High-Frequency Financial Econometrics

Yacine Aït-Sahalia; Jean Jacod

Verlag: Princeton University Press, 2014
ISBN 10: 0691161437 / ISBN 13: 9780691161433
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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

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Titel: High-Frequency Financial Econometrics
Verlag: Princeton University Press
Erscheinungsdatum: 2014
Zustand: Used

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Yacine Aït-sahalia, Jean Jacod, Jean Jacod
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Buchbeschreibung Princeton University Press, 2014. Buchzustand: New. 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 analysis. Num Pages: 688 pages, 35 line illus. 3 tables. BIC Classification: KCA; KCH; KFF. Category: (P) Professional & Vocational; (U) Tertiary Education (US: College). Dimension: 242 x 157 x 42. Weight in Grams: 1086. . 2014. Hardcover. . . . . . Buchnummer des Verkäufers V9780691161433

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Buchbeschreibung Princeton University Press, United States, 2014. Hardback. Buchzustand: New. 236 x 152 mm. Language: English . Brand New Book. 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 Ait-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. Ait-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. Ait-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 AAU9780691161433

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Buchbeschreibung Princeton University Press, United States, 2014. Hardback. Buchzustand: New. 236 x 152 mm. Language: English . Brand New Book. 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 Ait-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. Ait-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. Ait-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 AAU9780691161433

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Buchbeschreibung Princeton University Press. Buchzustand: New. 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 analysis. Num Pages: 688 pages, 35 line illus. 3 tables. BIC Classification: KCA; KCH; KFF. Category: (P) Professional & Vocational; (U) Tertiary Education (US: College). Dimension: 242 x 157 x 42. Weight in Grams: 1086. . 2014. Hardcover. . . . . Books ship from the US and Ireland. Buchnummer des Verkäufers V9780691161433

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Buchbeschreibung Princeton University Press, 2014. Buchzustand: New. Buchnummer des Verkäufers EH9780691161433

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Yacine Ait-Sahalia, Jean Jacod
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Buchbeschreibung Princeton University Press 2014-07-21, 2014. Buchzustand: New. Brand new book, sourced directly from publisher. Dispatch time is 24-48 hours from our warehouse. Book will be sent in robust, secure packaging to ensure it reaches you securely. Buchnummer des Verkäufers NU-GRD-05117665

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