The Resource High-Frequency Financial Econometrics, Yacine Aït-Sahalia, Jean Jacod

High-Frequency Financial Econometrics, Yacine Aït-Sahalia, Jean Jacod

Label
High-Frequency Financial Econometrics
Title
High-Frequency Financial Econometrics
Statement of responsibility
Yacine Aït-Sahalia, Jean Jacod
Creator
Contributor
Author
Provider
Subject
Language
  • eng
  • 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-Sahalia and Jean Jacod cover the mathematical foundations of stochastic processes, describe the primary characteristics of high-frequency financial data, and present the asymptotic concepts that their analysis relies on. Aït-Sahalia and Jacod also deal with estimation of the volatility portion of the model, including methods that are robust to market microstructure noise, and address estimation and testing questions involving the jump part of the model. As they demonstrate, the practical importance and relevance of jumps in financial data are universally recognized, but only recently have econometric methods become available to rigorously analyze jump processes. Aït-Sahalia and Jacod approach high-frequency econometrics with a distinct focus on the financial side of matters while maintaining technical rigor, which makes this book invaluable to researchers and practitioners alike
Biographical or historical data
Yacine Aït-Sahalia is the Otto A. Hack 1903 Professor of Finance and Economics and director of the Bendheim Center for Finance at Princeton University. He is the coeditor of the Handbook of Financial Econometrics; Jean Jacod is professor at the Institut de Mathématiques de Jussieu in Paris. His books include Discretization of Processes.
Cataloging source
IN-ChSCO
http://library.link/vocab/creatorName
Aït-Sahalia, Yacine
Government publication
other
LC call number
  • HG106
  • HG106
LC item number
.A3873 2014
Nature of contents
dictionaries
http://library.link/vocab/relatedWorkOrContributorName
  • Jacod, Jean
  • De Gruyter
http://library.link/vocab/subjectName
  • Business & Economics
  • Business & Economics
  • Econometrics
  • Finance
  • Finance
  • Econometrics
  • Finance
  • Mathematics
  • Social Sciences, Economics
  • Social Sciences
  • Wirtschaft
Target audience
specialized
Label
High-Frequency Financial Econometrics, Yacine Aït-Sahalia, Jean Jacod
Instantiates
Publication
Copyright
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
  • Introduction
  • Chapter 3. Introduction to Asymptotic Theory: Volatility Estimation for a Continuous Process
  • Chapter 4. With Jumps: An Introduction to Power Variations
  • Chapter 5. High-Frequency Observations: Identifiability and Asymptotic Efficiency
  • Part III. Volatility
  • Introduction
  • Chapter 6. Estimating Integrated Volatility: The Base Case with No Noise and Equidistant Observations
  • Chapter 7. Volatility and Microstructure Noise
  • Chapter 8. Estimating Spot Volatility
  • Chapter 9. Volatility and Irregularly Spaced Observations
  • Frontmatter
  • Part IV. Jumps
  • Introduction
  • Chapter 10. Testing for Jumps
  • Chapter 11. Finer Analysis of Jumps: The Degree of Jump Activity
  • Chapter 12. Finite or Infinite Activity for Jumps?
  • Chapter 13. Is Brownian Motion Really Necessary?
  • Chapter 14. Co-jumps
  • Appendix A. Asymptotic Results for Power Variations
  • Appendix B. Miscellaneous Proofs
  • Bibliography
  • Contents
  • Index
  • Preface
  • Notation
  • Part I. Preliminary Material
  • Chapter 1. From Diffusions to Semimartingales
  • Chapter 2. Data Considerations
  • Part II. Asymptotic Concepts
Dimensions
unknown
Edition
Course Book.
Extent
1 online resource(688 p.)
Form of item
online
Isbn
9781400850327
Media category
computer
Media MARC source
rdamedia
Media type code
c
Other control number
10.1515/9781400850327
Other physical details
illustrations.
Reformatting quality
not applicable
Specific material designation
remote
System control number
  • (DE-B1597)453982
  • (OCoLC)979624325
  • (DE-B1597)9781400850327
Label
High-Frequency Financial Econometrics, Yacine Aït-Sahalia, Jean Jacod
Publication
Copyright
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
  • Introduction
  • Chapter 3. Introduction to Asymptotic Theory: Volatility Estimation for a Continuous Process
  • Chapter 4. With Jumps: An Introduction to Power Variations
  • Chapter 5. High-Frequency Observations: Identifiability and Asymptotic Efficiency
  • Part III. Volatility
  • Introduction
  • Chapter 6. Estimating Integrated Volatility: The Base Case with No Noise and Equidistant Observations
  • Chapter 7. Volatility and Microstructure Noise
  • Chapter 8. Estimating Spot Volatility
  • Chapter 9. Volatility and Irregularly Spaced Observations
  • Frontmatter
  • Part IV. Jumps
  • Introduction
  • Chapter 10. Testing for Jumps
  • Chapter 11. Finer Analysis of Jumps: The Degree of Jump Activity
  • Chapter 12. Finite or Infinite Activity for Jumps?
  • Chapter 13. Is Brownian Motion Really Necessary?
  • Chapter 14. Co-jumps
  • Appendix A. Asymptotic Results for Power Variations
  • Appendix B. Miscellaneous Proofs
  • Bibliography
  • Contents
  • Index
  • Preface
  • Notation
  • Part I. Preliminary Material
  • Chapter 1. From Diffusions to Semimartingales
  • Chapter 2. Data Considerations
  • Part II. Asymptotic Concepts
Dimensions
unknown
Edition
Course Book.
Extent
1 online resource(688 p.)
Form of item
online
Isbn
9781400850327
Media category
computer
Media MARC source
rdamedia
Media type code
c
Other control number
10.1515/9781400850327
Other physical details
illustrations.
Reformatting quality
not applicable
Specific material designation
remote
System control number
  • (DE-B1597)453982
  • (OCoLC)979624325
  • (DE-B1597)9781400850327

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