Handbook of modeling high-frequency data in finance:
"The book offers a systematic understanding of the recent advances in high-frequency modeling related to real-world situations"--
Saved in:
| Format: | Book |
|---|---|
| Language: | English |
| Published: |
Hoboken [u.a.]
Wiley
2012
|
| Series: | Wiley handbooks in financial engineering and econometrics
4 |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Summary: | "The book offers a systematic understanding of the recent advances in high-frequency modeling related to real-world situations"-- |
| Item Description: | Includes bibliographical references and index |
| Physical Description: | XIV, 441 S. graph. Darst. 25 cm |
| ISBN: | 9780470876886 |
Staff View
MARC
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| 020 | |a 9780470876886 |9 978-0-470-87688-6 | ||
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| 245 | 1 | 0 | |a Handbook of modeling high-frequency data in finance |c ed. by Frederi G. Viens ... |
| 264 | 1 | |a Hoboken [u.a.] |b Wiley |c 2012 | |
| 300 | |a XIV, 441 S. |b graph. Darst. |c 25 cm | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 1 | |a Wiley handbooks in financial engineering and econometrics |v 4 | |
| 500 | |a Includes bibliographical references and index | ||
| 520 | |a "The book offers a systematic understanding of the recent advances in high-frequency modeling related to real-world situations"-- | ||
| 650 | 4 | |a Finance / Econometric models | |
| 650 | 7 | |a BUSINESS & ECONOMICS / Finance |2 bisacsh | |
| 650 | 4 | |a Wirtschaft | |
| 650 | 4 | |a Ökonometrisches Modell | |
| 650 | 0 | 7 | |a Mathematisches Modell |0 (DE-588)4114528-8 |2 gnd |9 rswk-swf |
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| 689 | 0 | 1 | |a Mathematisches Modell |0 (DE-588)4114528-8 |D s |
| 689 | 0 | |C b |5 DE-604 | |
| 700 | 1 | |a Viens, Frederi G. |e Sonstige |4 oth | |
| 830 | 0 | |a Wiley handbooks in financial engineering and econometrics |v 4 |w (DE-604)BV040383401 |9 4 | |
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| 999 | |a oai:aleph.bib-bvb.de:BVB01-024666375 | ||
Record in the Search Index
| _version_ | 1804148735786090496 |
|---|---|
| adam_text | Contents
Preface
xi
Contributors
xiii
Analysis of Empirical Data
Estimation of NIG and VG Models for
high Frequency Financial Data
Jose
E.
Figueroa-López,
Steven
R.
Lancette, Kiseop Lee, and
1.1
Introduction,
3
1.2
The Statistical Models,
6
1.3
Parametric Estimation Methods,
9
1.4
Finite-Sample Performance via Simulations,
14
1.5
Empirical Results,
18
1.6
Conclusion,
22
References,
24
a study of persistence of price
movement using high frequency
Financial Data
27
Dragos
Bozdog,
lonuţ
Florescu, KhaMoun Khctshűnah,
and Jim
Wang
2.1
Introduction,
27
2.2
Methodology,
29
2.3
Results,
35
Contents
2.4
Rare Events Distribution,
41
2.5
Conclusions,
44
References,
45
3j
Using Boosting for Financial
Analysis and Trading
Germán
Creamer
3.1
Introduction,
47
3.2
Methods,
48
3.3
Performance Evaluation,
53
3.4
Earnings Prediction and Algorithmic Trading,
60
3.5
Final Comments and Conclusions,
66
References,
69
47
4
j
Impact of Correlation Fluctuations
ON SECURITIZED STRUCTURES
75
Eric
Hillebrand,
Ámbar
N.
