Statistics for Diffusion Processes with Low and High-frequency Observations PDF Download
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Author: Jakub Chorowski
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Jakub Chorowski
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Bin Zhou
Publisher:
ISBN: 9781332259984
Category : Mathematics
Languages : en
Pages : 32
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Book Description
Excerpt from Estimating the Variance Parameter From Noisy High Frequency Financial Data Many financial data are now collected at an ultra-high frequency, such as tick-by-tick. However, increasing the observation frequency while keeping the time span of the observation fixed does not always help in estimating parameters. A different type of consistency, the consistency of a estimator as the observation frequency goes to infinity, becomes important in studying high frequency data. In addition to the consistency, the deviation of a financial time series from a continuous process is also increasingly significant as the observation frequency increases. This deviation is not negligible and causes another difficulty in estimating parameters. This paper concentrates on constructing estimators of variance parameter using contaminated observations; i.e., observations from a continuous process with deviation at time of observation. The consistencies of these estimators, as the observation frequency goes to infinity, are analyzed. Key Words: f-consistency; observation noise; quadratic estimator. About the Publisher Forgotten Books publishes hundreds of thousands of rare and classic books. Find more at www.forgottenbooks.com This book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully; any imperfections that remain are intentionally left to preserve the state of such historical works.
Author: Christiane Fuchs
Publisher: Springer Science & Business Media
ISBN: 3642259693
Category : Mathematics
Languages : en
Pages : 439
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Book Description
Diffusion processes are a promising instrument for realistically modelling the time-continuous evolution of phenomena not only in the natural sciences but also in finance and economics. Their mathematical theory, however, is challenging, and hence diffusion modelling is often carried out incorrectly, and the according statistical inference is considered almost exclusively by theoreticians. This book explains both topics in an illustrative way which also addresses practitioners. It provides a complete overview of the current state of research and presents important, novel insights. The theory is demonstrated using real data applications.
Author: Emilio Barucci
Publisher:
ISBN:
Category :
Languages : en
Pages : 7
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Author: Cai Zhu
Publisher:
ISBN:
Category : Diffusion
Languages : en
Pages : 94
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Author: Mathieu Kessler
Publisher: CRC Press
ISBN: 1439849765
Category : Mathematics
Languages : en
Pages : 507
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Book Description
The seventh volume in the SemStat series, Statistical Methods for Stochastic Differential Equations presents current research trends and recent developments in statistical methods for stochastic differential equations. Written to be accessible to both new students and seasoned researchers, each self-contained chapter starts with introductions to th
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: Christian L. Dunis
Publisher: John Wiley & Sons
ISBN:
Category : Business & Economics
Languages : en
Pages : 344
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Book Description
Nonlinear Modelling of High Frequency Financial Time Series Edited by Christian Dunis and Bin Zhou In the competitive and risky environment of today's financial markets, daily prices and models based upon low frequency price series data do not provide the level of accuracy required by traders and a growing number of risk managers. To improve results, more and more researchers and practitioners are turning to high frequency data. Nonlinear Modelling of High Frequency Financial Time Series presents the latest developments and views of leading international researchers and market practitioners, in modelling high frequency data in finance. Combining both nonlinear modelling and intraday data for financial markets, the editors provide a fascinating foray into this extremely popular discipline. This book evolves around four major themes. The first introductory section focuses on high frequency financial data. The second part examines the exact nature of the time series considered: several linearity tests are presented and applied and their modelling implications assessed. The third and fourth parts are dedicated to modelling and forecasting these financial time series.
Author: Tom Britton
Publisher: Springer Nature
ISBN: 3030309002
Category : Mathematics
Languages : en
Pages : 474
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Book Description
Focussing on stochastic models for the spread of infectious diseases in a human population, this book is the outcome of a two-week ICPAM/CIMPA school on "Stochastic models of epidemics" which took place in Ziguinchor, Senegal, December 5–16, 2015. The text is divided into four parts, each based on one of the courses given at the school: homogeneous models (Tom Britton and Etienne Pardoux), two-level mixing models (David Sirl and Frank Ball), epidemics on graphs (Viet Chi Tran), and statistics for epidemic models (Catherine Larédo). The CIMPA school was aimed at PhD students and Post Docs in the mathematical sciences. Parts (or all) of this book can be used as the basis for traditional or individual reading courses on the topic. For this reason, examples and exercises (some with solutions) are provided throughout.
Author: Jin-Chuan Duan
Publisher: Springer Science & Business Media
ISBN: 3642172547
Category : Business & Economics
Languages : en
Pages : 791
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Book Description
Any financial asset that is openly traded has a market price. Except for extreme market conditions, market price may be more or less than a “fair” value. Fair value is likely to be some complicated function of the current intrinsic value of tangible or intangible assets underlying the claim and our assessment of the characteristics of the underlying assets with respect to the expected rate of growth, future dividends, volatility, and other relevant market factors. Some of these factors that affect the price can be measured at the time of a transaction with reasonably high accuracy. Most factors, however, relate to expectations about the future and to subjective issues, such as current management, corporate policies and market environment, that could affect the future financial performance of the underlying assets. Models are thus needed to describe the stochastic factors and environment, and their implementations inevitably require computational finance tools.
