Econometrics of financial high-frequency data:
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| Main Author: | |
|---|---|
| Format: | Thesis Book |
| Language: | English |
| Published: |
Berlin [u.a.]
Springer Berlin
2012
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| Subjects: | |
| Online Access: | Inhaltstext Inhaltsverzeichnis |
| Physical Description: | XIII, 371 S. graph. Darst. 235 mm x 155 mm |
| ISBN: | 9783642219245 3642219241 |
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| 100 | 1 | |a Hautsch, Nikolaus |d 1972- |e Verfasser |0 (DE-588)132371308 |4 aut | |
| 245 | 1 | 0 | |a Econometrics of financial high-frequency data |c Nikolaus Hautsch |
| 264 | 1 | |a Berlin [u.a.] |b Springer Berlin |c 2012 | |
| 300 | |a XIII, 371 S. |b graph. Darst. |c 235 mm x 155 mm | ||
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Record in the Search Index
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IMAGE 1
CONTENTS
1 INTRODUCTION 1
1.1 MOTIVATION 1
1.2 STRUCTURE OF THE BOOK 4
REFERENCES 8
2 MICROSTRUCTURE FOUNDATIONS 9
2.1 THE INSTITUTIONAL FRAMEWORK OF TRADING 9
2.1.1 TYPES OF TRADERS AND FORMS OF TRADING 9
2.1.2 TYPES OF ORDERS 10
2.1.3 MARKET STRUCTURES 12
2.1.4 ORDER PRECEDENCE AND PRICING RULES 14
2.1.5 TRADING FORMS AT SELECTED INTERNATIONAL EXCHANGES 16 2.2 A REVIEW
OF MARKET MICROSTRUCTURE THEORY 19
2.2.1 ASYMMETRIC INFORMATION BASED MODELS 19
2.2.2 INVENTORY MODELS 21
2.2.3 MAJOR IMPLICATIONS FOR TRADING VARIABLES 22
2.2.4 MODELS FOR LIMIT ORDER BOOK MARKETS 23
REFERENCES 24
3 EMPIRICAL PROPERTIES OF HIGH-FREQUENCY DATA 27
3.1 HANDLING HIGH-FREQUENCY DATA 27
3.1.1 DATABASES AND TRADING VARIABLES 27
3.1.2 MATCHING TRADES AND QUOTES 30
3.1.3 DATA CLEANING 32
3.1.4 SPLIT-TRANSACTIONS 34
3.1.5 IDENTIFICATION OF BUYER- AND SELLER-INITIATED TRADES 34 3.2
AGGREGATION BY TRADING EVENTS: FINANCIAL DURATIONS 35 3.2.1 TRADE AND
ORDER ARRIVAL DURATIONS 35
3.2.2 PRICE AND VOLUME DURATIONS 36
3.3 PROPERTIES OF FINANCIAL DURATIONS 37
3.4 PROPERTIES OF TRADING CHARACTERISTICS 44
3.5 PROPERTIES OF TIME AGGREGATED DATA 52
BIBLIOGRAFISCHE INFORMATIONEN HTTP://D-NB.INFO/1011959267
DIGITALISIERT DURCH
IMAGE 2
CONTENTS
3.6 SUMMARY OF MAJOR EMPIRICAL FINDINGS 60
REFERENCES 67
FINANCIAL POINT PROCESSES 69
4.1 BASIC CONCEPTS OF POINT PROCESSES 69
4.1.1 FUNDAMENTAL DEFINITIONS 69
4.1.2 COMPENSATORS AND INTENSITIES 71
4.1.3 THE HOMOGENEOUS POISSON PROCESS 74
4.1.4 GENERALIZATIONS OF POISSON PROCESSES 76
4.1.5 A RANDOM TIME CHANGE ARGUMENT 77
4.1.6 INTENSITY-BASED INFERENCE 79
4.1.7 SIMULATION AND DIAGNOSTICS 81
4.2 FOUR WAYS TO MODEL POINT PROCESSES 83
4.2.1 INTENSITY MODELS 83
4.2.2 HAZARD MODELS 85
4.2.3 DURATION MODELS 90
4.2.4 COUNT DATA MODELS 90
4.3 CENSORING AND TIME-VARYING COVARIATES 91
4.3.1 CENSORING 91
4.3.2 TIME-VARYING COVARIATES 92
4.4 AN OUTLOOK ON DYNAMIC EXTENSIONS 94
REFERENCES 97
UNIVARIATE MULTIPLICATIVE ERROR MODELS 99
5.1 ARMA MODELS FOR LOG VARIABLES 100
5.2 A MEM FOR DURATIONS: THE ACD MODEL 102
5.3 ESTIMATION OF THE ACD MODEL 104
5.3.1 QML ESTIMATION 104
5.3.2 ML ESTIMATION 109
5.4 SEASONALITIES AND EXPLANATORY VARIABLES 113
5.5 THE LOG-ACD MODEL 115
5.6 TESTING THE ACD MODEL 117
5.6.1 PORTMANTEAU TESTS 118
5.6.2 INDEPENDENCE TESTS 120
5.6.3 DISTRIBUTION TESTS 123
5.6.4 LAGRANGE MULTIPLIER TESTS 127
5.6.5 CONDITIONAL MOMENT TESTS 130
5.6.6 MONTE CARLO EVIDENCE 136
REFERENCES 139
GENERALIZED MULTIPLICATIVE ERROR MODELS 143
