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Econometric modelling of stock market intraday activity

Author: Luc Bauwens; Pierre Giot
Publisher: Boston : Kluwer Academic Publishers, ©2001.
Series: Advanced studies in theoretical and applied econometrics, v. 38.
Edition/Format:   Print book : EnglishView all editions and formats
Summary:
"The recent widespread availability of intraday tick-by-tick databases for stocks, options and currencies has had an important impact on research in applied financial econometrics and market microstructure. Econometric Modelling of Stock Market Intraday Activity focuses on the econometric modelling of intraday tick-by-tick transaction data (trades and quote) for stock traded on the New York Stock Exchange (NYSE).
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Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Luc Bauwens; Pierre Giot
ISBN: 079237424X 9780792374244
OCLC Number: 47092008
Description: xv, 177 pages : illustrations ; 25 cm.
Contents: 1. Market Microstructure, Trading Mechanisms and Exchanges. Price setting in financial markets. Exchanges. Market microstructure --
2. NYSE TAQ Database and Financial Durations. The TAQ database. Extracting information from the TAQ database. Durations. Durations: a descriptive analysis --
3. Intraday Duration Models. Basic statistical concepts. Econometric models. Illustration on NYSE data. App. Probability distributions --
4. Empirical Results and Extensions. Market microstructure effects. A joint model of durations and price change indicators --
5. Intraday Volatility and Value-at-Risk. A review of ARCH models. ARCH models for intraday data. Intraday Value-at-Risk.
Series Title: Advanced studies in theoretical and applied econometrics, v. 38.
Responsibility: Luc Bauwens and Pierre Giot.
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Abstract:

Over the past 25 years, applied econometrics has undergone tremen- dous changes, with active developments in fields of research such as time series, labor econometrics, financial econometrics and  Read more...

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