Continuous-time methods and market microstructure:
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
Cheltenham [u.a.]
Elgar
2007
|
| Schriftenreihe: | The international library of financial econometrics
4 |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis Klappentext |
| Beschreibung: | XIX, 652 S. graph. Darst. |
| ISBN: | 9781847202659 9781843763420 |
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| 245 | 1 | 0 | |a Continuous-time methods and market microstructure |c ed. by Andrew W. Lo |
| 264 | 1 | |a Cheltenham [u.a.] |b Elgar |c 2007 | |
| 300 | |a XIX, 652 S. |b graph. Darst. | ||
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| 490 | 1 | |a The international library of financial econometrics |v 4 | |
| 490 | 0 | |a An Elgar reference collection | |
| 650 | 4 | |a Mathematisches Modell | |
| 650 | 4 | |a Derivative securities |x Mathematical models | |
| 650 | 4 | |a Money market |x Mathematical models | |
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| 700 | 1 | |a Lo, Andrew W. |d 1960- |e Sonstige |0 (DE-588)124791433 |4 oth | |
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Datensatz im Suchindex
| _version_ | 1804137574196838400 |
|---|---|
| adam_text | Contents
Acknowledgements
vii
Introduction Andrew W.
Lo
ix
PART I MARKET
MICROSTRUCTURE
1.
Myron Scholes and Joseph Williams
(1977),
Estimating Betas From
Nonsynchronous Data , Journal of Financial Economics,
5 (3),
December,
309-27 3
2.
Elroy Dimson
(1979),
Risk Measurement when Shares are Subject
to Infrequent Trading , Journal of Financial Economics,
7 (2),
June,
197-226 22
3.
Kalman
J.
Cohen, Gabriel A. Hawawini, Steven
F. Maier,
Robert A.
Schwartz and David K. Whitcomb
(1983),
Estimating and Adjusting
for the Intervalling-Effect Bias in Beta , Management Science,
29(1),
January,
135-48 52
4.
Richard Roll
(1984),
A Simple Implicit Measure of the Effective
Bid-Ask Spread in an Efficient Market , Journal of Finance,
XXXIX (4),
September,
1127-39 66
5.
Robert A. Wood, Thomas H. Mclnish and J. Keith
Ord
(1985),
An
Investigation of Transactions Data for NYSE Stocks , Journal of
Finance, XL
(3),
July,
723-41 79
6.
Jay Shanken
(1987),
Nonsynchronous Data and the Covariance-
Factor Structure of Returns
,
Journal of Finance,
XLII (2),
June,
221-31 98
7.
Clifford A. Ball
(1988),
Estimation Bias Induced by Discrete
Security Prices , Journal of Finance,
XLIII (4),
September,
841-65 109
8.
Lawrence R. Glosten and Lawrence E. Harris
(1988),
Estimating
the Components of the Bid/Ask Spread
,
Journal of Financial
Economics,
21,123-42 134
9.
Andrew W.
Lo
and A. Craig MacKinlay
(1990),
An Econometric
Analysis of Nonsynchronous Trading , Journal of Econometrics,
45,
181-211 154
10.
Jerry A. Hausman, Andrew W.
Lo
and A. Craig MacKinlay
(1992),
An Ordered
Probit
Analysis of Transaction Stock Prices , Journal of
Financial Economics,
31, 319-79 185
11.
Andrew W.
Lo,
A. Craig MacKinlay and June Zhang
(2002),
Econometric Models of Limit-Order Executions
,
Journal of
Financial Economics,
65, 31-71 246
vi
Continuous-Time Methods and Market Microstructure
PART II DERIVATIVES AND CONTINUOUS-TIME ECONOMETRICS
12.
Peter K. Clark
(1973),
A Subordinated Stochastic Process Model
with Finite Variance for Speculative Prices ,
Econometrica,
41 (1),
January,
135-55 289
13.
Robert
С
Merton
(1975),
Theory of Finance from the Perspective
of Continuous Time , Journal of Financial and Quantitative
Analysis,
10 (4),
November,
659-74 310
14.
Michael Parkinson
(1980),
The Extreme Value Method for
Estimating the Variance of the Rate of Return , Journal of Business,
53 (1),
January,
61-5 326
15.
Mark B. Garman and Michael J.
Klass
(1980),
On the Estimation of
Security Price Volatilities from Historical Data , Journal of Business,
53
(D.January,
67-78 331
16.
Clifford A. Ball and Walter
N.
Torous
(1985),
On Jumps in
Common Stock Prices and their Impact on Call Option Pricing
,
Journal of Finance, XL
( 1 ),
March,
155-73 343
17.
Robert J. Shiller and Pierre Perron
(1985),
Testing the Random
Walk Hypothesis: Power versus Frequency of Observation ,
Economics Letters,
18, 381-86 362
18.
Andrew W.
