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High-Frequency Financial Econometrics

Author: Yacine Aït-Sahalia; Jean Jacod
Publisher: Princeton : Princeton University Press, 2014.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
"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 driven by the increasing availability of such data, the technological advancements that make high-frequency trading strategies  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Aït-Sahalia, Yacine.
High-frequency financial econometrics.
Princeton : Princeton University Press, [2014]
(DLC) 2013045702
(OCoLC)861666232
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Yacine Aït-Sahalia; Jean Jacod
ISBN: 9780691161433 0691161437 9781400850327 1400850320 9781306805490 130680549X
OCLC Number: 880530776
Description: 1 online resource (684 pages)
Contents: 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.
Responsibility: Yacine Aït-Sahalia and Jean Jacod.

Abstract:

High-frequency trading is an algorithm-based computerized trading practice that allows firms to trade stocks in milliseconds. This book introduces readers to these emerging methods and tools of  Read more...

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The authors are well established and are at the forefront of this specialised research area. Together they bring a wealth of knowledge to this book. . . . This text is a great resource for PhD-level Read more...

 
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