| Personal name |
Florescu, Ionuţ, |
| Dates associated with a name |
1973- |
| Relator term |
editor |
| 9 (RLIN) |
127295 |
| 856 40 - ELECTRONIC LOCATION AND ACCESS |
|---|
| Public note |
Online access link to the resource |
| Uniform Resource Identifier |
<a href="https://search.ebscohost.com/login.aspx?direct=true&db=nlebk&AN=405445">https://search.ebscohost.com/login.aspx?direct=true&db=nlebk&AN=405445</a> |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
|---|
| Source of classification or shelving scheme |
Library of Congress Classification |
| Koha item type |
E-Book |
