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Author: Lan Zhang
Publisher:
ISBN:
Category :
Languages : en
Pages : 30
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Book Description
It is a common practice in finance to estimate volatility from the sum of frequently-sampled squared returns. However market microstructure poses challenges to this estimation approach, as evidenced by recent empirical studies in finance. This work attempts to lay out theoretical grounds that reconcile continuous-time modeling and discrete-time samples. We propose an estimation approach that takes advantage of the rich sources in tick-by-tick data while preserving the continuous-time assumption on the underlying returns. Under our framework, it becomes clear why and where the usual' volatility estimator fails when the returns are sampled at the highest frequency.
Author: Lan Zhang
Publisher:
ISBN:
Category :
Languages : en
Pages : 30
Get Book Here
Book Description
It is a common practice in finance to estimate volatility from the sum of frequently-sampled squared returns. However market microstructure poses challenges to this estimation approach, as evidenced by recent empirical studies in finance. This work attempts to lay out theoretical grounds that reconcile continuous-time modeling and discrete-time samples. We propose an estimation approach that takes advantage of the rich sources in tick-by-tick data while preserving the continuous-time assumption on the underlying returns. Under our framework, it becomes clear why and where the usual' volatility estimator fails when the returns are sampled at the highest frequency.
Author: Jody Houser
Publisher: Titan Comics
ISBN: 1787733742
Category : Comics & Graphic Novels
Languages : en
Pages : 114
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Book Description
Eisner-nominated writer Jody Houser (‘Stranger Things’, ‘Supergirl’) and fan-favorite artist Roberta Ingranata (‘Witchblade’) once again join forces to tell a terrific, time-travelling tale of, not one, but TWO Time Lords! Brought together by fate (and a slightly paradox-sick TARDIS), the Thirteenth Doctor and the Tenth Doctor must work together to stop two deadly forces from taking over the Earth – all without causing time itself to implode! Featuring: Ryan, Yaz, Graham, the return of Martha Jones, Weeping Angels, Autons, and so much more… This is an adventure through time and space you won’t want to miss! “Delightfully quirky and very suspenseful.” – Women Write About Comics “Another Doctor Who story that could be on the screen!” – Geeks Worldwide Review
Author: A. G. Jones
Publisher: Gulf Professional Publishing
ISBN: 9780444516145
Category : Science
Languages : en
Pages : 522
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Book Description
Given the established nature of geoscientific knowledge of the Kaapvaal craton compared to the Slave craton, and given the exciting new interdisciplinary results coming from the Kaapvaal Project and from Slave craton studies, scientists working on both cratons were brought together in a workshop to compare and contrast the nature of these two cratons. Of the 54 papers presented at the workshop, 24 are included in this volume. There are clearly major similarities and differences between these two Archean cratons. The crust of both was predominantly formed in the Mesoarchean. Both contain crustal sections consisting of terranes of different ages welded together by Archean accretionary events. Both crustal sections are underlain by lithospheric mantle sections consisting of peridotites that experienced extensive partial melt extraction between 2.9 Ga and 3.2 Ga, but this is where the similarities between the cratons end. One of the most striking differences between the Slave and Kaapvaal cartons is the apparent seismic homogeneity of the Kaapvaal craton's SCLM whereas the Slave craton is seismically layered. The seismic layering in the centre of the craton correlates laterally and with depth with electrical layering and geochemical layering. Taken together, these differences suggest that SCLM formation was different for the two cratons, implying that the search for a single causative formation process is bound to fail. Reprinted from the journal Lithos Volume 71, numbers 2-4.
Author: Michael P. Clements
Publisher: Oxford University Press
ISBN: 0199875510
Category : Business & Economics
Languages : en
Pages : 732
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Book Description
This Handbook provides up-to-date coverage of both new and well-established fields in the sphere of economic forecasting. The chapters are written by world experts in their respective fields, and provide authoritative yet accessible accounts of the key concepts, subject matter, and techniques in a number of diverse but related areas. It covers the ways in which the availability of ever more plentiful data and computational power have been used in forecasting, in terms of the frequency of observations, the number of variables, and the use of multiple data vintages. Greater data availability has been coupled with developments in statistical theory and economic analysis to allow more elaborate and complicated models to be entertained; the volume provides explanations and critiques of these developments. These include factor models, DSGE models, restricted vector autoregressions, and non-linear models, as well as models for handling data observed at mixed frequencies, high-frequency data, multiple data vintages, methods for forecasting when there are structural breaks, and how breaks might be forecast. Also covered are areas which are less commonly associated with economic forecasting, such as climate change, health economics, long-horizon growth forecasting, and political elections. Econometric forecasting has important contributions to make in these areas along with how their developments inform the mainstream.
