Handbook of Modeling High-Frequency Data in Finance / (Record no. 205435)
[ view plain ]
| 000 -LEADER | |
|---|---|
| fixed length control field | 05115cam a2200481Ka 4500 |
| 001 - CONTROL NUMBER | |
| control field | ocn768204539 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | OCoLC |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20171115134107.0 |
| 006 - FIXED-LENGTH DATA ELEMENTS--ADDITIONAL MATERIAL CHARACTERISTICS | |
| fixed length control field | m o d |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION | |
| fixed length control field | cr cn||||||||| |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 111213s2011 njua ob 001 0 eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9781118204580 |
| Qualifying information | (electronic bk.) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 1118204581 |
| Qualifying information | (electronic bk.) |
| 029 1# - OTHER SYSTEM CONTROL NUMBER (OCLC) | |
| OCLC library identifier | AU@ |
| System control number | 000051955939 |
| 029 1# - OTHER SYSTEM CONTROL NUMBER (OCLC) | |
| OCLC library identifier | DEBBG |
| System control number | BV041167602 |
| 029 1# - OTHER SYSTEM CONTROL NUMBER (OCLC) | |
| OCLC library identifier | NZ1 |
| System control number | 14675276 |
| 035 ## - SYSTEM CONTROL NUMBER | |
| System control number | (OCoLC)768204539 |
| 037 ## - SOURCE OF ACQUISITION | |
| Stock number | 10.1002/9781118204580 |
| Source of stock number/acquisition | Wiley InterScience |
| Note | http://www3.interscience.wiley.com |
| 040 ## - CATALOGING SOURCE | |
| Original cataloging agency | DG1 |
| Language of cataloging | eng |
| Transcribing agency | DG1 |
| Modifying agency | YDXCP |
| -- | OCLCO |
| -- | OCLCQ |
| -- | OCLCF |
| -- | OCLCA |
| -- | OCLCQ |
| -- | OCLCO |
| -- | OCLCQ |
| -- | DG1 |
| 049 ## - LOCAL HOLDINGS (OCLC) | |
| Holding library | MAIN |
| 050 14 - LIBRARY OF CONGRESS CALL NUMBER | |
| Classification number | HG106 |
| Item number | .H36 2012 |
| 082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER | |
| Classification number | 332.01/5195 |
| Edition number | 23 |
| 245 00 - TITLE STATEMENT | |
| Title | Handbook of Modeling High-Frequency Data in Finance / |
| Statement of responsibility, etc. | edited by Frederi G. Viens, Maria C. Mariani, Ionut Florescu. |
| Medium | [electronic resource] |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) | |
| Place of publication, distribution, etc. | Hoboken, NJ : |
| Name of publisher, distributor, etc. | Wiley, |
| Date of publication, distribution, etc. | 2012. |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | 1 online resource (xiv, 441 pages) : |
| Other physical details | illustrations |
| 336 ## - CONTENT TYPE | |
| Content type term | text |
| Content type code | txt |
| Source | rdacontent |
| 337 ## - MEDIA TYPE | |
| Media type term | computer |
| Media type code | c |
| Source | rdamedia |
| 338 ## - CARRIER TYPE | |
| Carrier type term | online resource |
| Carrier type code | cr |
| Source | rdacarrier |
| 500 ## - GENERAL NOTE | |
| General note | Includes index. |
| 505 0# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | Frontmatter -- Analysis of Empirical Data. Estimation of NIG and VG Models for High Frequency Financial Data / Još E Figueroa-L̤pez, Steven R Lancette, Kiseop Lee, Yanhui Mi -- A Study of Persistence of Price Movement Using High Frequency Financial Data / Dragos Bozdog, Ionut Florescu, Khaldoun Khashanah, Jim Wang -- Using Boosting for Financial Analysis and Trading / Germ̀n Creamer -- Impact of Correlation Fluctuations on Securitized Structures / Eric Hillebrand, Ambar N Sengupta, Junyue Xu -- Construction of Volatility Indices Using a Multinomial Tree Approximation Method / Dragos Bozdog, Ionut Florescu, Khaldoun Khashanah, Hongwei Qiu -- Long Range Dependence Models. Long Correlations Applied to the Study of Memory Effects in High Frequency (TICK) Data, the Dow Jones Index, and International Indices / Ernest Barany, Maria Pia Beccar Varela -- Risk Forecasting with GARCH, Skewed Distributions, and Multiple Timescales / Alec N Kercheval, Yang Liu -- Parameter Estimation and Calibration for Long-Memory Stochastic Volatility Models / Alexandra Chronopoulou -- Analytical Results. A Market Microstructure Model of Ultra High Frequency Trading / Carlos A Ulibarri, Peter C Anselmo -- Multivariate Volatility Estimation with High Frequency Data Using Fourier Method / Maria Elvira Mancino, Simona Sanfelici -- The ₃Retirement₄ Problem / Cristian Pasarica -- Stochastic Differential Equations and Levy Models with Applications to High Frequency Data / Ernest Barany, Maria Pia Beccar Varela -- Solutions to Integro-Differential Parabolic Problem Arising on Financial Mathematics / Maria C Mariani, Marc Salas, Indranil Sengupta -- Existence of Solutions for Financial Models with Transaction Costs and Stochastic Volatility / Maria C Mariani, Emmanuel K Ncheuguim, Indranil Sengupta -- Index. |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | 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. |
| 588 0# - SOURCE OF DESCRIPTION NOTE | |
| Source of description note | Print version record. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Finance |
| General subdivision | Econometric models. |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Finance |
| General subdivision | Econometric models. |
| Source of heading or term | fast |
| Authority record control number | (OCoLC)fst00924377 |
| 655 #4 - INDEX TERM--GENRE/FORM | |
| Genre/form data or focus term | Electronic books. |
| 700 1# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Viens, Frederi G. |
| 700 1# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Mariani, Maria C. |
| 700 1# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Florescu, Ionut. |
| 710 2# - ADDED ENTRY--CORPORATE NAME | |
| Corporate name or jurisdiction name as entry element | Wiley InterScience (Online service) |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY | |
| Relationship information | Print version: |
| Title | Handbook of Modeling High-Frequency Data in Finance. |
| Place, publisher, and date of publication | Wiley 2011 |
| International Standard Book Number | 9780470876886 |
| Record control number | (OCoLC)724644259 |
| 856 40 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | http://onlinelibrary.wiley.com/book/10.1002/9781118204580 |
| Public note | Wiley Online Library |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Source of classification or shelving scheme | |
| Koha item type | Books |
No items available.