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The Resource High-Frequency Financial Econometrics

High-Frequency Financial Econometrics

Creator
Contributor
Summary
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-Sahali
Language
eng
Work
Publication
Extent
1 online resource (684 p.)
Note
5.1.3 Efficiency for Partly Identifiable Parametric Models
Contents
  • Cover; Title; Copyright; Dedication; Contents; Preface; Notation; I Preliminary Material; 1 From Diffusions to Semimartingales; 1.1 Diffusions; 1.1.1 The Brownian Motion; 1.1.2 Stochastic Integrals; 1.1.3 A Central Example: Diffusion Processes; 1.2 Lévy Processes; III Volatility; 1.2.1 The Law of a Lévy Process; 1.2.2 Examples; 1.2.3 Poisson Random Measures; 1.2.4 Integrals with Respect to Poisson Random Measures; 1.2.5 Path Properties and Lévy-Itô Decomposition; 1.3 Semimartingales; 1.3.1 Definition and Stochastic Integrals; 1.3.2 Quadratic Variation; 1.3.3 Itô's Formula
  • 1.3.4 Characteristics of a Semimartingale and the Lévy-Itô Decomposition1.4 Itô Semimartingales; 1.4.1 The Definition; 1.4.2 Extension of the Probability Space; 1.4.3 The Grigelionis Form of an Itô Semimartingale; 1.4.4 A Fundamental Example: Stochastic Differential Equations Driven by a Lévy Process; 1.5 Processes with Conditionally Independent Increments; 1.5.1 Processes with Independent Increments; 1.5.2 A Class of Processes with F-Conditionally Independent Increments; 2 Data Considerations; 2.1 Mechanisms for Price Determination; 2.1.1 Limit Order and Other Market Mechanisms
  • 2.1.2 Market Rules and Jumps in Prices2.1.3 Sample Data: Transactions, Quotes and NBBO; 2.2 High-Frequency Data Distinctive Characteristics; 2.2.1 Random Sampling Times; 2.2.2 Market Microstructure Noise and Data Errors; 2.2.3 Non-normality; 2.3 Models for Market Microstructure Noise; 2.3.1 Additive Noise; 2.3.2 Rounding Errors; 2.4 Strategies to Mitigate the Impact of Noise; 2.4.1 Downsampling; 2.4.2 Filtering Transactions Using Quotes; II Asymptotic Concepts; 3 Introduction to Asymptotic Theory: Volatility Estimation for a Continuous Process
  • 3.1 Estimating Integrated Volatility in Simple Cases3.1.1 Constant Volatility; 3.1.2 Deterministic Time-Varying Volatility; 3.1.3 Stochastic Volatility Independent of the Driving Brownian Motion W; 3.1.4 From Independence to Dependence for the Stochastic Volatility; 3.2 Stable Convergence in Law; 3.3 Convergence for Stochastic Processes; 3.4 General Stochastic Volatility; 3.5 What If the Process Jumps?; 4 With Jumps: An Introduction to Power Variations; 4.1 Power Variations; 4.1.1 The Purely Discontinuous Case; 4.1.2 The Continuous Case; 4.1.3 The Mixed Case
  • 4.2 Estimation in a Simple Parametric Example: Merton's Model4.2.1 Some Intuition for the Identification or Lack Thereof: The Impact of High Frequency; 4.2.2 Asymptotic Efficiency in the Absence of Jumps .; 4.2.3 Asymptotic Efficiency in the Presence of Jumps .; 4.2.4 GMM Estimation; 4.2.5 GMM Estimation of Volatility with Power Variations; 4.3 References; 5 High-Frequency Observations: Identifiability and Asymptotic Efficiency; 5.1 Classical Parametric Models; 5.1.1 Identifiability; 5.1.2 Efficiency for Fully Identifiable Parametric Models
Isbn
9781400850327
Instance
Label
High-Frequency Financial Econometrics
Title
High-Frequency Financial Econometrics
Creator
Contributor
Subject
Language
eng
Summary
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-Sahali
Cataloging source
EBLCP
Dewey number
  • 332.01
  • 332.015195
Index
no index present
LC call number
HG106
LC item number
.A3873 2014