Lo
(1986),
Statistical Tests of Contingent-Claims Asset-
Pricing Models: A New Methodology , Journal of Financial
Economics,
17, 143-73 368
19.
Andrew W.
Lo
(1987),
Semi-Parametric Upper Bounds for Option
Prices and Expected Payoffs , Journal of Financial Economics,
19,
373-87 399
20.
Andrew W.
Lo
(1988),
Maximum Likelihood Estimation of
Generalized
Ito
Processes with Discretely Sampled Data ,
Econometric Theory,
4 (2),
August,
231-47 414
21.
Mark Rubinstein
( 1994),
Implied Binomial Trees
,
Journal of
Finance, LXK
(3),
July,
771-818 431
22.
Andrew W.
Lo
and Jiang Wang
(1995),
Implementing Option
Pricing Models when Asset Returns are Predictable , Journal of
Finance,
L
(1),
March,
87-129 479
23.
Yacine Ait-Sahalia and Andrew W.
Lo
(1998),
Nonparametric
Estimation of State-Price Densities Implicit in Financial Asset
Prices
,
Journal of Finance,
LIII
(2),
April,
499-547 522
24.
Yacine Ait-Sahalia and Andrew W.
Lo
(2000),
Nonparametric Risk
Management and Implied Risk Aversion , Journal of Econometrics,
94,9-51 571
25.
Dimitris Bertsimas, Leonid Kogan and Andrew W.
Lo
(2000),
When is Time Continuous? , Journal of Financial Economics,
55,
173-204 614
Name Index
647
THE INTERNATIONAL LIBRARY OF
FINANCIAL ECONOMETRICS
Editor. Andrew W.
Lo
This major five-volume work
-
prepared by a leading scholar. Andrew W.
Lo
-
is a testimony
to the remarkable advances made
m
financial econometrics dunng the last forty years.
The sheer breadth of topics included
m
these volumes will give readers a sense of the
impact and intellectual vitality of financial econometncs today. The articles selected in these
volumes span a penod of four decades
-
ranging from classic tests of the Random Walk
Hypothesis in the
1960s
to the application of random matnx theory to covanance-matnx
estimators in
2002 -
illustrating the remarkable progress that the field has achieved over
time. The papers present a rich tapestry of models and methods that have not only
intellectual interest but genuine practical value.
Volum·
1
includes the most influential statistical models of financial-asset returns. It is the
starting point for this intimate connection between finance and econometrics. Even without
the economic infrastructure of preferences, supply and demand, and general equilibrium,
the contributions in Volume
1
shed considerable light on the basic properties of asset
returns such as fat tails, serial correlation, and time-varying volatilities.
Volum·
2
presents papers that extract additional information from asset returns and volume
by imposing additional structure: investor preferences, probability distributions for
underlying sources of uncertainty, and general equilibrium. Using a two-period or static
framework
-
the simplest possible context in which price uncertainty exists
-
the papers of
Volume
2
yield remarkably simple yet far-reaching implications for the relation between risk
and expected return, the proper economic definition of risk, and methods for evaluating the
performance of portfolio managers.
Volum·
3
focuses on papers which go beyond the static two-period framework to the more
complex multi-period case. By modeling the
intertemporal
consumption/savings and
investment decisions of investors, a wealth of additional testable implications can be derived
for the time-series and cross-sectional properties of asset returns and volume.
Volum·
4
presents papers which examine the dynamics of prices and quantities and shows
how they lead naturally to questions about the fine structure of financial transactions and
markets as well as the notion of continuous-time trading. The econometrics of
continuous-time stochastic processes is essential for applications of derivatives pricing
models to data, and the practical relevance of continuous-time approximations is dictated
by the particular market microstructure of the derivative s underlying asset.
Volum·
б
contains methodological papers, as well as contributions to finance that are not
yet part of the mainstream, but which address important issues nonetheless. In particular,
Volume
5
includes papers on quantifying selection and data-snooping biases In tests of
financial asset-pricing models, applications of Bayesian methods, event-study analysis,
generalized method of moments estimation, and some example from the emerging field of
econophysics.
This five-volume work will be an essential source of reference for financial econometricians,
economists and investors.
Andrew W.
Lo
Is Harris
&
Harris Group Professor and Director of the MIT Laboratory for
Financial Engineering at the Massachusetts Institute of Technology, USA.
|
| adam_txt |
Contents
Acknowledgements
vii
Introduction Andrew W.
Lo
ix
PART I MARKET
MICROSTRUCTURE
1.
Myron Scholes and Joseph Williams
(1977),
'Estimating Betas From
Nonsynchronous Data', Journal of Financial Economics,
5 (3),
December,
309-27 3
2.
Elroy Dimson
(1979),
'Risk Measurement when Shares are Subject
to Infrequent Trading', Journal of Financial Economics,
7 (2),
June,
197-226 22
3.
