Financial Econometrics Modeling: Market Microstructure

Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures (repost)

Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures by Greg N. Gregoriou
English | 2011 | ISBN: 0230283624 | PDF | 224 pages | 3 MB
Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures (repost)

Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures by Greg N. Gregoriou
English | 2011 | ISBN: 0230283624 | PDF | 224 pages | 2,7 MB

This book proposes new methods to build optimal portfolios and to analyze market liquidity and volatility under market microstructure effects, as well as new financial risk measures using parametric and non-parametric techniques. In particular, it investigates the market microstructure of foreign exchange and futures markets.
Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures (repost)

Greg N. Gregoriou, "Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures"
2011 | ISBN: 0230283624 | PDF | 224 pages | 2,7 MB

This book proposes new methods to build optimal portfolios and to analyze market liquidity and volatility under market microstructure effects, as well as new financial risk measures using parametric and non-parametric techniques. In particular, it investigates the market microstructure of foreign exchange and futures markets.
Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures (repost)

Greg N. Gregoriou, "Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures"
M/a.c,m an | 2011 | ISBN: 0230283624 | PDF | 224 pages | 2,7 MB

This book proposes new methods to build optimal portfolios and to analyze market liquidity and volatility under market microstructure effects, as well as new financial risk measures using parametric and non-parametric techniques. In particular, it investigates the market microstructure of foreign exchange and futures markets.
Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures (repost)

Greg N. Gregoriou, "Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures"
Macm an | 2011 | ISBN: 0230283624 | PDF | 224 pages | 2,7 MB

Financial Econometrics and Empirical Market Microstructure (repost)  eBooks & eLearning

Posted by libr at April 14, 2015
Financial Econometrics and Empirical Market Microstructure (repost)

Financial Econometrics and Empirical Market Microstructure by Anil K. Bera and Sergey Ivliev
English | 2014 | ISBN: 3319099450 | 284 pages | PDF | 8,5 MB

Financial Econometrics and Empirical Market Microstructure  eBooks & eLearning

Posted by interes at Feb. 18, 2015
Financial Econometrics and Empirical Market Microstructure

Financial Econometrics and Empirical Market Microstructure by Anil K. Bera and Sergey Ivliev
English | 2014 | ISBN: 3319099450 | 284 pages | PDF | 8,5 MB

High Frequency Financial Econometrics: Recent Developments (Repost)  eBooks & eLearning

Posted by step778 at Sept. 5, 2013
High Frequency Financial Econometrics: Recent Developments (Repost)

Luc Bauwens, Winfried Pohlmeier, David Veredas, "High Frequency Financial Econometrics: Recent Developments"
2007 | pages: 318 | ISBN: 3790819913 | PDF | 3,9 mb

High Frequency Financial Econometrics: Recent Developments  eBooks & eLearning

Posted by Mazepa777 at May 7, 2009
High Frequency Financial Econometrics: Recent Developments

Instant Info Riches
Publisher Physica-Verlag Heidelberg New York | ISBN: 3790819915 | edition 2008 | PDF | 318 pages | 4.04 mb

This exciting volume presents cutting-edge developments in high frequency financial econometrics, spanning a diverse range of topics: market microstructure, tick-by-tick data, bond and foreign exchange markets and large dimensional volatility modelling. The chapters on market microstructure deal with liquidity, asymmetries of information, and limit order aggressiveness in pure limit order book markets.
The chapters on tick-by-tick data present statistical techniques for the analysis of the discrete nature of price movements, the intraday seasonal patterns of financial durations, and the joint probability law of prices, volume and durations. Bond markets are brought into focus through the analysis of macroeconomic announcements in the future bond market as a function of the business cycle. Exchange markets are examined from two perspectives: the study of the impact of information arrival on exchange rate volatility and the uncovering of chartist patterns in the euro/dollar exchange rate. Last, dynamic modelling of large dimensional covariance matrices is also presented. 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.
Empirical Market Microstructure: The Institutions, Economics, and Econometrics of Securities Trading (Repost)

Joel Hasbrouck, "Empirical Market Microstructure: The Institutions, Economics, and Econometrics of Securities Trading"
English | 2007-01-04 | ISBN: 0195301641 | 203 pages | PDF | 2.13 mb