Handbook of Modeling High-Frequency Data in Finance

Handbook of Modeling High-Frequency Data in Finance

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qThis exciting volume presents cutting-edge developments in high frequency financial econometrics, spanning a diverse range of topics: stochastic modeling, statistical analysis of high-frequency data, models in econophysics, applications to the analysis of high-frequency data, systems and complex adaptive systems in finance, among a host of others. Written, in part, on the outgrowth of several recent conferences in the subject matter and in concert with over two-dozen experts in the field, the main purpose of the handbook is to mathematically illustrate the fundamental implementation of high-frequency models in the banking and financial industries, both at home and abroad, through use of real-world, time-sensitive applications. By using examples derived from consulting projects, current research and course instruction, each chapter in the book offers a systematic understanding of the recent advances in high-frequency modeling related to real-world situations. Every effort is made to present a balanced treatment between theory and practice, as well as to showcase how accuracy and efficiency in implementing various methods can be used as indispensable tools. To by-pass tedious computation, software illustrations are presented in an assortment of packages, ranging from R, C++, EXCEL-VBA, Minitab, to JMP/SAS. Shedding light on some of the most relevant open questions in the analysis of high-frequency data, this volume will be of interest to graduate students, researchers and industry professionalsq--The methods presented herein may be easily extended to any trading strategy based on rare events detection. ... The delimitation between rare events and suspicious events is rather thin and additional market data regarding the origination ofanbsp;...

Title:Handbook of Modeling High-Frequency Data in Finance
Author: Frederi G. Viens, Maria C. Mariani, Ionut Florescu
Publisher:John Wiley & Sons - 2011-12-20

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