Sengupta, andJunyueXu
4.1
Introduction,
75
4.2
Description of the Products and Models,
77
4.3
Impact of Dynamics of Default Correlation on
Low-Frequency Tranches,
79
4.4
Impact of Dynamics of Default Correlation on
High-Frequency Tranches3
87
4.5
Conclusion,
92
References,
94
5
| CONSTRUCTION OF VOLATILITY INDICES
Using A Multinomial Tree
Approximation method
97
Dragos
Bozdogf
Ionuţ
Floresça,
Khaldoun
Khashtmab,
andHongwei Qtu
5.1
Introduction,
97
5.2 New
Methodology,
99
5.3
Results and Discussions,
101
5.4
Summary and Conclusion}
110
References,
115
Contents
in lIHľľl lliDI
III
lili
—
^—^Ш
Long Range Dependence Models
117
Long Correlations applied to the
study of Memory Effects in High
Frequency (TICK) data, the Dow Jones
index, and International Indices
119
Ernest
Barany
and
Maria Pia Beccar
Varela
6.1
Introduction,
119
6.2
Methods Used for Data Analysis,
122
6.3
Data,
128
6.4
Results and Discussions,
132
6.5
Conclusion,
150
References,
160
Risk Forecasting with GARCH, Skewed
t
DISTRIBUTIONS, AND MULTIPLE
TlMESCALES
163
AlecN. Kercheval and Yang Liu
7.1
Introduction,
163
7.2
The Skewed
t
Distributions,
165
7.3
Risk Forecasts on a Fixed Timescale,
176
7.4
Multiple Timescale Forecasts,
185
7.5
Backtesting,
188
7.6
Further Analysis:
Long-Term
GARCH and Comparisons
using Simulated Data,
203
7.7
Conclusion,
216
References,
217
Parameter Estimation and calibration
for Long-Memory stochastic
Volatility models
219
Alexandra Chronopoulmi
8.1
Introduction,
219
8.2
Statistical Inference Under the LMSV Model,
222
8.3
Simulation Results,
227
8.4
Application to the S&P Index,
228
viii Contents
8.5
Conclusion,
229
References,
230
ш
Analytical Results
233
9
і
A Market
Microstructure
Model of
Ultra High Frequency Trading
235
Carlos A. Ulibarri and Peter C.
Anselmo
9.1
Introduction,
235
9-2
Microstructural
Model,
237
9.3
Static Comparisons,
239
9.4
Questions for Future Research,
241
References,
242
IO!
Multivariate Volatility Estimation
with High Frequency Data Using
Fourier method
243
.Maria Elvira
Mancino
and
Simona Sanfelici
10.1
Introduction,
243
10.2
Fourier Estimator of Multivariate Spot Volatility,
246
10.3
Fourier Estimator of Integrated Volatility in the Presence of
Microstructure
Noise,
252
10.4
Fourier Estimator of Integrated Covariance in the Presence
of Microstracture Noise,
263
10.5
Forecasting Properties of Fourier Estimator,
272
10.6
Application: Asset Allocation,
286
References,
290
і
11
The Retirement Problem
295
Cristian Păsarka
11.1
Introduction,
295
11.2
The Market Model,
296
11.3
Portfolio and Wealth Processes,
297
11.4
Utility Function,
299
11.5
The Optimization Problem in the Case
жџ,т
s
0, 299
11.6
Duality Approach,
300
11.7
Infinite Horizon Case,
305
References,
324
Contents
¡x
12|
Stochastic Differential Equations
and Levy Models with Applications to
High Frequency Data
327
Ernest
Barany
and Maria
Pia Beccar
Var
eh
12.1
Solutions
to Stochastic Differential Equations,
327
12.2
Stable Distributions,
334
12.3
The Levy Flight Models,
336
12.4
Numerical Simulations and Levy Models: Applications to
Models Arising in Financial Indices and High Frequency
Data,
340
12.5
Discussion and Conclusions,
345
References,
346
¡
13!
solutions to Integro-Differential
Parabolic Problem Arising on
Financial Mathematics
347
Maria C.
Mariani Marc
Salas,
and Indranil SenGupta
13.1
Introduction,
347
13.2
Method of Upper and Lower Solutions,
351
13.3
Another Iterative Method,
364
13.4
Integro-Differential Equations in a Levy Market,
375
References,
380
1
14!
