Coverart for item
The Resource High-Frequency Financial Econometrics, Yacine Aït-Sahalia and Jean Jacod

High-Frequency Financial Econometrics, Yacine Aït-Sahalia and Jean Jacod

Label
High-Frequency Financial Econometrics
Title
High-Frequency Financial Econometrics
Statement of responsibility
Yacine Aït-Sahalia and Jean Jacod
Creator
Contributor
Author
Subject
Language
eng
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 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"--
Assigning source
Provided by publisher
Cataloging source
EBLCP
Index
index present
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
High-Frequency Financial Econometrics, Yacine Aït-Sahalia and Jean Jacod
Label
High-Frequency Financial Econometrics, Yacine Aït-Sahalia and Jean Jacod
Link
http://www.jstor.org/stable/10.2307/j.ctt6wq07x
Publication
Related Contributor
Related Location
Related Agents
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Antecedent source
unknown
Bibliography note
Includes bibliographical references and index
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
From diffusions to semimartingales -- Data considerations -- Introduction to asymptotic theory: volatility estimation for a continuous process -- With jumps: an introduction to power variations -- High-frequency observations: identifiability and asymptotic efficiency -- Estimating integrated volatility: the base case with no noise and equidistant observations -- Volatility and microstructure noise -- Estimating spot volatility -- Volatility and irregularly spaced observations -- Testing for jumps -- Finer analysis of jumps: the degree of jump activity -- Finite or infinite activity for jumps? -- Is Brownian motion really necessary? -- Co-jumps -- A: Asymptotic results for power variations -- B: Miscellaneous proofs
http://library.link/vocab/cover_art
https://contentcafe2.btol.com/ContentCafe/Jacket.aspx?Return=1&Type=S&Value=9781400850327&userID=ebsco-test&password=ebsco-test
Dimensions
unknown
http://library.link/vocab/discovery_link
{'f': 'http://opac.lib.rpi.edu/record=b4341046'}
Extent
1 online resource (684 pages)
File format
unknown
Form of item
online
Isbn
9781400850327
Level of compression
unknown
Media category
computer
Media MARC source
rdamedia
Media type code
c
Quality assurance targets
not applicable
Reformatting quality
unknown
Sound
unknown sound
Specific material designation
remote

Library Locations

    • Folsom LibraryBorrow it
      110 8th St, Troy, NY, 12180, US
      42.729766 -73.682577
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