دسترسی همگانی(OPAC) کتابخانه موسسه آموزش عالی بینالود

High-frequency financial econometrics / / Aït-Sahalia ، Yacine.، نویسنده
نوع مدرک:متون چاپی
سرشناسهAït-Sahalia ، Yacine.، نویسنده
شماره بازیابی :HG106 ‭.A3873 2014
عنوان :High-frequency financial econometrics /
تکرار نام مولف :؛Yacine Aït-Sahalia and Jean Jacod.
صفحه شمار:xxiv, 659 pages
ویژگی :illustrations
ابعاد :24 cm
شابک/شاپا9780691161433 (hardback)
یادداشتIncludes bibliographical references (pages 633-656) and index.
شناسه افزوده :Jacod ، Jean.
موضوع‌ها :اصفا
FinanceEconometric models. ؛ Econometrics. ؛ BUSINESS & ECONOMICS / Econometrics. ؛ BUSINESS & ECONOMICS / Finance. ؛ BUSINESS & ECONOMICS / Economics / Theory.
چکیده :"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"--
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زبان مدرک :English

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