About this scholarly article

Handbook of Modeling High-Frequency Data in Finance (Viens/Handbook of High-Frequency Finance) || by Viens, Frederi G.; Mariani, Maria C.; Florescu, Ionuţ is a scholarly article available to read on EtoBox.

CUTTING-EDGE DEVELOPMENTS IN HIGH-FREQUENCY FINANCIAL ECONOMETRICS In recent years, the availability of high-frequency data and advances in computing have allowed financial practitioners to design systems that can handle and analyze this information. Handbook of Modeling High-Frequency Data in Finance addresses the many theoretical and practical questions raised by the nature and intrinsic properties of this data. A one-stop compilation of empirical and analytical research, this handbook explores data sampled with high-frequency finance in financial engineering, statistics, and the modern financial business arena. Every chapter uses real-world examples to present new, original, and relevant topics that relate to newly evolving discoveries in high-frequency finance, such as: Designing new methodology to discover elasticity and plasticity of price evolution Constructing microstructure simulation models Calculation of option prices in the presence of jumps and transaction costs Using boosting for financial analysis and trading The handbook motivates practitioners to apply high-frequency finance to real-world situations by including exclusive topics such as risk measurement and managem

Author

Viens, Frederi G.; Mariani, Maria C.; Florescu, Ionuţ

Publisher

John Wiley & Sons, Incorporated

Published

2011

Language

EN

ISBN

9786613332844