Banking

Download Modelling and Forecasting High Frequency Financial Data by Stavros Degiannakis, Christos Floros PDF

Posted On April 11, 2017 at 11:39 pm by / Comments Off on Download Modelling and Forecasting High Frequency Financial Data by Stavros Degiannakis, Christos Floros PDF

By Stavros Degiannakis, Christos Floros

The international monetary main issue has reopened dialogue surrounding using acceptable theoretical monetary frameworks to mirror the present financial system. there's a want for extra refined analytical ideas which take into consideration present quantitative adjustments and extraordinary turbulence within the monetary markets.

This booklet offers a complete advisor to the quantitative research of excessive frequency monetary info within the gentle of present occasions and modern matters, utilizing the most recent empirical study and conception. It highlights and explains the shortcomings of theoretical frameworks and gives an evidence of high-frequency concept, emphasising ways that to significantly follow this data inside of a monetary context.

Modelling and Forecasting excessive Frequency monetary Data combines conventional and up-to-date theories and applies them to real-world monetary industry events. it will likely be a important and available source for someone wishing to appreciate quantitative research and modelling in present monetary markets.

Show description

Read Online or Download Modelling and Forecasting High Frequency Financial Data PDF

Best banking books

Applications of Data Mining in E-Business and Finance

The applying of knowledge Mining (DM) applied sciences has proven an explosive development in increasingly more assorted components of commercial, executive and technological know-how. of an important enterprise parts are finance, particularly in banks and insurance firms, and e-business, equivalent to internet portals, e-commerce and advert administration providers.

Advanced Fixed Income Analysis, Second Edition

Each one new bankruptcy of the second one version covers a side of the fastened source of revenue industry that has develop into appropriate to traders yet isn't really coated at a complicated point in latest textbooks. this is often fabric that's pertinent to the funding judgements yet isn't really freely to be had to these now not originating the goods.

Extra info for Modelling and Forecasting High Frequency Financial Data

Example text

Journal of Financial Econometrics, 7, 341–372. Martinez, V. and Rosu, I. (2011). Informed Traders, News and Volatility, Unpublished manuscript. Meddahi, N. (2002). A theoretical comparison between integrated and realized volatility. Journal of Applied Econometrics, 17, 479–508. C. (1973). An intertemporal capital asset pricing model. Econometrica, 41, 867–887. F. and Kane, A. (1994). Forecasting volatility and option prices of the S&P500 index. Journal of Derivatives, 2, 17–30. O’Hara, M. (1995).

What do we know about High-Frequency Trading? Columbia Business School Working Paper. Jovanovic, B. J. (2010). Middlemen in Limit-Order Markets. Working Paper. New York University. , and Tuzun, T. (2011). The Flash Crash: The Impact of High Frequency Trading on an Electronic Market, Working paper. CFTC and University of Maryland. , Jungbacker, B. and Hol, E. (2005). Forecasting daily variability of the S&P100 stock index using historical, realized and implied volatility measurements. Journal of Empirical Finance, 12, 445–475.

2005). Market microstructure: A survey of microfoundations, empirical results, and policy implications. Journal of Financial Markets, 8, 217–264. Black, F. and Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Political Economy, 81, 637–654. , and Wu, J. (2012). Algorithmic Trading and Changes in Firms Equity Capital. SSRN Working Paper. Bollen, B. and Inder, B. (2002). Estimating daily volatility in financial markets utilizing intraday data. Journal of Empirical Finance, 9, 551–562.

Download PDF sample

Rated 4.90 of 5 – based on 19 votes