Download or read book High Frequency Financial Econometrics written by Yacine Aït-Sahalia and published by Princeton University Press. This book was released on 2014-07-21 with total page 683 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive introduction to the statistical and econometric methods for analyzing high-frequency financial data 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.
Download or read book Computer Mediated Communication written by Susan C. Herring and published by John Benjamins Publishing. This book was released on 1996-06-26 with total page 326 pages. Available in PDF, EPUB and Kindle. Book excerpt: Text-based interaction among humans connected via computer networks, such as takes place via email and in synchronous modes such as “chat”, MUDs and MOOs, has attracted considerable popular and scholarly attention. This collection of 14 articles on text-based computer-mediated communication (CMC), is the first to bring empirical evidence from a variety of disciplinary perspectives to bear on questions raised by the new medium. The first section, linguistic perspectives, addresses the question of how CMC compares with speaking and writing, and describes its unique structural characteristics. Section two, on social and ethical perspectives, explores conflicts between the interests of groups and those of individual users, including issues of online sex and sexism. In the third section, cross-cultural perspectives, the advantages and risks of using CMC to communicate across cultures are examined in three studies involving users in East Asia, Mexico, and students of ethnically diverse backgrounds in remedial writing classes in the United States. The final section deals with the effects of CMC on group interaction: in a women’s studies mailing list, a hierarchically-organized workplace, and a public protest on the Internet against corporate interests.
Download or read book Dynamic Factor Models written by Jörg Breitung and published by . This book was released on 2005 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Dissertation Abstracts International written by and published by . This book was released on 2007 with total page 902 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Elements of Financial Econometrics written by Jianqing Fan and published by Cambridge University Press. This book was released on 2017-03-23 with total page 394 pages. Available in PDF, EPUB and Kindle. Book excerpt: A compact, master's-level textbook on financial econometrics, focusing on methodology and including real financial data illustrations throughout. The mathematical level is purposely kept moderate, allowing the power of the quantitative methods to be understood without too much technical detail.
Download or read book Discretization of Processes written by Jean Jacod and published by Springer Science & Business Media. This book was released on 2011-10-22 with total page 596 pages. Available in PDF, EPUB and Kindle. Book excerpt: In applications, and especially in mathematical finance, random time-dependent events are often modeled as stochastic processes. Assumptions are made about the structure of such processes, and serious researchers will want to justify those assumptions through the use of data. As statisticians are wont to say, “In God we trust; all others must bring data.” This book establishes the theory of how to go about estimating not just scalar parameters about a proposed model, but also the underlying structure of the model itself. Classic statistical tools are used: the law of large numbers, and the central limit theorem. Researchers have recently developed creative and original methods to use these tools in sophisticated (but highly technical) ways to reveal new details about the underlying structure. For the first time in book form, the authors present these latest techniques, based on research from the last 10 years. They include new findings. This book will be of special interest to researchers, combining the theory of mathematical finance with its investigation using market data, and it will also prove to be useful in a broad range of applications, such as to mathematical biology, chemical engineering, and physics.
Download or read book Morphological Integration written by Everett C. Olson and published by University of Chicago Press. This book was released on 1999-10 with total page 380 pages. Available in PDF, EPUB and Kindle. Book excerpt: Despite recent advances in genetics, development, anatomy, systematics, and morphometrics, the synthesis of ideas and research agenda put forth in the classic Morphological Integration remains remarkably fresh, timely, and relevant. Pioneers in reexamining morphology, Everett Olson and Robert Miller were among the first to explore the concept of the integrated organism in both living and extinct populations. In a new foreword and afterword, biologists Barry Chernoff and Paul Magwene summarize the landmark achievements made by Olson and Miller and bring matters discussed in the book up to date, suggest new methods, and accentuate the importance of continued research in morphological integration. Everett C. Olson was a professor at the University of Chicago and at the University of California, Los Angeles. He was a former president of the Society of Vertebrate Paleontology. Robert L. Miller was associate professor of geology at the University of Chicago, associate scientist in marine geology at the Woods Hole Oceanographic Institution, and a member of the board of editors of the Journal of Geology.
