Recent Advances in Theory and Methods for the Analysis of High Dimensional and High Frequency Financial Data PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Recent Advances in Theory and Methods for the Analysis of High Dimensional and High Frequency Financial Data PDF full book. Access full book title Recent Advances in Theory and Methods for the Analysis of High Dimensional and High Frequency Financial Data by Norman R. Swanson. Download full books in PDF and EPUB format.
Author: Norman R. Swanson
Publisher: MDPI
ISBN: 303650852X
Category : Business & Economics
Languages : en
Pages : 196
Get Book
Book Description
Recently, considerable attention has been placed on the development and application of tools useful for the analysis of the high-dimensional and/or high-frequency datasets that now dominate the landscape. The purpose of this Special Issue is to collect both methodological and empirical papers that develop and utilize state-of-the-art econometric techniques for the analysis of such data.
Author: Norman R. Swanson
Publisher: MDPI
ISBN: 303650852X
Category : Business & Economics
Languages : en
Pages : 196
Get Book
Book Description
Recently, considerable attention has been placed on the development and application of tools useful for the analysis of the high-dimensional and/or high-frequency datasets that now dominate the landscape. The purpose of this Special Issue is to collect both methodological and empirical papers that develop and utilize state-of-the-art econometric techniques for the analysis of such data.
Author: Norman R. Swanson
Publisher:
ISBN: 9783036508535
Category :
Languages : en
Pages : 196
Get Book
Book Description
Recently, considerable attention has been placed on the development and application of tools useful for the analysis of the high-dimensional and/or high-frequency datasets that now dominate the landscape. The purpose of this Special Issue is to collect both methodological and empirical papers that develop and utilize state-of-the-art econometric techniques for the analysis of such data.
Author: Frederi G. Viens
Publisher: John Wiley & Sons
ISBN: 1118204565
Category : Business & Economics
Languages : en
Pages : 468
Get Book
Book Description
CUTTING-EDGE DEVELOPMENTS IN HIGH-FREQUENCY FINANCIAL ECONOMETRICS In recent years, the availability of high-frequency data and advances in computing have allowed financial practitioners to design systems that can handle and analyze this information. Handbook of Modeling High-Frequency Data in Finance addresses the many theoretical and practical questions raised by the nature and intrinsic properties of this data. A one-stop compilation of empirical and analytical research, this handbook explores data sampled with high-frequency finance in financial engineering, statistics, and the modern financial business arena. Every chapter uses real-world examples to present new, original, and relevant topics that relate to newly evolving discoveries in high-frequency finance, such as: Designing new methodology to discover elasticity and plasticity of price evolution Constructing microstructure simulation models Calculation of option prices in the presence of jumps and transaction costs Using boosting for financial analysis and trading The handbook motivates practitioners to apply high-frequency finance to real-world situations by including exclusive topics such as risk measurement and management, UHF data, microstructure, dynamic multi-period optimization, mortgage data models, hybrid Monte Carlo, retirement, trading systems and forecasting, pricing, and boosting. The diverse topics and viewpoints presented in each chapter ensure that readers are supplied with a wide treatment of practical methods. Handbook of Modeling High-Frequency Data in Finance is an essential reference for academics and practitioners in finance, business, and econometrics who work with high-frequency data in their everyday work. It also serves as a supplement for risk management and high-frequency finance courses at the upper-undergraduate and graduate levels.
Author: Stavros Degiannakis
Publisher: Springer
ISBN: 1137396490
Category : Business & Economics
Languages : en
Pages : 278
Get Book
Book Description
The global financial crisis has reopened discussion surrounding the use of appropriate theoretical financial frameworks to reflect the current economic climate. There is a need for more sophisticated analytical concepts which take into account current quantitative changes and unprecedented turbulence in the financial markets. This book provides a comprehensive guide to the quantitative analysis of high frequency financial data in the light of current events and contemporary issues, using the latest empirical research and theory. It highlights and explains the shortcomings of theoretical frameworks and provides an explanation of high-frequency theory, emphasising ways in which to critically apply this knowledge within a financial context. Modelling and Forecasting High Frequency Financial Data combines traditional and updated theories and applies them to real-world financial market situations. It will be a valuable and accessible resource for anyone wishing to understand quantitative analysis and modelling in current financial markets.
