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| 003 | TR-AnTOB | ||
| 005 | 20200626114228.0 | ||
| 006 | m o d | ||
| 007 | cr cnu---aaaau | ||
| 008 | 111213t20122012njua b 001 0 eng d | ||
| 020 | _a9780470876886 (print) | ||
| 020 | _a9781118204580 (electronic bk.) | ||
| 035 | _a(OCoLC)768204539 | ||
| 040 |
_aDG1 _beng _erda _cDG1 _dYDXCP _dOCLCO _dOCLCQ _dOCLCF _dTR-AnTOB |
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| 041 | 0 | _aeng | |
| 050 | 0 | 4 |
_aHG106 _b.H36 2012 |
| 090 |
_aHG106 _b.H36 2012EBK |
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| 245 | 0 | 0 |
_aHandbook of modeling high-frequency data in finance / _cedited by Frederi G. Viens, Maria C. Mariani, Ionut Florescu. |
| 264 | 1 |
_aHoboken, New Jersey : _bWiley, _c2012. |
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| 264 | 1 | _a©2012 | |
| 300 | _a1 online resource (xiv, 441 pages) | ||
| 336 |
_atext _btxt _2rdacontent |
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| 337 |
_acomputer _bn _2rdamedia |
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| 338 |
_aonline resource _bnc _2rdacarrier |
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| 504 | _aIncludes index. | ||
| 505 | 0 | _aFrontmatter -- 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 | _aThis 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 |
_aFinance _xEconometric models _9127941 |
|
| 700 | 1 |
_aViens, Frederi G., _d1969- _eeditor _9127293 |
|
| 700 | 1 |
_aMariani, Maria C. _eeditor _9127294 |
|
| 700 | 1 |
_aFlorescu, Ionuţ, _d1973- _eeditor _9127295 |
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| 856 | 4 | 0 |
_zOnline access link to the resource _uhttps://search.ebscohost.com/login.aspx?direct=true&db=nlebk&AN=405445 |
| 942 |
_2lcc _cEBK |
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