Kalman
J.
Cohen, Gabriel A. Hawawini, Steven
F. Maier,
Robert A.
Schwartz and David K. Whitcomb
(1983),
'Estimating and Adjusting
for the Intervalling-Effect Bias in Beta', Management Science,
29(1),
January,
135-48 52
4.
Richard Roll
(1984),
'A Simple Implicit Measure of the Effective
Bid-Ask Spread in an Efficient Market', Journal of Finance,
XXXIX (4),
September,
1127-39 66
5.
Robert A. Wood, Thomas H. Mclnish and J. Keith
Ord
(1985),
'An
Investigation of Transactions Data for NYSE Stocks', Journal of
Finance, XL
(3),
July,
723-41 79
6.
Jay Shanken
(1987),
'Nonsynchronous Data and the Covariance-
Factor Structure of Returns'
,
Journal of Finance,
XLII (2),
June,
221-31 98
7.
Clifford A. Ball
(1988),
'Estimation Bias Induced by Discrete
Security Prices', Journal of Finance,
XLIII (4),
September,
841-65 109
8.
Lawrence R. Glosten and Lawrence E. Harris
(1988),
'Estimating
the Components of the Bid/Ask Spread'
,
Journal of Financial
Economics,
21,123-42 134
9.
Andrew W.
Lo
and A. Craig MacKinlay
(1990),
'An Econometric
Analysis of Nonsynchronous Trading', Journal of Econometrics,
45,
181-211 154
10.
Jerry A. Hausman, Andrew W.
Lo
and A. Craig MacKinlay
(1992),
'An Ordered
Probit
Analysis of Transaction Stock Prices', Journal of
Financial Economics,
31, 319-79 185
11.
Andrew W.
Lo,
A. Craig MacKinlay and June Zhang
(2002),
'Econometric Models of Limit-Order Executions'
,
Journal of
Financial Economics,
65, 31-71 246
vi
Continuous-Time Methods and Market Microstructure
PART II DERIVATIVES AND CONTINUOUS-TIME ECONOMETRICS
12.
Peter K. Clark
(1973),
'A Subordinated Stochastic Process Model
with Finite Variance for Speculative Prices',
Econometrica,
41 (1),
January,
135-55 289
13.
Robert
С
Merton
(1975),
'Theory of Finance from the Perspective
of Continuous Time', Journal of Financial and Quantitative
Analysis,
10 (4),
November,
659-74 310
14.
Michael Parkinson
(1980),
'The Extreme Value Method for
Estimating the Variance of the Rate of Return', Journal of Business,
53 (1),
January,
61-5 326
15.
Mark B. Garman and Michael J.
Klass
(1980),
'On the Estimation of
Security Price Volatilities from Historical Data', Journal of Business,
53
(D.January,
67-78 331
16.
Clifford A. Ball and Walter
N.
Torous
(1985),
'On Jumps in
Common Stock Prices and their Impact on Call Option Pricing'
,
Journal of Finance, XL
( 1 ),
March,
155-73 343
17.
Robert J. Shiller and Pierre Perron
(1985),
'Testing the Random
Walk Hypothesis: Power versus Frequency of Observation',
Economics Letters,
18, 381-86 362
18.
Andrew W.
Lo
(1986),
'Statistical Tests of Contingent-Claims Asset-
Pricing Models: A New Methodology', Journal of Financial
Economics,
17, 143-73 368
19.
Andrew W.
Lo
(1987),
'Semi-Parametric Upper Bounds for Option
Prices and Expected Payoffs', Journal of Financial Economics,
19,
373-87 399
20.
Andrew W.
Lo
(1988),
'Maximum Likelihood Estimation of
Generalized
Ito
Processes with Discretely Sampled Data',
Econometric Theory,
4 (2),
August,
231-47 414
21.
Mark Rubinstein
( 1994),
'Implied Binomial Trees
',
Journal of
Finance, LXK
(3),
July,
771-818 431
22.
Andrew W.
Lo
and Jiang Wang
(1995),
'Implementing Option
Pricing Models when Asset Returns are Predictable', Journal of
Finance,
L
(1),
March,
87-129 479
23.
Yacine Ait-Sahalia and Andrew W.
Lo
(1998),
'Nonparametric
Estimation of State-Price Densities Implicit in Financial Asset
Prices'
,
Journal of Finance,
LIII
(2),
April,
499-547 522
24.
Yacine Ait-Sahalia and Andrew W.
Lo
(2000),
'Nonparametric Risk
Management and Implied Risk Aversion', Journal of Econometrics,
94,9-51 571
25.
Dimitris Bertsimas, Leonid Kogan and Andrew W.
Lo
(2000),
'When is Time Continuous?', Journal of Financial Economics,
55,
173-204 614
Name Index
647
THE INTERNATIONAL LIBRARY OF
FINANCIAL ECONOMETRICS
Editor. Andrew W.