Author: Luc Bauwens
Publisher: Springer Science & Business Media
ISBN: 3790819921
Category : Business & Economics
Languages : en
Pages : 310
Get Book
Book Description
Shedding light on some of the most pressing open questions in the analysis of high frequency data, this volume presents cutting-edge developments in high frequency financial econometrics. Coverage spans a diverse range of topics, including market microstructure, tick-by-tick data, bond and foreign exchange markets, and large dimensional volatility modeling. The volume is of interest to graduate students, researchers, and industry professionals.
Author: Yacine Aït-Sahalia
Publisher: Princeton University Press
ISBN: 0691161437
Category : Business & Economics
Languages : en
Pages : 683
Get Book
Book Description
A comprehensive introduction to the statistical and econometric methods for analyzing high-frequency financial data 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.
Author: Jonathan Batten
Publisher: Emerald Group Publishing
ISBN: 1780526164
Category : Business & Economics
Languages : en
Pages : 446
Get Book
Book Description
Highlights research in derivatives modelling and markets in a post-crisis world across a number of dimensions or themes. This book addresses the following main areas: derivatives models and pricing, model application and performance backtesting, and new products and market features.
Author: Siska Noviaristanti
Publisher: Taylor & Francis
ISBN: 1000882608
Category : Business & Economics
Languages : en
Pages : 337
Get Book
Book Description
The book contains a selection of papers that were presented at the 3rd Conference in Managing Digital Industry, Technology and Entrepreneurship (3rd CoMDITE) with the theme: Sustainable Future: Trends, Strategies and Development. The Millennium Development Goals, continued as Sustainability Development Goals (SDGs), are effective instruments and have, in recent years, brought many positive changes in numerous countries around the world. Most notably, it has fundamentally changed our way of approaching the tangled set of challenges: States today undertake to achieve concrete development goals; transparency and accountability to citizens and the global public has become a matter of course; and cooperation between the political, economic and societal spheres is no longer questioned. However, in addition to the global pandemic situation it has challenged the business world to develop an outstanding strategy to face extreme uncertainty. Using digital technology and its advancement is believed to be one of the main keys for taking up this challenge. The 3rd Conference in Managing Digital Industry, Technology and Entrepreneurship (the 3rd CoMDITE) has brought forward discussions on implementation of digital technology in strategic, operation, finance, marketing, human resources management, and entrepreneurship around sustainable future issues. The Open Access version of this book, available at http://www.taylorfrancis.com, has been made available under a Creative Commons Attribution-Non Commercial-No Derivatives (CC-BY-NC-ND) 4.0 license. Funded by Telkom University, Indonesia.
Author: Longbing Cao
Publisher: Springer
ISBN: 3319950924
Category : Computers
Languages : en
Pages : 390
Get Book
Book Description
This book explores answers to the fundamental questions driving the research, innovation and practices of the latest revolution in scientific, technological and economic development: how does data science transform existing science, technology, industry, economy, profession and education? How does one remain competitive in the data science field? What is responsible for shaping the mindset and skillset of data scientists? Data Science Thinking paints a comprehensive picture of data science as a new scientific paradigm from the scientific evolution perspective, as data science thinking from the scientific-thinking perspective, as a trans-disciplinary science from the disciplinary perspective, and as a new profession and economy from the business perspective.
Author: Slawomir Koziel
Publisher: World Scientific
ISBN: 1800610769
Category : Technology & Engineering
Languages : en
Pages : 467
Get Book
Book Description
Contemporary high-frequency engineering design heavily relies on full-wave electromagnetic (EM) analysis. This is primarily due to its versatility and ability to account for phenomena that are important from the point of view of system performance. Unfortunately, versatility comes at the price of a high computational cost of accurate evaluation. Consequently, utilization of simulation models in the design processes is challenging although highly desirable. The aforementioned problems can be alleviated by means of surrogate modeling techniques, the most popular of which are data-driven models. Although a large variety of methods are available, they are all affected by the curse of dimensionality. This is especially pronounced in high-frequency electronics, where typical system responses are highly nonlinear. Construction of practically useful surrogates covering wide ranges of parameters and operating conditions is a considerable challenge.Surrogate Modeling for High-Frequency Design presents a selection of works representing recent advancements in surrogate modeling and their applications to high-frequency design. Some chapters provide a review of specific topics such as neural network modeling of microwave components, while others describe recent attempts to improve existing modeling methodologies. Furthermore, the book features numerous applications of surrogate modeling methodologies to design optimization and uncertainty quantification of antenna, microwave, and analog RF circuits.
