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Econometrics of Financial High-Frequency Data
Language: en
Pages: 381
Authors: Nikolaus Hautsch
Categories: Business & Economics
Type: BOOK - Published: 2011-10-12 - Publisher: Springer Science & Business Media

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The availability of financial data recorded on high-frequency level has inspired a research area which over the last decade emerged to a major area in econometr
High-Frequency Financial Econometrics
Language: en
Pages: 683
Authors: Yacine Aït-Sahalia
Categories: Business & Economics
Type: BOOK - Published: 2014-07-21 - Publisher: Princeton University Press

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A comprehensive introduction to the statistical and econometric methods for analyzing high-frequency financial data High-frequency trading is an algorithm-based
Econometric Forecasting and High-frequency Data Analysis
Language: en
Pages: 200
Authors: Roberto S. Mariano
Categories: Business & Economics
Type: BOOK - Published: 2008 - Publisher: World Scientific

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This important book consists of surveys of high-frequency financial data analysis and econometric forecasting, written by pioneers in these areas including Nobe
Handbook of Modeling High-Frequency Data in Finance
Language: en
Pages: 468
Authors: Frederi G. Viens
Categories: Business & Economics
Type: BOOK - Published: 2011-12-20 - Publisher: John Wiley & Sons

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CUTTING-EDGE DEVELOPMENTS IN HIGH-FREQUENCY FINANCIAL ECONOMETRICS In recent years, the availability of high-frequency data and advances in computing have allow
An Introduction to High-Frequency Finance
Language: en
Pages: 411
Authors: Ramazan Gençay
Categories: Business & Economics
Type: BOOK - Published: 2001-05-29 - Publisher: Elsevier

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Liquid markets generate hundreds or thousands of ticks (the minimum change in price a security can have, either up or down) every business day. Data vendors suc