6.1 A CLASS OF AUGMENTED ACD MODELS 143
6.1.1 SPECIALCASES 144
6.1.2 THEORETICAL PROPERTIES 148
6.1.3 EMPIRICAL ILLUSTRATIONS 149
IMAGE 3
CONTENTS XI
6.2 REGIME-SWITCHING ACD MODELS 156
6.2.1 THRESHOLD ACD MODELS 156
6.2.2 SMOOTH TRANSITION ACD MODELS 158
6.2.3 MARKOV SWITCHING ACD MODELS 161
6.3 LONG MEMORY ACD MODELS 162
6.4 MIXTURE AND COMPONENT MULTIPLICATIVE ERROR MODELS 166 6.4.1 THE
STOCHASTIC CONDITIONAL DURATION MODEL 166 6.4.2 STOCHASTIC
MULTIPLICATIVE ERROR MODELS 167
6.4.3 COMPONENT MULTIPLICATIVE ERROR MODELS 169
6.5 FURTHER GENERALIZATIONS OF MULTIPLICATIVE ERROR MODELS 170 6.5.1
COMPETING RISKS ACD MODELS 170
6.5.2 SEMIPARAMETRIC ACD MODELS 171
6.5.3 STOCHASTIC VOLATILITY DURATION MODELS 172
REFERENCES 173
7 VECTOR MULTIPLICATIVE ERROR MODELS 177
7.1 VMEM PROCESSES 177
7.1.1 THE BASIC VMEM SPECIFICATION 177
7.1.2 STATISTICAL INFERENCE 180
7.1.3 APPLICATIONS 181
7.2 STOCHASTIC VECTOR MULTIPLICATIVE ERROR MODELS 184
7.2.1 STOCHASTIC VMEM PROCESSES 184
7.2.2 SIMULATION-BASED INFERENCE 186
7.2.3 MODELLING TRADING PROCESSES 188
REFERENCES 193
8 MODELLING HIGH-FREQUENCY VOLATILITY 195
8.1 INTRADAY QUADRATIC VARIATION MEASURES 195
8.1.1 MAXIMUM LIKELIHOOD ESTIMATION 198
8.1.2 THE REALIZED KERNEL ESTIMATOR 199
8.1.3 THE PRE-AVERAGING ESTIMATOR 200
8.1.4 EMPIRICAL EVIDENCE 202
8.1.5 MODELLING AND FORECASTING INTRADAY VARIANCES 205 8.2 SPOT
VARIANCES AND JUMPS 210
8.3 TRADE-BASED VOLATILITY MEASURES 213
8.4 VOLATILITY MEASUREMENT USING PRICE DURATIONS 216
8.5 MODELLING QUOTE VOLATILITY 220
REFERENCES 223
9 ESTIMATING MARKET LIQUIDITY 225
9.1 SIMPLE SPREAD AND PRICE IMPACT MEASURES 226
9.1.1 SPREAD MEASURES 226
9.1.2 PRICE IMPACT MEASURES 226
9.2 VOLUME BASED MEASURES 228
9.2.1 THE VNET MEASURE 228
9.2.2 EXCESS VOLUME MEASURES 230
IMAGE 4
XUE CONTENTS
9.3 MODELLING ORDER BOOK DEPTH 235
9.3.1 A COINTEGRATED VAR MODEL FOR QUOTES AND DEPTH 236 9.3.2 A DYNAMIC
NELSON-SIEGEL TYPE ORDER BOOK MODEL 237 9.3.3 A SEMIPARAMETRIC DYNAMIC
FACTOR MODEL 239
REFERENCES 243
10 SEMIPARAMETRIC DYNAMIC PROPORTIONAL HAZARD MODELS 245 10.1 DYNAMIC
INTEGRATED HAZARD PROCESSES 246
10.2 THE SEMIPARAMETRIC ACPH MODEL 248
10.3 PROPERTIES OF THE SEMIPARAMETRIC ACPH MODEL 250
10.3.1 AUTOCORRELATION STRUCTURE 250
10.3.2 ESTIMATION QUALITY 253
10.4 EXTENDED SACPH MODELS 255
10.4.1 REGIME-SWITCHING BASELINE HAZARD FUNCTIONS 255 10.4.2 CENSORING
258
10.4.3 UNOBSERVED HETEROGENEITY 259
10.5 TESTING THE SACPH MODEL 260
10.6 ESTIMATING VOLATILITY USING THE SACPH MODEL 262
10.6.1 DATA AND THE GENERATION OF PRICE EVENTS 263
10.6.2 EMPIRICAL FINDINGS 266
REFERENCES 272
11 UNIVARIATE DYNAMIC INTENSITY MODELS 273
11.1 THE AUTOREGRESSIVE CONDITIONAL INTENSITY MODEL 274 11.2 GENERALIZED
ACI MODELS 278
11.2.1 LONG-MEMORY ACI MODELS 279
11.2.2 AN AFT-TYPE ACI MODEL 279
11.2.3 A COMPONENT ACI MODEL 281
11.2.4 EMPIRICAL APPLICATION 282
11.3 HAWKES PROCESSES 284
REFERENCES 289
12 MULTIVARIATE DYNAMIC INTENSITY MODELS 291
12.1 MULTIVARIATE ACI MODELS 291
12.2 APPLICATIONS OF MULTIVARIATE ACI MODELS 296
12.2.1 ESTIMATING SIMULTANEOUS BUY/SELL INTENSITIES 296 12.2.2 MODELLING
ORDER AGGRESSIVENESS 302
12.3 MULTIVARIATE HAWKES PROCESSES 307
12.3.1 STATISTICAL PROPERTIES 307
12.3.2 ESTIMATING MULTIVARIATE PRICE INTENSITIES 309
12.4 STOCHASTIC CONDITIONAL INTENSITY PROCESSES 312
12.4.1 MODEL STRUCTURE 312
12.4.2 PROBABILISTIC PROPERTIES OF THE SCI MODEL 317
12.4.3 STATISTICAL INFERENCE 322
