05115cam a2200481Ka 4500 ocn768204539 OCoLC 20171115134107.0 m o d cr cn||||||||| 111213s2011 njua ob 001 0 eng d 9781118204580 (electronic bk.) 1118204581 (electronic bk.) AU@ 000051955939 DEBBG BV041167602 NZ1 14675276 (OCoLC)768204539 10.1002/9781118204580 Wiley InterScience http://www3.interscience.wiley.com DG1 eng DG1 YDXCP OCLCO OCLCQ OCLCF OCLCA OCLCQ OCLCO OCLCQ DG1 MAIN HG106 .H36 2012 332.01/5195 23 Handbook of Modeling High-Frequency Data in Finance / edited by Frederi G. Viens, Maria C. Mariani, Ionut Florescu. [electronic resource] Hoboken, NJ : Wiley, 2012. 1 online resource (xiv, 441 pages) : illustrations text txt rdacontent computer c rdamedia online resource cr rdacarrier Includes index. 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. 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. Print version record. Finance Econometric models. Finance Econometric models. fast (OCoLC)fst00924377 Electronic books. Viens, Frederi G. Mariani, Maria C. Florescu, Ionut. Wiley InterScience (Online service) Print version: Handbook of Modeling High-Frequency Data in Finance. Wiley 2011 9780470876886 (OCoLC)724644259 http://onlinelibrary.wiley.com/book/10.1002/9781118204580 Wiley Online Library ddc BK 205435 205435