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The Resource High-frequency financial econometrics, Yacine Aït-Sahalia, Jean Jacod

High-frequency financial econometrics, Yacine Aït-Sahalia, Jean Jacod

Creator
Contributor
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 possible, and the need of practitioners to analyze these data. This comprehensive book introduces readers to these emerging methods and tools of analysis.Yacine Aït-Sahalia and Jean Jacod cover the mathematical foundations of stochastic processes, describe the primary characteristics of high-frequency financial data, and present the asymptotic concepts that their analysis relies on. Aït-Sahalia and Jacod also deal with estimation of the volatility portion of the model, including methods that are robust to market microstructure noise, and address estimation and testing questions involving the jump part of the model. As they demonstrate, the practical importance and relevance of jumps in financial data are universally recognized, but only recently have econometric methods become available to rigorously analyze jump processes.Aït-Sahalia and Jacod approach high-frequency econometrics with a distinct focus on the financial side of matters while maintaining technical rigor, which makes this book invaluable to researchers and practitioners alike"--
Language
eng
Work
Publication
Extent
xxiv, 659 pages
Isbn
9780691161433
Instance
Label
High-frequency financial econometrics
Title
High-frequency financial econometrics
Statement of responsibility
Yacine Aït-Sahalia, Jean Jacod
Creator
Contributor
Subject
Language
eng
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 possible, and the need of practitioners to analyze these data. This comprehensive book introduces readers to these emerging methods and tools of analysis.Yacine Aït-Sahalia and Jean Jacod cover the mathematical foundations of stochastic processes, describe the primary characteristics of high-frequency financial data, and present the asymptotic concepts that their analysis relies on. Aït-Sahalia and Jacod also deal with estimation of the volatility portion of the model, including methods that are robust to market microstructure noise, and address estimation and testing questions involving the jump part of the model. As they demonstrate, the practical importance and relevance of jumps in financial data are universally recognized, but only recently have econometric methods become available to rigorously analyze jump processes.Aït-Sahalia and Jacod approach high-frequency econometrics with a distinct focus on the financial side of matters while maintaining technical rigor, which makes this book invaluable to researchers and practitioners alike"--
Assigning source
Provided by publisher
Cataloging source
DLC
http://library.link/vocab/creatorName
Aït-Sahalia, Yacine
Dewey number
332.01/5195
Illustrations
illustrations
Index
index present
LC call number
HG106
LC item number
.A3873 2014
Literary form
non fiction
Nature of contents
bibliography
http://library.link/vocab/relatedWorkOrContributorName
Jacod, Jean
http://library.link/vocab/subjectName
  • Finance
  • Econometrics
  • BUSINESS & ECONOMICS / Econometrics
  • BUSINESS & ECONOMICS / Finance
  • BUSINESS & ECONOMICS / Economics / Theory
  • Econometrics
  • Finance
  • Finanzmathematik
  • Börseninformationssystem
  • Programmhandel
Label
High-frequency financial econometrics, Yacine Aït-Sahalia, Jean Jacod
Instantiates
Publication
Bibliography note
Includes bibliographical references (pages 633-656) and index
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier.
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent.
Control code
861666232
Dimensions
24 cm
Extent
xxiv, 659 pages
Isbn
9780691161433
Lccn
2013045702
Media category
unmediated
Media MARC source
rdamedia.
Media type code
  • n
Other physical details
illustrations
System control number
(OCoLC)861666232
Label
High-frequency financial econometrics, Yacine Aït-Sahalia, Jean Jacod
Publication
Bibliography note
Includes bibliographical references (pages 633-656) and index
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier.
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent.
Control code
861666232
Dimensions
24 cm
Extent
xxiv, 659 pages
Isbn
9780691161433
Lccn
2013045702
Media category
unmediated
Media MARC source
rdamedia.
Media type code
  • n
Other physical details
illustrations
System control number
(OCoLC)861666232

Subject

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