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

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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.

From the Inside Flap:

"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


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Aït-Sahalia, Yacine, Jacod, Jean
Verlag: Princeton University Press (2014)
ISBN 10: 0691161437 ISBN 13: 9780691161433
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Buchbeschreibung Princeton University Press, 2014. Buchzustand: Fine. xxiv, 659 pp., Hardcover, fine in a very good dust jacket. Buchnummer des Verkäufers ZB1070309

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Buchbeschreibung Buchzustand: New. Brand New. US Edition Book. We do not ship to Military Addresses. Fast Shipping with Order Tracking. For Standard Shipping 7-8 business days & Expedite Shipping 4-6 business days, after shipping. Buchnummer des Verkäufers 0691161437-RMX

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Buchbeschreibung Princeton University Press, 2014. Hardcover. Buchzustand: New. book. Buchnummer des Verkäufers M0691161437

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Buchbeschreibung Princeton University Press, 2014. HRD. Buchzustand: New. New Book. Shipped from UK in 4 to 14 days. Established seller since 2000. Buchnummer des Verkäufers BB-9780691161433

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Buchbeschreibung Buchzustand: New. Buchnummer des Verkäufers 20349690-n

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Buchbeschreibung Princeton University Press, United States, 2014. Hardback. Buchzustand: New. 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. Hardcover. Buchzustand: New. New copy - Usually dispatched within 2 working days. Buchnummer des Verkäufers B9780691161433

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Yacine Aït-sahalia, Jean Jacod, Jean Jacod
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Buchbeschreibung Princeton University Press 2014-07-04, Princeton, 2014. hardback. Buchzustand: New. Buchnummer des Verkäufers 9780691161433

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Buchbeschreibung Buchzustand: Very Good. In good condition and ready for quick shipment to any US location by an experienced and reliable seller. CDs and Access codes may not be included as is the case with most used books. Thanks for shopping with us!. Buchnummer des Verkäufers 1627851

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