[PDF.87po] Econometrics of Financial High-Frequency Data

Econometrics of Financial High-Frequency Data

[PDF.rh79] Econometrics of Financial High-Frequency Data

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 | #1462681 in Books |  2011-10-12 | Original language:English | PDF # 1 |  9.21 x.88 x6.14l,1.58 | File type: PDF | 374 pages

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||6 of 6 people found the following review helpful.| Solid|By Dimitri Shvorob|The book offers a wide-ranging survey of the various types of econometric models applied to tick data, written by an active contributor to the field. (Most chapters feature the author's publications). The editorial description is accurate but stretches the truth when mentioning "implementation details" and "institutional settings". There is not a lot of|From the Back Cover|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 drive

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 majo...

You can specify the type of files you want, for your device.Econometrics of Financial High-Frequency Data   |  Nikolaus Hautsch.Not only was the story interesting, engaging and relatable, it also teaches lessons.

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