Lo
This major five-volume work
-
prepared by a leading scholar. Andrew W.
Lo
-
is a testimony
to the remarkable advances made
m
financial econometrics dunng the last forty years.
The sheer breadth of topics included
m
these volumes will give readers a sense of the
impact and intellectual vitality of financial econometncs today. The articles selected in these
volumes span a penod of four decades
-
ranging from classic tests of the Random Walk
Hypothesis in the
1960s
to the application of random matnx theory to covanance-matnx
estimators in
2002 -
illustrating the remarkable progress that the field has achieved over
time. The papers present a rich tapestry of models and methods that have not only
intellectual interest but genuine practical value.
Volum·
1
includes the most influential statistical models of financial-asset returns. It is the
starting point for this intimate connection between finance and econometrics. Even without
the economic infrastructure of preferences, supply and demand, and general equilibrium,
the contributions in Volume
1
shed considerable light on the basic properties of asset
returns such as fat tails, serial correlation, and time-varying volatilities.
Volum·
2
presents papers that extract additional information from asset returns and volume
by imposing additional structure: investor preferences, probability distributions for
underlying sources of uncertainty, and general equilibrium. Using a two-period or static
framework
-
the simplest possible context in which price uncertainty exists
-
the papers of
Volume
2
yield remarkably simple yet far-reaching implications for the relation between risk
and expected return, the proper economic definition of risk, and methods for evaluating the
performance of portfolio managers.
Volum·
3
focuses on papers which go beyond the static two-period framework to the more
complex multi-period case. By modeling the
intertemporal
consumption/savings and
investment decisions of investors, a wealth of additional testable implications can be derived
for the time-series and cross-sectional properties of asset returns and volume.
Volum·
4
presents papers which examine the dynamics of prices and quantities and shows
how they lead naturally to questions about the fine structure of financial transactions and
markets as well as the notion of continuous-time trading. The econometrics of
continuous-time stochastic processes is essential for applications of derivatives pricing
models to data, and the practical relevance of continuous-time approximations is dictated
by the particular market microstructure of the derivative's underlying asset.
Volum·
б
contains methodological papers, as well as contributions to finance that are not
yet part of the mainstream, but which address important issues nonetheless. In particular,
Volume
5
includes papers on quantifying selection and data-snooping biases In tests of
financial asset-pricing models, applications of Bayesian methods, event-study analysis,
generalized method of moments estimation, and some example from the emerging field of
econophysics.
This five-volume work will be an essential source of reference for financial econometricians,
economists and investors.
Andrew W.
Lo
Is Harris
&
Harris Group Professor and Director of the MIT Laboratory for
Financial Engineering at the Massachusetts Institute of Technology, USA. |
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| index_date | 2024-07-02T20:33:11Z |
| indexdate | 2024-07-09T21:14:27Z |
| institution | BVB |
| isbn | 9781847202659 9781843763420 |
| language | English |
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| series | The international library of financial econometrics |
| series2 | The international library of financial econometrics An Elgar reference collection |
| spelling | Continuous-time methods and market microstructure ed. by Andrew W. Lo Cheltenham [u.a.] Elgar 2007 XIX, 652 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier The international library of financial econometrics 4 An Elgar reference collection Mathematisches Modell Derivative securities Mathematical models Money market Mathematical models Stock exchanges Mathematical models Lo, Andrew W. 1960- Sonstige (DE-588)124791433 oth The international library of financial econometrics 4 (DE-604)BV023263721 4 Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016449172&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016449172&sequence=000002&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Klappentext |
| spellingShingle | Continuous-time methods and market microstructure The international library of financial econometrics Mathematisches Modell Derivative securities Mathematical models Money market Mathematical models Stock exchanges Mathematical models |
| title | Continuous-time methods and market microstructure |
| title_auth | Continuous-time methods and market microstructure |
| title_exact_search | Continuous-time methods and market microstructure |
| title_exact_search_txtP | Continuous-time methods and market microstructure |
| title_full | Continuous-time methods and market microstructure ed. by Andrew W. Lo |
| title_fullStr | Continuous-time methods and market microstructure ed. by Andrew W. Lo |
| title_full_unstemmed | Continuous-time methods and market microstructure ed. by Andrew W. Lo |
| title_short | Continuous-time methods and market microstructure |
| title_sort | continuous time methods and market microstructure |
| topic | Mathematisches Modell Derivative securities Mathematical models Money market Mathematical models Stock exchanges Mathematical models |
| topic_facet | Mathematisches Modell Derivative securities Mathematical models Money market Mathematical models Stock exchanges Mathematical models |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016449172&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016449172&sequence=000002&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV023263721 |
| work_keys_str_mv | AT loandreww continuoustimemethodsandmarketmicrostructure |