Download or read book Transportation Research Record written by and published by . This book was released on 1996 with total page 608 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Nuclear Science Abstracts written by and published by . This book was released on 1976-04 with total page 912 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Bulletin of the Atomic Scientists written by and published by . This book was released on 1961-05 with total page 88 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Bulletin of the Atomic Scientists is the premier public resource on scientific and technological developments that impact global security. Founded by Manhattan Project Scientists, the Bulletin's iconic "Doomsday Clock" stimulates solutions for a safer world.
Download or read book Journal of Research of the National Bureau of Standards written by United States. National Bureau of Standards and published by . This book was released on 1958-07 with total page 554 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Journal of Research of the National Bureau of Standards written by and published by . This book was released on 1965 with total page 712 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Reviewer s Guide to Quantitative Methods in the Social Sciences written by Gregory R. Hancock and published by Routledge. This book was released on 2010-04-26 with total page 449 pages. Available in PDF, EPUB and Kindle. Book excerpt: Designed for reviewers of research manuscripts and proposals in the social and behavioral sciences, and beyond, this title includes chapters that address traditional and emerging quantitative methods of data analysis.
Download or read book Discrete Choice Methods with Simulation written by Kenneth Train and published by Cambridge University Press. This book was released on 2009-07-06 with total page 399 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book describes the new generation of discrete choice methods, focusing on the many advances that are made possible by simulation. Researchers use these statistical methods to examine the choices that consumers, households, firms, and other agents make. Each of the major models is covered: logit, generalized extreme value, or GEV (including nested and cross-nested logits), probit, and mixed logit, plus a variety of specifications that build on these basics. Simulation-assisted estimation procedures are investigated and compared, including maximum stimulated likelihood, method of simulated moments, and method of simulated scores. Procedures for drawing from densities are described, including variance reduction techniques such as anithetics and Halton draws. Recent advances in Bayesian procedures are explored, including the use of the Metropolis-Hastings algorithm and its variant Gibbs sampling. The second edition adds chapters on endogeneity and expectation-maximization (EM) algorithms. No other book incorporates all these fields, which have arisen in the past 25 years. The procedures are applicable in many fields, including energy, transportation, environmental studies, health, labor, and marketing.
Download or read book Ionospheric Radio Propagation written by Central Radio Propagation Laboratory (U.S.) and published by . This book was released on 1948 with total page 222 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Immunobiology Of Natural Killer Cells written by Eva Lotzova and published by CRC Press. This book was released on 2019-07-23 with total page 358 pages. Available in PDF, EPUB and Kindle. Book excerpt: First published in 1986: This book contributes to the advancing knowledge of reads in the field of NK cells, and will be helpful as a teaching device.
Download or read book An Introduction to Applied Multivariate Analysis with R written by Brian Everitt and published by Springer Science & Business Media. This book was released on 2011-04-23 with total page 284 pages. Available in PDF, EPUB and Kindle. Book excerpt: The majority of data sets collected by researchers in all disciplines are multivariate, meaning that several measurements, observations, or recordings are taken on each of the units in the data set. These units might be human subjects, archaeological artifacts, countries, or a vast variety of other things. In a few cases, it may be sensible to isolate each variable and study it separately, but in most instances all the variables need to be examined simultaneously in order to fully grasp the structure and key features of the data. For this purpose, one or another method of multivariate analysis might be helpful, and it is with such methods that this book is largely concerned. Multivariate analysis includes methods both for describing and exploring such data and for making formal inferences about them. The aim of all the techniques is, in general sense, to display or extract the signal in the data in the presence of noise and to find out what the data show us in the midst of their apparent chaos. An Introduction to Applied Multivariate Analysis with R explores the correct application of these methods so as to extract as much information as possible from the data at hand, particularly as some type of graphical representation, via the R software. Throughout the book, the authors give many examples of R code used to apply the multivariate techniques to multivariate data.
