High-Frequency Financial Econometrics

0 valoración promedio
( 0 valoraciones por Goodreads )
 
9780691161433: High-Frequency Financial Econometrics

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.

"Sinopsis" puede pertenecer a otra edición de este libro.

From the Inside Flap:


"An important and timely work by two of the leading experts in high-frequency data. Aït-Sahalia and Jacod take readers to the very forefront of this rapidly evolving area. They cover both the practical side of financial data and the mathematical theory of stochastic processes, and show how to connect the two. High-Frequency Financial Econometrics is a must-read for academics and practitioners alike."--Per Mykland, University of Chicago


"This comprehensive and accessible book provides a valuable introduction to the recently developed tools for modeling and inference based on very high-frequency financial data. A wonderful achievement, High-Frequency Financial Econometrics is destined to become a classic."--Torben G. Andersen, Northwestern University


"This book is simply breathtaking. High-Frequency Financial Econometrics is a serious scholarly contribution that, wonderfully, will also be of great interest to practitioners."--Francis X. Diebold, coauthor of Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach


From the Inside Flap:

"This comprehensive and accessible book provides a valuable introduction to the recently developed tools for modeling and inference based on very high-frequency financial data. A wonderful achievement, High-Frequency Financial Econometrics is destined to become a classic."--Torben G. Andersen, Northwestern University

"This book is simply breathtaking. High-Frequency Financial Econometrics is a serious scholarly contribution that, wonderfully, will also be of great interest to practitioners."--Francis X. Diebold, coauthor of Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach

"Sobre este título" puede pertenecer a otra edición de este libro.

Los mejores resultados en AbeBooks

1.

Yacine A‹t-sahalia
ISBN 10: 0691161437 ISBN 13: 9780691161433
Nuevos Cantidad: 3
Librería
Books_Universe
(Sugarland, TX, Estados Unidos de America)
Valoración
[?]

Descripción Estado de conservación: New. Brand New. US Edition Book. We do not ship to Military Addresses. Fast Shipping with Order Tracking. For Standard Shipping 7-8 business days & Expedite Shipping 4-6 business days, after shipping. Nº de ref. de la librería 0691161437-RMX

Más información sobre esta librería | Hacer una pregunta a la librería

Comprar nuevo
EUR 33,18
Convertir moneda

Añadir al carrito

Gastos de envío: GRATIS
A Estados Unidos de America
Destinos, gastos y plazos de envío

2.

Yacine Aït-Sahalia; Jean Jacod
Editorial: Princeton University Press (2014)
ISBN 10: 0691161437 ISBN 13: 9780691161433
Nuevos Tapa dura Primera edición Cantidad: 1
Librería
Irish Booksellers
(Rumford, ME, Estados Unidos de America)
Valoración
[?]

Descripción Princeton University Press, 2014. Hardcover. Estado de conservación: New. book. Nº de ref. de la librería M0691161437

Más información sobre esta librería | Hacer una pregunta a la librería

Comprar nuevo
EUR 33,18
Convertir moneda

Añadir al carrito

Gastos de envío: GRATIS
A Estados Unidos de America
Destinos, gastos y plazos de envío

3.

Yacine Aït-Sahalia; Jean Jacod
ISBN 10: 0691161437 ISBN 13: 9780691161433
Nuevos Cantidad: 1
Librería
GreatBookPrices
(Columbia, MD, Estados Unidos de America)
Valoración
[?]

Descripción Estado de conservación: New. Nº de ref. de la librería 20349690-n

Más información sobre esta librería | Hacer una pregunta a la librería

Comprar nuevo
EUR 36,00
Convertir moneda

Añadir al carrito

Gastos de envío: EUR 2,24
A Estados Unidos de America
Destinos, gastos y plazos de envío

4.

Yacine Ait-Sahalia, Jean Jacod
Editorial: Princeton University Press, United States (2014)
ISBN 10: 0691161437 ISBN 13: 9780691161433
Nuevos Tapa dura Cantidad: 10
Librería
The Book Depository
(London, Reino Unido)
Valoración
[?]

Descripción Princeton University Press, United States, 2014. Hardback. Estado de conservación: New. Language: English . Brand New Book. 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 Ait-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. Ait-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.Ait-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. Nº de ref. de la librería AAU9780691161433

Más información sobre esta librería | Hacer una pregunta a la librería

Comprar nuevo
EUR 40,26
Convertir moneda

Añadir al carrito

Gastos de envío: GRATIS
De Reino Unido a Estados Unidos de America
Destinos, gastos y plazos de envío

5.

A?t-Sahalia, Yacine, Jacod, Jean
Editorial: Princeton University Press (2014)
ISBN 10: 0691161437 ISBN 13: 9780691161433
Nuevos Tapa dura Cantidad: 19
Librería
Valoración
[?]

