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    High-Frequency Financial Econometrics

    High-Frequency Financial Econometrics

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    Bog E-bog
    • Format
    • Bog, hardback
    • Engelsk

    Beskrivelse

    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 Ait-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. Ait-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. Ait-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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  • Vægt1077 g
    • coffee cup img
    10 cm
    book img
    15,2 cm
    23,5 cm

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    Equation Estimation theory Mathematical optimization Statistical hypothesis testing Inference Central limit theorem Law of large numbers Nonparametric statistics Addition Dimension Quantity Probability Absolute value Confidence interval Discretization Continuous function Market microstructure Integer Stochastic process Asymptotic analysis Quadratic variation Lebesgue measure Probability measure Convergence of random variables High frequency Semimartingale Theorem Parameter Approximation Derivative Rate of convergence Diffusion process Random variable Normal distribution Identifiability Time series Stochastic volatility Fisher-Information Convolution theorem Calculation Variance Standard deviation Brownian motion Estimation Statistic Randomness Estimator Probability space Expected value Null hypothesis Asymptote Coefficient Almost surely Conditional variance Delta Method Degeneracy (mathematics) Consistent Estimator Infimum and supremum Indicator function Martingale (probability theory) Parametric Model Independent and identically distributed random variables summation Test Statistic Variable (mathematics) Partial derivative Two-dimensional space Subset Scientific notation Special case
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