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Econometrics of Financial High-Frequency Data

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Feldname	Details
Vorliegende Sprache	eng
Hinweise auf parallele Ausgaben	349726973 Buchausg. u.d.T.: ‡Hautsch, Nikolaus, 1972 - : Econometrics of financial high-frequency data
ISBN	978-3-642-21924-5
Name	Hautsch, Nikolaus
T I T E L	Econometrics of Financial High-Frequency Data
Verlagsort	Berlin, Heidelberg
Verlag	Springer-Verlag Berlin Heidelberg
Erscheinungsjahr	2012
Erscheinungsjahr	2012
Umfang	Online-Ressource (XIII, 373p, digital)
Reihe	SpringerLink. Bücher
Notiz / Fußnoten	Description based upon print version of record
Weiterer Inhalt	Econometrics of Financial High-Frequency Data; Preface; Contents; Chapter 1: Introduction; 1.1 Motivation; 1.2 Structure of the Book; References; Chapter 2: Microstructure Foundations; 2.1 The Institutional Framework of Trading; 2.1.1 Types of Traders and Forms of Trading; 2.1.2 Types of Orders; 2.1.3 Market Structures; 2.1.3.1 Quote-Driven Dealer Markets; 2.1.3.2 Order-Driven Markets; 2.1.3.3 Brokered Markets; 2.1.4 Order Precedence and Pricing Rules; 2.1.5 Trading Forms at Selected International Exchanges; 2.1.5.1 The New York Stock Exchange (NYSE); 2.1.5.2 NASDAQ; 2.1.5.3 XETRA. 2.1.5.4 Australian Stock Exchange2.2 A Review of Market Microstructure Theory; 2.2.1 Asymmetric Information Based Models; 2.2.1.1 Sequential Trade Models; 2.2.1.2 Strategic Trade Models; 2.2.2 Inventory Models; 2.2.3 Major Implications for Trading Variables; 2.2.4 Models for Limit Order Book Markets; References; Chapter 3: Empirical Properties of High-Frequency Data; 3.1 Handling High-Frequency Data; 3.1.1 Databases and Trading Variables; 3.1.2 Matching Trades and Quotes; 3.1.3 Data Cleaning; 3.1.4 Split-Transactions; 3.1.5 Identification of Buyer- and Seller-Initiated Trades. 3.2 Aggregation by Trading Events: Financial Durations3.2.1 Trade and Order Arrival Durations; 3.2.2 Price and Volume Durations; 3.3 Properties of Financial Durations; 3.4 Properties of Trading Characteristics; 3.5 Properties of Time Aggregated Data; 3.6 Summary of Major Empirical Findings; References; Chapter 4: Financial Point Processes; 4.1 Basic Concepts of Point Processes; 4.1.1 Fundamental Definitions; 4.1.1.1 Point Processes; 4.1.1.2 Counting Processes; 4.1.1.3 Durations and Backward Recurrence Times; 4.1.1.4 Filtrations and (Time-Varying) Covariates; 4.1.2 Compensators and Intensities. 4.1.3 The Homogeneous Poisson Process4.1.4 Generalizations of Poisson Processes; 4.1.5 A Random Time Change Argument; 4.1.6 Intensity-Based Inference; 4.1.7 Simulation and Diagnostics; 4.2 Four Ways to Model Point Processes; 4.2.1 Intensity Models; 4.2.2 Hazard Models; 4.2.2.1 Proportional Hazard (PH) Models; 4.2.2.2 Accelerated Failure Time Models; 4.2.3 Duration Models; 4.2.4 Count Data Models; 4.3 Censoring and Time-Varying Covariates; 4.3.1 Censoring; 4.3.2 Time-Varying Covariates; 4.4 An Outlook on Dynamic Extensions; References; Chapter 5: Univariate Multiplicative Error Models. 5.1 ARMA Models for Log Variables5.2 A MEM for Durations: The ACD Model; 5.3 Estimation of the ACD Model; 5.3.1 QML Estimation; 5.3.2 ML Estimation; 5.4 Seasonalities and Explanatory Variables; 5.5 The Log-ACD Model; 5.6 Testing the ACD Model; 5.6.1 Portmanteau Tests; 5.6.2 Independence Tests; 5.6.3 Distribution Tests; 5.6.4 Lagrange Multiplier Tests; 5.6.5 Conditional Moment Tests; 5.6.5.1 Adapting Newey's Conditional Moment Test; 5.6.5.2 Integrated Conditional Moment Tests; 5.6.6 Monte Carlo Evidence; References; Chapter 6: Generalized Multiplicative Error Models. 6.1 A Class of Augmented ACD Models
Titelhinweis	Buchausg. u.d.T.: ‡Hautsch, Nikolaus, 1972 - : Econometrics of financial high-frequency data
ISBN	ISBN 978-3-642-21925-2
Klassifikation	KCH
	BUS021000
	*91-02
	91G70
	91B84
	91B24
	62P20
	60G55
	62P05
	332.64015195
	330.015195
	330.1/5195
	HB139-141
	QH 330
Kurzbeschreibung	1 Introduction -- 2 Microstructure Foundations -- 3 Empirical Properties of High-Frequency Data -- 4 Financial Point Processes -- 5 Univariate Multiplicative Error Models -- 6 Generalized Multiplicative Error Models -- 7 Vector Multiplicative Error Models -- 8 Modelling High-Frequency Volatility -- 9 Estimating Market Liquidity -- 10 Semiparametric Dynamic Proportional Hazard Models -- 11 Univariate Dynamic Intensity Models -- 12 Multivariate Dynamic Intensity Models -- 13 Autoregressive Discrete Processes and Quote Dynamics -- Appendix: Important Distributions for Positive-Value Data -- Index
2. Kurzbeschreibung	The availability of financial data recorded on high-frequency level has inspired a research area which over the last decade emerged to a major area in econometrics and statistics. The growing popularity of high-frequency econometrics is driven by technological progress in trading systems and an increasing importance of intraday trading, liquidity risk, optimal order placement as well as high-frequency volatility. This book provides a state-of-the art overview on the major approaches in high-frequency econometrics, including univariate and multivariate autoregressive conditional mean approaches for different types of high-frequency variables, intensity-based approaches for financial point processes and dynamic factor models. It discusses implementation details, provides insights into properties of high-frequency data as well as institutional settings and presents applications to volatility and liquidity estimation, order book modelling and market microstructure analysis
1. Schlagwortkette	Börsenhandel
	Volatilität
	Ökonometrisches Modell
1. Schlagwortkette ANZEIGE DER KETTE	Börsenhandel -- Volatilität -- Ökonometrisches Modell
2. Schlagwortkette	Kapitalmarktforschung
2. Schlagwortkette	Ökonometrie
ANZEIGE DER KETTE	Kapitalmarktforschung -- Ökonometrie
3. Schlagwortkette	Börsenhandel
	Volatilität
	Ökonometrisches Modell
ANZEIGE DER KETTE	Börsenhandel -- Volatilität -- Ökonometrisches Modell
4. Schlagwortkette	Kapitalmarktforschung
4. Schlagwortkette	Ökonometrie
ANZEIGE DER KETTE	Kapitalmarktforschung -- Ökonometrie
SWB-Titel-Idn	355108267
Signatur	Springer E-Book
Bemerkungen	Elektronischer Volltext - Campuslizenz
Elektronische Adresse	$uhttp://dx.doi.org/10.1007/978-3-642-21925-2
Internetseite / Link	Volltext
Siehe auch	Inhaltstext
Siehe auch	Volltext
Siehe auch	Inhaltsverzeichnis
Siehe auch	Inhaltstext

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