Descripción Princeton University Press, 2014. Estado de conservación: New. High-frequency trading is an algorithm-based computerized trading practice that allows firms to trade stocks in milliseconds. This book introduces readers to these emerging methods and tools of analysis. Num Pages: 688 pages, 35 line illus. 3 tables. BIC Classification: KCA; KCH; KFF. Category: (P) Professional & Vocational; (U) Tertiary Education (US: College). Dimension: 242 x 157 x 42. Weight in Grams: 1086. . 2014. Hardcover. . . . . . Nº de ref. de la librería V9780691161433

Más información sobre esta librería | Hacer una pregunta a la librería

Comprar nuevo
EUR 42,81
Convertir moneda

Añadir al carrito

Gastos de envío: GRATIS
De Irlanda a Estados Unidos de America
Destinos, gastos y plazos de envío

6.

Yacine Ait-Sahalia, Jean Jacod
Editorial: Princeton University Press, United States (2014)
ISBN 10: 0691161437 ISBN 13: 9780691161433
Nuevos Tapa dura Cantidad: 10
Librería
The Book Depository US
(London, Reino Unido)
Valoración
[?]

Descripción Princeton University Press, United States, 2014. Hardback. Estado de conservación: New. Language: English . Brand New Book. 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 Ait-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. Ait-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. Ait-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. Nº de ref. de la librería AAU9780691161433

Más información sobre esta librería | Hacer una pregunta a la librería

Comprar nuevo
EUR 43,54
Convertir moneda

Añadir al carrito

Gastos de envío: GRATIS
De Reino Unido a Estados Unidos de America
Destinos, gastos y plazos de envío

7.

Ait-Sahalia, Yacine
Editorial: Princeton University Press (2014)
ISBN 10: 0691161437 ISBN 13: 9780691161433
Nuevos Cantidad: 19
Librería
Books2Anywhere
(Fairford, GLOS, Reino Unido)
Valoración
[?]

Descripción Princeton University Press, 2014. HRD. Estado de conservación: New. New Book. Shipped from UK in 4 to 14 days. Established seller since 2000. Nº de ref. de la librería BB-9780691161433

Más información sobre esta librería | Hacer una pregunta a la librería

Comprar nuevo
EUR 34,51
Convertir moneda

Añadir al carrito

Gastos de envío: EUR 10,11
De Reino Unido a Estados Unidos de America
Destinos, gastos y plazos de envío

8.

Yacine AÃ t-Sahalia
Editorial: Princeton University Press
ISBN 10: 0691161437 ISBN 13: 9780691161433
Nuevos Tapa dura Cantidad: 19
Librería
THE SAINT BOOKSTORE
(Southport, Reino Unido)
Valoración
[?]

Descripción Princeton University Press. Hardcover. Estado de conservación: New. New copy - Usually dispatched within 2 working days. Nº de ref. de la librería B9780691161433

Más información sobre esta librería | Hacer una pregunta a la librería

Comprar nuevo
EUR 38,23
Convertir moneda

Añadir al carrito

Gastos de envío: EUR 7,80
De Reino Unido a Estados Unidos de America
Destinos, gastos y plazos de envío

9.

Aït-Sahalia, Yacine, Jacod, Jean
Editorial: Princeton University Press
ISBN 10: 0691161437 ISBN 13: 9780691161433
Nuevos Tapa dura Cantidad: 19
Librería
Kennys Bookstore
(Olney, MD, Estados Unidos de America)
Valoración
[?]

Descripción Princeton University Press. Estado de conservación: New. High-frequency trading is an algorithm-based computerized trading practice that allows firms to trade stocks in milliseconds. This book introduces readers to these emerging methods and tools of analysis. Num Pages: 688 pages, 35 line illus. 3 tables. BIC Classification: KCA; KCH; KFF. Category: (P) Professional & Vocational; (U) Tertiary Education (US: College). Dimension: 242 x 157 x 42. Weight in Grams: 1086. . 2014. Hardcover. . . . . Books ship from the US and Ireland. Nº de ref. de la librería V9780691161433

Más información sobre esta librería | Hacer una pregunta a la librería

Comprar nuevo
EUR 46,29
Convertir moneda

Añadir al carrito

Gastos de envío: GRATIS
A Estados Unidos de America
Destinos, gastos y plazos de envío

10.

Yacine Ait-Sahalia, Jean Jacod
Editorial: Princeton University Press 2014-07-21 (2014)
ISBN 10: 0691161437 ISBN 13: 9780691161433
Nuevos Cantidad: 5
Librería
Chiron Media
(Wallingford, Reino Unido)
Valoración
[?]

Descripción Princeton University Press 2014-07-21, 2014. Estado de conservación: New. Brand new book, sourced directly from publisher. Dispatch time is 24-48 hours from our warehouse. Book will be sent in robust, secure packaging to ensure it reaches you securely. Nº de ref. de la librería NU-GRD-05117665

Más información sobre esta librería | Hacer una pregunta a la librería

Comprar nuevo
EUR 44,63
Convertir moneda

Añadir al carrito

Gastos de envío: EUR 3,36
De Reino Unido a Estados Unidos de America
Destinos, gastos y plazos de envío

Existen otras copia(s) de este libro

Ver todos los resultados de su búsqueda