An Introduction to High-Frequency Finance
An Introduction to High-Frequency Finance

Author: Ramazan Gençay

Publisher: Elsevier

Published: 2001-05-29

Total Pages: 411

ISBN-13: 008049904X

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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 such as Reuters transmit more than 275,000 prices per day for foreign exchange spot rates alone. Thus, high-frequency data can be a fundamental object of study, as traders make decisions by observing high-frequency or tick-by-tick data. Yet most studies published in financial literature deal with low frequency, regularly spaced data. For a variety of reasons, high-frequency data are becoming a way for understanding market microstructure. This book discusses the best mathematical models and tools for dealing with such vast amounts of data.This book provides a framework for the analysis, modeling, and inference of high frequency financial time series. With particular emphasis on foreign exchange markets, as well as currency, interest rate, and bond futures markets, this unified view of high frequency time series methods investigates the price formation process and concludes by reviewing techniques for constructing systematic trading models for financial assets.

High-Frequency Financial Econometrics
High-Frequency Financial Econometrics

Author: Yacine Aït-Sahalia

Publisher: Princeton University Press

Published: 2014-07-21

Total Pages: 683

ISBN-13: 0691161437

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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 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.

Econometrics of Financial High-Frequency Data
Econometrics of Financial High-Frequency Data

Author: Nikolaus Hautsch

Publisher: Springer Science & Business Media

Published: 2011-10-12

Total Pages: 381

ISBN-13: 364221925X

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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 econometrics and statistics. The growing popularity of high-frequency econometrics is driven by technological progress in trading systems and an increasing importance of intraday trading, liquidity risk, optimal order placement as well as high-frequency volatility. This book provides a state-of-the art overview on the major approaches in high-frequency econometrics, including univariate and multivariate autoregressive conditional mean approaches for different types of high-frequency variables, intensity-based approaches for financial point processes and dynamic factor models. It discusses implementation details, provides insights into properties of high-frequency data as well as institutional settings and presents applications to volatility and liquidity estimation, order book modelling and market microstructure analysis.

Handbook of Financial Time Series
Handbook of Financial Time Series

Author: Torben Gustav Andersen

Publisher: Springer Science & Business Media

Published: 2009-04-21

Total Pages: 1045

ISBN-13: 3540712976

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The Handbook of Financial Time Series gives an up-to-date overview of the field and covers all relevant topics both from a statistical and an econometrical point of view. There are many fine contributions, and a preamble by Nobel Prize winner Robert F. Engle.

Handbook of Modeling High-Frequency Data in Finance
Handbook of Modeling High-Frequency Data in Finance

Author: Frederi G. Viens

Publisher: John Wiley & Sons

Published: 2011-12-20

Total Pages: 468

ISBN-13: 0470876883

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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 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 management, UHF data, microstructure, dynamic multi-period optimization, mortgage data models, hybrid Monte Carlo, retirement, trading systems and forecasting, pricing, and boosting. The diverse topics and viewpoints presented in each chapter ensure that readers are supplied with a wide treatment of practical methods. Handbook of Modeling High-Frequency Data in Finance is an essential reference for academics and practitioners in finance, business, and econometrics who work with high-frequency data in their everyday work. It also serves as a supplement for risk management and high-frequency finance courses at the upper-undergraduate and graduate levels.

Statistical Inference as Severe Testing
Statistical Inference as Severe Testing

Author: Deborah G. Mayo

Publisher: Cambridge University Press

Published: 2018-09-20

Total Pages: 503

ISBN-13: 1108563309

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Mounting failures of replication in social and biological sciences give a new urgency to critically appraising proposed reforms. This book pulls back the cover on disagreements between experts charged with restoring integrity to science. It denies two pervasive views of the role of probability in inference: to assign degrees of belief, and to control error rates in a long run. If statistical consumers are unaware of assumptions behind rival evidence reforms, they can't scrutinize the consequences that affect them (in personalized medicine, psychology, etc.). The book sets sail with a simple tool: if little has been done to rule out flaws in inferring a claim, then it has not passed a severe test. Many methods advocated by data experts do not stand up to severe scrutiny and are in tension with successful strategies for blocking or accounting for cherry picking and selective reporting. Through a series of excursions and exhibits, the philosophy and history of inductive inference come alive. Philosophical tools are put to work to solve problems about science and pseudoscience, induction and falsification.

Statistical Inference for Ergodic Diffusion Processes
Statistical Inference for Ergodic Diffusion Processes

Author: Yury A. Kutoyants

Publisher: Springer Science & Business Media

Published: 2013-03-09

Total Pages: 493

ISBN-13: 144713866X

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The first book in inference for stochastic processes from a statistical, rather than a probabilistic, perspective. It provides a systematic exposition of theoretical results from over ten years of mathematical literature and presents, for the first time in book form, many new techniques and approaches.

Ecological Inference
Ecological Inference

Author: Gary King

Publisher: Cambridge University Press

Published: 2004-09-13

Total Pages: 436

ISBN-13: 9780521542807

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Drawing upon the recent explosion of research in the field, a diverse group of scholars surveys the latest strategies for solving ecological inference problems, the process of trying to infer individual behavior from aggregate data. The uncertainties and information lost in aggregation make ecological inference one of the most difficult areas of statistical inference, but these inferences are required in many academic fields, as well as by legislatures and the Courts in redistricting, marketing research by business, and policy analysis by governments. This wide-ranging collection of essays offers many fresh and important contributions to the study of ecological inference.

The Microstructure of Financial Markets
The Microstructure of Financial Markets

Author: Frank de Jong

Publisher: Cambridge University Press

Published: 2009-05-14

Total Pages: 209

ISBN-13: 1139478443

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The analysis of the microstructure of financial markets has been one of the most important areas of research in finance and has allowed scholars and practitioners alike to have a much more sophisticated understanding of the dynamics of price formation in financial markets. Frank de Jong and Barbara Rindi provide an integrated graduate level textbook treatment of the theory and empirics of the subject, starting with a detailed description of the trading systems on stock exchanges and other markets and then turning to economic theory and asset pricing models. Special attention is paid to models explaining transaction costs, with a treatment of the measurement of these costs and the implications for the return on investment. The final chapters review recent developments in the academic literature. End-of-chapter exercises and downloadable data from the book's companion website provide opportunities to revise and apply models developed in the text.

Inference and Disputed Authorship
Inference and Disputed Authorship

Author: Frederick Mosteller

Publisher: Center for the Study of Language and Information Publica Tion

Published: 2007

Total Pages: 360

ISBN-13:

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The 1964 publication of Inference and Disputed Authorship made the cover of Time magazine and the attention of academics and the public alike for its use of statistical methodology to solve one of American history's most notorious questions: the disputed authorship of the Federalist Papers. Back in print for a new generation of readers, this classic volume applies mathematics, including the once-controversial Bayesian analysis, into the heart of a literary and historical problem by studying frequently used words in the texts. The reissue of this landmark book will be welcomed by anyone interested in the juncture of history, political science, and authorship.