High-Frequency Financial Econometrics
High-Frequency Financial Econometrics
High-Frequency Financial Econometrics by Yacine Aït-Sahalia and Jean Jacod
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.
Ebook format: PDFYacine 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.
Ebook page: 684
File size: 8.29 MB
$20.00
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