Beispielbild für diese ISBN

High-Frequency Financial Econometrics

Aït-Sahalia, Yacine; Jacod, Jean

Verlag: Princeton University Press, 2014
ISBN 10: 0691161437 / ISBN 13: 9780691161433
Gebraucht / Hardcover / Anzahl: 1
Verkäufer Book Deals (Lewiston, NY, USA)
Bei weiteren Verkäufern erhältlich
Alle  Exemplare dieses Buches anzeigen
In den Warenkorb legen
Preis: EUR 42,59
Währung umrechnen
Versand: EUR 0,00
Innerhalb USA
Versandziele, Kosten & Dauer

Für später vormerken

Über dieses Buch

Bibliografische Details


Titel: High-Frequency Financial Econometrics

Verlag: Princeton University Press

Erscheinungsdatum: 2014

Einband: Hardcover

Zustand: Used

Beschreibung:

This Book is in Good Condition. Clean Copy With Light Amount of Wear. 100% Guaranteed. 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 At-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. At-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.At-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"--. Buchnummer des Verkäufers ABE_book_usedgood_0691161437

Über diesen Titel:

Bewertung (bereitgestellt von GoodReads):
0 durchschnittlich
(0 Bewertungen)

Inhaltsangabe:

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.


Umschlagtext:

"An important and timely work by two of the leading experts in high-frequency data. Aït-Sahalia and Jacod take readers to the very forefront of this rapidly evolving area. They cover both the practical side of financial data and the mathematical theory of stochastic processes, and show how to connect the two. High-Frequency Financial Econometrics is a must-read for academics and practitioners alike."--Per Mykland, University of Chicago


"This comprehensive and accessible book provides a valuable introduction to the recently developed tools for modeling and inference based on very high-frequency financial data. A wonderful achievement, High-Frequency Financial Econometrics is destined to become a classic."--Torben G. Andersen, Northwestern University


"This book is simply breathtaking. High-Frequency Financial Econometrics is a serious scholarly contribution that, wonderfully, will also be of great interest to practitioners."--Francis X. Diebold, coauthor of Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach


„Über diesen Titel“ kann sich auf eine andere Ausgabe dieses Titels beziehen.

Anbieter- & Zahlungsinformationen

Zahlungsarten

Dieser Anbieter akzeptiert die folgenden Zahlungsarten:

  • American Express
  • Carte Bleue
  • EuroCard/MasterCard
  • Visa

[Im Angebot des Anbieters suchen]

[Alle Bücher des Anbieters anzeigen]

[Dem Anbieter eine Frage stellen]

Anbieter: Book Deals
Adresse: Lewiston, NY, USA

AbeBooks Verkäufer seit: 7. Mai 2014
Bewertung: 4 Sterne

Geschäftsbedingungen:

We guarantee the condition of every book as it's described on the AbeBooks web
sites. If you're dissatisfied with your purchase (Incorrect Book/Not as
Described/Damaged) or if the order hasn't arrived, you're eligible for a refund
within 30 days of the estimated delivery date. If you've changed your mind
about a book that you've ordered, please use the Ask bookseller a question link
to contact us and we'll respond within 2 business days.


Versandinformationen:

Shipping costs are based on books weighing 2.2 LB, or 1 KG. If your book order is heavy or oversized, we may contact you to let you know extra shipping is required.