Author: Ritu Arora
Publisher: Springer
ISBN: 3319337424
Category : Computers
Languages : en
Pages : 328
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Book Description
This book provides an overview of the resources and research projects that are bringing Big Data and High Performance Computing (HPC) on converging tracks. It demystifies Big Data and HPC for the reader by covering the primary resources, middleware, applications, and tools that enable the usage of HPC platforms for Big Data management and processing.Through interesting use-cases from traditional and non-traditional HPC domains, the book highlights the most critical challenges related to Big Data processing and management, and shows ways to mitigate them using HPC resources. Unlike most books on Big Data, it covers a variety of alternatives to Hadoop, and explains the differences between HPC platforms and Hadoop.Written by professionals and researchers in a range of departments and fields, this book is designed for anyone studying Big Data and its future directions. Those studying HPC will also find the content valuable.
Author: Frédéric Abergel
Publisher: Springer Science & Business Media
ISBN: 8847017661
Category : Business & Economics
Languages : en
Pages : 316
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Book Description
The primary goal of the book is to present the ideas and research findings of active researchers from various communities (physicists, economists, mathematicians, financial engineers) working in the field of "Econophysics", who have undertaken the task of modelling and analyzing order-driven markets. Of primary interest in these studies are the mechanisms leading to the statistical regularities ("stylized facts") of price statistics. Results pertaining to other important issues such as market impact, the profitability of trading strategies, or mathematical models for microstructure effects, are also presented. Several leading researchers in these fields report on their recent work and also review the contemporary literature. Some historical perspectives, comments and debates on recent issues in Econophysics research are also included.
Author: Albert N. Shiryaev
Publisher: Springer Science & Business Media
ISBN: 0387283595
Category : Mathematics
Languages : en
Pages : 372
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Book Description
Since the pioneering work of Black, Scholes, and Merton in the field of financial mathematics, research has led to the rapid development of a substantial body of knowledge, with plenty of applications to the common functioning of the world’s financial institutions. Mathematics, as the language of science, has always played a role in the development of knowledge and technology. Presently, the high-tech character of modern business has increased the need for advanced methods, which rely to a large extent on mathematical techniques. It has become essential for the financial analyst to possess a high degree of proficiency in these mathematical techniques.
Author: Yacine Aït-Sahalia
Publisher: Princeton University Press
ISBN: 0691161437
Category : Business & Economics
Languages : en
Pages : 683
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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: John R. Birge
Publisher: Elsevier
ISBN: 9780080553252
Category : Business & Economics
Languages : en
Pages : 1026
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Book Description
The remarkable growth of financial markets over the past decades has been accompanied by an equally remarkable explosion in financial engineering, the interdisciplinary field focusing on applications of mathematical and statistical modeling and computational technology to problems in the financial services industry. The goals of financial engineering research are to develop empirically realistic stochastic models describing dynamics of financial risk variables, such as asset prices, foreign exchange rates, and interest rates, and to develop analytical, computational and statistical methods and tools to implement the models and employ them to design and evaluate financial products and processes to manage risk and to meet financial goals. This handbook describes the latest developments in this rapidly evolving field in the areas of modeling and pricing financial derivatives, building models of interest rates and credit risk, pricing and hedging in incomplete markets, risk management, and portfolio optimization. Leading researchers in each of these areas provide their perspective on the state of the art in terms of analysis, computation, and practical relevance. The authors describe essential results to date, fundamental methods and tools, as well as new views of the existing literature, opportunities, and challenges for future research.
Author: Nicola Salvati
Publisher: Springer Nature
ISBN: 3031166094
Category : Mathematics
Languages : en
Pages : 548
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Book Description
This book includes a wide selection of papers presented at the 50th Scientific Meeting of the Italian Statistical Society (SIS2021), held virtually on 21-25 June 2021. It covers a wide variety of subjects ranging from methodological and theoretical contributions to applied works and case studies, giving an excellent overview of the interests of the Italian statisticians and their international collaborations. Intended for researchers interested in theoretical and empirical issues, this volume provides interesting starting points for further research.
