The Resource High-frequency financial econometrics, Yacine Aït-Sahalia, Jean Jacod
High-frequency financial econometrics, Yacine Aït-Sahalia, Jean Jacod
Resource Information
The item High-frequency financial econometrics, Yacine Aït-Sahalia, Jean Jacod represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of Missouri Libraries.This item is available to borrow from 1 library branch.
Resource Information
The item High-frequency financial econometrics, Yacine Aït-Sahalia, Jean Jacod represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of Missouri Libraries.
This item is available to borrow from 1 library branch.
- 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
- Label
- High-frequency financial econometrics
- Title
- High-frequency financial econometrics
- Statement of responsibility
- Yacine Aït-Sahalia, Jean Jacod
- 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
- 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
- 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
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<div class="citation" vocab="http://schema.org/"><i class="fa fa-external-link-square fa-fw"></i> Data from <span resource="http://link.library.missouri.edu/portal/High-frequency-financial-econometrics-Yacine/5oAdietnc04/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.library.missouri.edu/portal/High-frequency-financial-econometrics-Yacine/5oAdietnc04/">High-frequency financial econometrics, Yacine Aït-Sahalia, Jean Jacod</a></span> - <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.library.missouri.edu/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="http://link.library.missouri.edu/">University of Missouri Libraries</a></span></span></span></span></div>