000			05193cam a2200505Ka 4500
001			ocn768204539
003			OCoLC
005			20171224113757.0
006			m o d
007			cr cn|||||||||
008			111213s2011 njua ob 001 0 eng d
040			_aDG1 _beng _cDG1 _dYDXCP _dOCLCO _dOCLCQ _dOCLCF _dOCLCA _dOCLCQ _dOCLCO _dOCLCQ _dDG1
020			_a9781118204580 _q(electronic bk.)
020			_a1118204581 _q(electronic bk.)
029	1		_aAU@ _b000051955939
029	1		_aDEBBG _bBV041167602
029	1		_aNZ1 _b14675276
035			_a(OCoLC)768204539
037			_a10.1002/9781118204580 _bWiley InterScience _nhttp://www3.interscience.wiley.com
050	1	4	_aHG106 _b.H36 2012
082	0	4	_a332.01/5195 _223
049			_aMAIN
245	0	0	_aHandbook of Modeling High-Frequency Data in Finance / _cedited by Frederi G. Viens, Maria C. Mariani, Ionut Florescu.
260			_aHoboken, NJ : _bWiley, _c2012.
300			_a1 online resource (xiv, 441 pages) : _billustrations
336			_atext _btxt _2rdacontent
337			_acomputer _bc _2rdamedia
338			_aonline resource _bcr _2rdacarrier
505	0		_aFrontmatter -- 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			_aThis 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.
500			_aIncludes index.
588	0		_aPrint version record.
650		0	_aFinance _xEconometric models.
650		7	_aFinance _xEconometric models. _2fast _0(OCoLC)fst00924377
655		4	_aElectronic books.
700	1		_aViens, Frederi G.
700	1		_aMariani, Maria C.
700	1		_aFlorescu, Ionut.
710	2		_aWiley InterScience (Online service)
776	0	8	_iPrint version: _tHandbook of Modeling High-Frequency Data in Finance. _dWiley 2011 _z9780470876886 _w(OCoLC)724644259
856	4	0	_uhttp://onlinelibrary.wiley.com/book/10.1002/9781118204580 _zWiley Online Library
938			_aYBP Library Services _bYANK _n7238573
938			_aYBP Library Services _bYANK _n7292958
994			_a92 _bDG1
999			_c11454 _d11454