High-Frequency Financial Econometrics /

High-Frequency Financial Econometrics / / Jean Jacod, Yacine Aït-Sahalia.

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 b...

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Superior document:Title is part of eBook package: De Gruyter Princeton University Press Complete eBook-Package 2014-2015
VerfasserIn:
Aït-Sahalia, Yacine,
Jacod, Jean,
Place / Publishing House:Princeton, NJ : : Princeton University Press, , [2014]
©2014
Year of Publication:2014
Edition:Course Book
Language:English
Online Access:
Physical Description:1 online resource (688 p.) :; 35 line illus. 3 tables.
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245 1 0 |a High-Frequency Financial Econometrics /  |c Jean Jacod, Yacine Aït-Sahalia. 
250 |a Course Book 
264 1 |a Princeton, NJ :   |b Princeton University Press,   |c [2014] 
264 4 |c ©2014 
300 |a 1 online resource (688 p.) :  |b 35 line illus. 3 tables. 
336 |a text  |b txt  |2 rdacontent 
337 |a computer  |b c  |2 rdamedia 
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505 0 0 |t Frontmatter --   |t Contents --   |t Preface --   |t Notation --   |t Part I. Preliminary Material --   |t Chapter 1. From Diffusions to Semimartingales --   |t Chapter 2. Data Considerations --   |t Part II. Asymptotic Concepts --   |t Introduction --   |t Chapter 3. Introduction to Asymptotic Theory: Volatility Estimation for a Continuous Process --   |t Chapter 4. With Jumps: An Introduction to Power Variations --   |t Chapter 5. High-Frequency Observations: Identifiability and Asymptotic Efficiency --   |t Part III. Volatility --   |t Introduction --   |t Chapter 6. Estimating Integrated Volatility: The Base Case with No Noise and Equidistant Observations --   |t Chapter 7. Volatility and Microstructure Noise --   |t Chapter 8. Estimating Spot Volatility --   |t Chapter 9. Volatility and Irregularly Spaced Observations --   |t Part IV. Jumps --   |t Introduction --   |t Chapter 10. Testing for Jumps --   |t Chapter 11. Finer Analysis of Jumps: The Degree of Jump Activity --   |t Chapter 12. Finite or Infinite Activity for Jumps? --   |t Chapter 13. Is Brownian Motion Really Necessary? --   |t Chapter 14. Co-jumps --   |t Appendix A. Asymptotic Results for Power Variations --   |t Appendix B. Miscellaneous Proofs --   |t Bibliography --   |t Index 
506 0 |a restricted access  |u http://purl.org/coar/access_right/c_16ec  |f online access with authorization  |2 star 
520 |a 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. 
530 |a Issued also in print. 
538 |a Mode of access: Internet via World Wide Web. 
546 |a In English. 
588 0 |a Description based on online resource; title from PDF title page (publisher's Web site, viewed 30. Aug 2021) 
650 0 |a Business & Economics  |x Econometrics. 
650 0 |a Business & Economics  |x Finance. 
650 0 |a Econometrics. 
650 0 |a Finance  |x Econometric models. 
650 0 |a Finance  |x Mathematical models. 
650 7 |a BUSINESS & ECONOMICS / Econometrics.  |2 bisacsh 
653 |a BlumenthalЇetoor indices. 
653 |a Brownian motion. 
653 |a Fisher efficiency. 
653 |a It semimartingale. 
653 |a It semimartingales. 
653 |a Lvy processes. 
653 |a algorithm. 
653 |a certain moment functions. 
653 |a co-jumps. 
653 |a common jumps. 
653 |a computerized trading. 
653 |a diffusion. 
653 |a disjoint jumps. 
653 |a financial data. 
653 |a finite activity. 
653 |a high-frequency econometrics. 
653 |a high-frequency financial data. 
653 |a high-frequency trading. 
653 |a infinite activity. 
653 |a integrated volatility estimation. 
653 |a integrated volatility. 
653 |a irregular observation times. 
653 |a jump process. 
653 |a jumps. 
653 |a local volatility. 
653 |a market microstructure noise. 
653 |a microstructure noise. 
653 |a one-dimensional continuous martingale. 
653 |a parameter identifiability. 
653 |a power variations. 
653 |a price determination. 
653 |a risk management. 
653 |a semimartingales. 
653 |a spot volatility. 
653 |a stable convergence. 
653 |a stochastic processes. 
653 |a stochastic volatility. 
653 |a volatility estimation. 
653 |a volatility. 
700 1 |a Jacod, Jean,   |e author.  |4 aut  |4 http://id.loc.gov/vocabulary/relators/aut 
773 0 8 |i Title is part of eBook package:  |d De Gruyter  |t Princeton University Press Complete eBook-Package 2014-2015  |z 9783110665925 
776 0 |c print  |z 9780691161433 
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