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" Handbook of modeling high-frequency data in finance "
edited by Frederi G. Viens, Maria C. Mariani, Ionuţ Florescu.
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BL
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| Record Number
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613174
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dltt
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| Title & Author
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Handbook of modeling high-frequency data in finance\ edited by Frederi G. Viens, Maria C. Mariani, Ionuţ Florescu.
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| Publication Statement
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Hoboken, NJ :: Wiley,, c2012.
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| Series Statement
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Wiley handbooks in financial engineering and econometrics
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| ISBN
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9780470876886
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Includes bibliographical references and index.
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| Abstract
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"This exciting volume presents cutting-edge developments in high frequency financial econometrics, spanning a diverse range of topics: stochastic modeling, statistical analysis of high-frequency data, models in econophysics, applications to the analysis of high-frequency data, systems and complex adaptive systems in finance, among a host of others. Written, in part, on the outgrowth of several recent conferences in the subject matter and in concert with over two-dozen experts in the field, the main purpose of the handbook is to mathematically illustrate the fundamental implementation of high-frequency models in the banking and financial industries, both at home and abroad, through use of real-world, time-sensitive applications. By using examples derived from consulting projects, current research and course instruction, each chapter in the book offers a systematic understanding of the recent advances in high-frequency modeling related to real-world situations. Every effort is made to present a balanced treatment between theory and practice, as well as to showcase how accuracy and efficiency in implementing various methods can be used as indispensable tools. To by-pass tedious computation, software illustrations are presented in an assortment of packages, ranging from R, C++, EXCEL-VBA, Minitab, to JMP/SAS. Shedding light on some of the most relevant open questions in the analysis of high-frequency data, this volume will be of interest to graduate students, researchers and industry professionals"--
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| Subject
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Finance-- Econometric models.
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BUS027000bisacsh
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Viens, Frederi G.,1969-
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Mariani, Maria C.
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Florescu, Ionuţ, 1973-
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Wiley Online Library (Online service)
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