Existence of solutions for Financial
Models with Transaction costs and
stochastic Volatility
383
Maria C.
Mariani
Emmanuel
К.
Ncheugtùra,
and
Indranil
SenGupta
14.1 Model
with Transaction Costs,
383
14.2
Review of Functional Analysis,
386
14.3
Solution of the Problem
(14.2)
and
(14.3)
in Sobolev
Spaces,
391
14.4
Model with Transaction Costs and Stochastic Volatility,
400
14.5
The Analysis of the Resulting Partial Differential
Equation,
408
References,
418
Index
421
|
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| dewey-ones | 332 - Financial economics |
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| dewey-sort | 3332.01 45195 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Book |
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| genre | (DE-588)4143413-4 Aufsatzsammlung gnd-content |
| genre_facet | Aufsatzsammlung |
| id | DE-604.BV039806001 |
| illustrated | Illustrated |
| indexdate | 2024-07-10T00:11:52Z |
| institution | BVB |
| isbn | 9780470876886 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-024666375 |
| oclc_num | 724644259 |
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| physical | XIV, 441 S. graph. Darst. 25 cm |
| publishDate | 2012 |
| publishDateSearch | 2012 |
| publishDateSort | 2012 |
| publisher | Wiley |
| record_format | marc |
| series | Wiley handbooks in financial engineering and econometrics |
| series2 | Wiley handbooks in financial engineering and econometrics |
| spelling | Handbook of modeling high-frequency data in finance ed. by Frederi G. Viens ... Hoboken [u.a.] Wiley 2012 XIV, 441 S. graph. Darst. 25 cm txt rdacontent n rdamedia nc rdacarrier Wiley handbooks in financial engineering and econometrics 4 Includes bibliographical references and index "The book offers a systematic understanding of the recent advances in high-frequency modeling related to real-world situations"-- Finance / Econometric models BUSINESS & ECONOMICS / Finance bisacsh Wirtschaft Ökonometrisches Modell Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content Finanzmathematik (DE-588)4017195-4 s Mathematisches Modell (DE-588)4114528-8 s b DE-604 Viens, Frederi G. Sonstige oth Wiley handbooks in financial engineering and econometrics 4 (DE-604)BV040383401 4 Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=024666375&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Handbook of modeling high-frequency data in finance Wiley handbooks in financial engineering and econometrics Finance / Econometric models BUSINESS & ECONOMICS / Finance bisacsh Wirtschaft Ökonometrisches Modell Mathematisches Modell (DE-588)4114528-8 gnd Finanzmathematik (DE-588)4017195-4 gnd |
| subject_GND | (DE-588)4114528-8 (DE-588)4017195-4 (DE-588)4143413-4 |
| title | Handbook of modeling high-frequency data in finance |
| title_auth | Handbook of modeling high-frequency data in finance |
| title_exact_search | Handbook of modeling high-frequency data in finance |
| title_full | Handbook of modeling high-frequency data in finance ed. by Frederi G. Viens ... |
| title_fullStr | Handbook of modeling high-frequency data in finance ed. by Frederi G. Viens ... |
| title_full_unstemmed | Handbook of modeling high-frequency data in finance ed. by Frederi G. Viens ... |
| title_short | Handbook of modeling high-frequency data in finance |
| title_sort | handbook of modeling high frequency data in finance |
| topic | Finance / Econometric models BUSINESS & ECONOMICS / Finance bisacsh Wirtschaft Ökonometrisches Modell Mathematisches Modell (DE-588)4114528-8 gnd Finanzmathematik (DE-588)4017195-4 gnd |
| topic_facet | Finance / Econometric models BUSINESS & ECONOMICS / Finance Wirtschaft Ökonometrisches Modell Mathematisches Modell Finanzmathematik Aufsatzsammlung |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=024666375&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV040383401 |
| work_keys_str_mv | AT viensfrederig handbookofmodelinghighfrequencydatainfinance |