Literary form
non fiction
Nature of contents
dictionaries
Label
High-Frequency Financial Econometrics
Publication
Note
5.1.3 Efficiency for Partly Identifiable Parametric Models
Antecedent source
unknown
http://library.link/vocab/branchCode
  • net
Color
multicolored
Contents
  • Cover; Title; Copyright; Dedication; Contents; Preface; Notation; I Preliminary Material; 1 From Diffusions to Semimartingales; 1.1 Diffusions; 1.1.1 The Brownian Motion; 1.1.2 Stochastic Integrals; 1.1.3 A Central Example: Diffusion Processes; 1.2 Lévy Processes; III Volatility; 1.2.1 The Law of a Lévy Process; 1.2.2 Examples; 1.2.3 Poisson Random Measures; 1.2.4 Integrals with Respect to Poisson Random Measures; 1.2.5 Path Properties and Lévy-Itô Decomposition; 1.3 Semimartingales; 1.3.1 Definition and Stochastic Integrals; 1.3.2 Quadratic Variation; 1.3.3 Itô's Formula
  • 1.3.4 Characteristics of a Semimartingale and the Lévy-Itô Decomposition1.4 Itô Semimartingales; 1.4.1 The Definition; 1.4.2 Extension of the Probability Space; 1.4.3 The Grigelionis Form of an Itô Semimartingale; 1.4.4 A Fundamental Example: Stochastic Differential Equations Driven by a Lévy Process; 1.5 Processes with Conditionally Independent Increments; 1.5.1 Processes with Independent Increments; 1.5.2 A Class of Processes with F-Conditionally Independent Increments; 2 Data Considerations; 2.1 Mechanisms for Price Determination; 2.1.1 Limit Order and Other Market Mechanisms
  • 2.1.2 Market Rules and Jumps in Prices2.1.3 Sample Data: Transactions, Quotes and NBBO; 2.2 High-Frequency Data Distinctive Characteristics; 2.2.1 Random Sampling Times; 2.2.2 Market Microstructure Noise and Data Errors; 2.2.3 Non-normality; 2.3 Models for Market Microstructure Noise; 2.3.1 Additive Noise; 2.3.2 Rounding Errors; 2.4 Strategies to Mitigate the Impact of Noise; 2.4.1 Downsampling; 2.4.2 Filtering Transactions Using Quotes; II Asymptotic Concepts; 3 Introduction to Asymptotic Theory: Volatility Estimation for a Continuous Process
  • 3.1 Estimating Integrated Volatility in Simple Cases3.1.1 Constant Volatility; 3.1.2 Deterministic Time-Varying Volatility; 3.1.3 Stochastic Volatility Independent of the Driving Brownian Motion W; 3.1.4 From Independence to Dependence for the Stochastic Volatility; 3.2 Stable Convergence in Law; 3.3 Convergence for Stochastic Processes; 3.4 General Stochastic Volatility; 3.5 What If the Process Jumps?; 4 With Jumps: An Introduction to Power Variations; 4.1 Power Variations; 4.1.1 The Purely Discontinuous Case; 4.1.2 The Continuous Case; 4.1.3 The Mixed Case
  • 4.2 Estimation in a Simple Parametric Example: Merton's Model4.2.1 Some Intuition for the Identification or Lack Thereof: The Impact of High Frequency; 4.2.2 Asymptotic Efficiency in the Absence of Jumps .; 4.2.3 Asymptotic Efficiency in the Presence of Jumps .; 4.2.4 GMM Estimation; 4.2.5 GMM Estimation of Volatility with Power Variations; 4.3 References; 5 High-Frequency Observations: Identifiability and Asymptotic Efficiency; 5.1 Classical Parametric Models; 5.1.1 Identifiability; 5.1.2 Efficiency for Fully Identifiable Parametric Models
Control code
ocn880530776
Dimensions
unknown
Extent
1 online resource (684 p.)
File format
unknown
Form of item
online
Isbn
9781400850327
Level of compression
unknown
Quality assurance targets
not applicable
http://library.link/vocab/recordID
.b30568158
Reformatting quality
unknown
Sound
unknown sound
Specific material designation
remote
System control number
  • (OCoLC)880530776
  • ebl0691161437
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