Dissertation Abstracts International
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Published: 2009
Total Pages: 668
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Modelling Irregularly Spaced Financial Data
Author: Nikolaus Hautsch
Publisher: Springer Science & Business Media
Published: 2011-01-07
Total Pages: 297
ISBN-13: 3642170153
DOWNLOAD EBOOKThis book provides a methodological framework to model univariate and multivariate irregularly spaced financial data. It gives a thorough review of recent developments in the econometric literature, puts forward existing approaches and opens up new directions. The book presents alternative ways to model so-called financial point processes using dynamic duration as well as intensity models and discusses their ability to account for specific features of point process data, like the occurrence of time-varying covariates, censoring mechanisms and multivariate structures. Moreover, it illustrates the use of various types of financial point processes to model financial market activity from different viewpoints and to construct volatility and liquidity measures under explicit consideration of the passing trading time.
Cryptocurrency Transaction Analysis From a Network Perspective
Author: Zhong-Yuan Zhang
Publisher: Frontiers Media SA
Published: 2022-08-19
Total Pages: 120
ISBN-13: 288976799X
DOWNLOAD EBOOKHandbook of Quantitative Finance and Risk Management
Author: Cheng-Few Lee
Publisher: Springer Science & Business Media
Published: 2010-06-14
Total Pages: 1700
ISBN-13: 0387771174
DOWNLOAD EBOOKQuantitative finance is a combination of economics, accounting, statistics, econometrics, mathematics, stochastic process, and computer science and technology. Increasingly, the tools of financial analysis are being applied to assess, monitor, and mitigate risk, especially in the context of globalization, market volatility, and economic crisis. This two-volume handbook, comprised of over 100 chapters, is the most comprehensive resource in the field to date, integrating the most current theory, methodology, policy, and practical applications. Showcasing contributions from an international array of experts, the Handbook of Quantitative Finance and Risk Management is unparalleled in the breadth and depth of its coverage. Volume 1 presents an overview of quantitative finance and risk management research, covering the essential theories, policies, and empirical methodologies used in the field. Chapters provide in-depth discussion of portfolio theory and investment analysis. Volume 2 covers options and option pricing theory and risk management. Volume 3 presents a wide variety of models and analytical tools. Throughout, the handbook offers illustrative case examples, worked equations, and extensive references; additional features include chapter abstracts, keywords, and author and subject indices. From "arbitrage" to "yield spreads," the Handbook of Quantitative Finance and Risk Management will serve as an essential resource for academics, educators, students, policymakers, and practitioners.
Globalization, Competition and Growth in China
Author: Jian Chen
Publisher: Routledge
Published: 2006-04-18
Total Pages: 401
ISBN-13: 1134264011
DOWNLOAD EBOOKPresenting original work and new thinking, this book explores the current state of globalization, competition and growth in China.
Contemporary Trends and Challenges in Finance
Author: Krzysztof Jajuga
Publisher: Springer Nature
Published: 2021-06-11
Total Pages: 250
ISBN-13: 3030736679
DOWNLOAD EBOOKThis volume continues to highlight the latest research contributions presented at the annual Wroclaw conference in Finance (Poland), covering a wide range of topics in the field. The chapters reflect the extent, diversity, and richness of research areas, and discuss both fundamental and applied finance. A detailed analysis of current financial-market problems including specifics of Polish and Central European markets is also part of this volume. Selected chapters also examine the results of advanced financial modeling. These proceedings are a valuable resource for researchers in universities and research and policy institutions, graduate students and practitioners in economics, finance and international economics in both private and government institutions.
Volatility and Time Series Econometrics
Author: Mark Watson
Publisher: Oxford University Press
Published: 2010-02-11
Total Pages: 432
ISBN-13: 0199549494
DOWNLOAD EBOOKA volume that celebrates and develops the work of Nobel Laureate Robert Engle, it includes original contributions from some of the world's leading econometricians that further Engle's work in time series economics
Stock Market Volatility
Author: Greg N. Gregoriou
Publisher: CRC Press
Published: 2009-04-08
Total Pages: 654
ISBN-13: 1420099558
DOWNLOAD EBOOKUp-to-Date Research Sheds New Light on This Area Taking into account the ongoing worldwide financial crisis, Stock Market Volatility provides insight to better understand volatility in various stock markets. This timely volume is one of the first to draw on a range of international authorities who offer their expertise on market volatility in devel
An Introduction to High-Frequency Finance
Author: Ramazan Gençay
Publisher: Elsevier
Published: 2001-05-29
Total Pages: 411
ISBN-13: 008049904X
DOWNLOAD EBOOKLiquid 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.
The Chinese Stock Market
Author: Nicolaas Groenewold
Publisher: Edward Elgar Publishing
Published: 2004-01-01
Total Pages: 268
ISBN-13: 9781782541172
DOWNLOAD EBOOK'. . . this book succeeds in its mission of analysing the efficiency, predictability and profitability of the Chinese stock market. It is strongly recommended to scholars. It is additionally recommended to practitioners involved in the market, sharing its prosperity and avoiding the possible risk. This book is also recommended to the students who want to learn the systematic application of econometric modelling to market efficiency analysis.' - Shiguang Ma, Economic Record The emergence of a stock market in China only occurred a decade ago and it remains something of an unknown quantity to many observers and traders outside of the country. This book provides an extensive historical and empirical analysis of the Chinese stock-market, the development of which is an integral part of the process of economic modernization that began in China in the late 1970s.