12.5 SCI MODELLING OF MULTIVARIATE PRICE INTENSITIES 326
REFERENCES 330
IMAGE 5
CONTENTS XIII
13 AUTOREGRESSIVE DISCRETE PROCESSES AND QUOTE DYNAMICS 331 13.1
UNIVARIATE DYNAMIC COUNT DATA MODELS 332
13.1.1 AUTOREGRESSIVE CONDITIONAL POISSON MODELS 332 13.1.2 EXTENDED ACP
MODELS 334
13.1.3 EMPIRICAL ILLUSTRATIONS 337
13.2 MULTIVARIATE ACP MODELS 338
13.3 A SIMPLE MODEL FOR TRANSACTION PRICE DYNAMICS 340 13.4
AUTOREGRESSIVE CONDITIONAL MULTINOMIAL MODELS 342 13.5 AUTOREGRESSIVE
MODELS FOR INTEGER-VALUED VARIABLES 346 13.6 MODELLING ASK AND BID QUOTE
DYNAMICS 350
13.6.1 COINTEGRATION MODELS FOR ASK AND BID QUOTES 350 13.6.2
DECOMPOSING QUOTE DYNAMICS 352
REFERENCES 354
A IMPORTANT DISTRIBUTIONS FOR POSITIVE-VALUED DATA 357
INDEX 365 |
| any_adam_object | 1 |
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| dewey-ones | 332 - Financial economics |
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| dewey-search | 332.64015195 |
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| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
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| indexdate | 2024-07-21T00:07:44Z |
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| spelling | Hautsch, Nikolaus 1972- Verfasser (DE-588)132371308 aut Econometrics of financial high-frequency data Nikolaus Hautsch Berlin [u.a.] Springer Berlin 2012 XIII, 371 S. graph. Darst. 235 mm x 155 mm txt rdacontent n rdamedia nc rdacarrier Teilw. zugl.: Konstanz, Univ., Diss., 2004 u.d.T.: Hautsch, Nikolaus: Modelling irregularly spaced financial data Volatilität (DE-588)4268390-7 gnd rswk-swf Börsenhandel (DE-588)4274168-3 gnd rswk-swf Ökonometrisches Modell (DE-588)4043212-9 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Börsenhandel (DE-588)4274168-3 s Volatilität (DE-588)4268390-7 s Ökonometrisches Modell (DE-588)4043212-9 s DE-604 X:MVB text/html http://deposit.dnb.de/cgi-bin/dokserv?id=3826577&prov=M&dok_var=1&dok_ext=htm Inhaltstext DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=024395083&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Hautsch, Nikolaus 1972- Econometrics of financial high-frequency data Volatilität (DE-588)4268390-7 gnd Börsenhandel (DE-588)4274168-3 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd |
| subject_GND | (DE-588)4268390-7 (DE-588)4274168-3 (DE-588)4043212-9 (DE-588)4113937-9 |
| title | Econometrics of financial high-frequency data |
| title_auth | Econometrics of financial high-frequency data |
| title_exact_search | Econometrics of financial high-frequency data |
| title_full | Econometrics of financial high-frequency data Nikolaus Hautsch |
| title_fullStr | Econometrics of financial high-frequency data Nikolaus Hautsch |
| title_full_unstemmed | Econometrics of financial high-frequency data Nikolaus Hautsch |
| title_short | Econometrics of financial high-frequency data |
| title_sort | econometrics of financial high frequency data |
| topic | Volatilität (DE-588)4268390-7 gnd Börsenhandel (DE-588)4274168-3 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd |
| topic_facet | Volatilität Börsenhandel Ökonometrisches Modell Hochschulschrift |
| url | http://deposit.dnb.de/cgi-bin/dokserv?id=3826577&prov=M&dok_var=1&dok_ext=htm http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=024395083&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT hautschnikolaus econometricsoffinancialhighfrequencydata |