Financial Econometrics and Empirical Market Microstructure

Financial Econometrics and Empirical Market Microstructure

This contributed volume from the Perm Winter School address the problems of the mechanisms and statistics of the socio-economics system evolution with a focus on financial markets powered by the high-frequency data analysis.

Author: Anil K. Bera

Publisher: Springer

ISBN: 9783319099460

Category: Business & Economics

Page: 284

View: 990

In the era of Big Data our society is given the unique opportunity to understand the inner dynamics and behavior of complex socio-economic systems. Advances in the availability of very large databases, in capabilities for massive data mining, as well as progress in complex systems theory, multi-agent simulation and computational social science open the possibility of modeling phenomena never before successfully achieved. This contributed volume from the Perm Winter School address the problems of the mechanisms and statistics of the socio-economics system evolution with a focus on financial markets powered by the high-frequency data analysis. ​
Categories: Business & Economics

Empirical Market Microstructure

Empirical Market Microstructure

... price was the random walk. The random-walk model is no longer considered to
be a. Figure 3.1. PCO price record at different time scales. Figure 5.1. The event
tree for the basic sequential trade. 24 EMPIRICAL MARKET MICROSTRUCTURE
.

Author: Joel Hasbrouck

Publisher: Oxford University Press

ISBN: 0198041306

Category: Business & Economics

Page: 208

View: 191

The interactions that occur in securities markets are among the fastest, most information intensive, and most highly strategic of all economic phenomena. This book is about the institutions that have evolved to handle our trading needs, the economic forces that guide our strategies, and statistical methods of using and interpreting the vast amount of information that these markets produce. The book includes numerous exercises.
Categories: Business & Economics

Market Microstructure in Emerging and Developed Markets

Market Microstructure in Emerging and Developed Markets

Her research interests are in the areas of empirical market microstructure,
studying the role of information and liquidity in financial markets and empirical
asset pricing in the foreign exchange and fixed-income markets. She has
published ...

Author: H. Kent Baker

Publisher: John Wiley & Sons

ISBN: 9781118421482

Category: Business & Economics

Page: 544

View: 601

A comprehensive guide to the dynamic area of finance known asmarket microstructure Interest in market microstructure has grown dramatically inrecent years due largely in part to the rapid transformation of thefinancial market environment by technology, regulation, andglobalization. Looking at market transactions at the most granularlevel—and taking into account market structure, pricediscovery, information flows, transaction costs, and the tradingprocess—market microstructure also forms the basis ofhigh-frequency trading strategies that can help professionalinvestors generate profits and/or execute optimal transactions. Part of the Robert W. Kolb Series in Finance, MarketMicrostructure skillfully puts this discipline in perspectiveand examines how the working processes of markets impacttransaction costs, prices, quotes, volume, and trading behavior.Along the way, it offers valuable insights on how specific featuresof the trading process like the existence of intermediaries or theenvironment in which trading takes place affect the price formationprocess. Explore issues including market structure and design,transaction costs, information flows, and disclosure Addresses market microstructure in emerging markets Covers the legal and regulatory issues impacting this area offinance Contains contributions from both experienced financialprofessionals and respected academics in this field If you're looking to gain a firm understanding of marketmicrostructure, this book is the best place to start.
Categories: Business & Economics

Market Microstructure

Market Microstructure

Bouchaud, J.-P., J.D. Farmer and F. Lillo (2009) How Markets Slowly Digest
Changes in Supply and Demand, in Handbook of ... Hasbrouck, J. (2007)
Empirical Market Microstructure: The Institutions, Economics, and Econometrics
of Securities ...

Author: Frédéric Abergel

Publisher: John Wiley & Sons

ISBN: 9781119952787

Category: Business & Economics

Page: 416

View: 276

The latest cutting-edge research on market microstructure Based on the December 2010 conference on market microstructure, organized with the help of the Institut Louis Bachelier, this guide brings together the leading thinkers to discuss this important field of modern finance. It provides readers with vital insight on the origin of the well-known anomalous "stylized facts" in financial prices series, namely heavy tails, volatility, and clustering, and illustrates their impact on the organization of markets, execution costs, price impact, organization liquidity in electronic markets, and other issues raised by high-frequency trading. World-class contributors cover topics including analysis of high-frequency data, statistics of high-frequency data, market impact, and optimal trading. This is a must-have guide for practitioners and academics in quantitative finance.
Categories: Business & Economics

Econometric Modelling of Stock Market Intraday Activity

Econometric Modelling of Stock Market Intraday Activity

Time series analysis has been an active field of research since the seminal work by Box and Jenkins (1976), who introduced a gen eral framework in which time series can be analyzed.

Author: Luc Bauwens

Publisher: Springer Science & Business Media

ISBN: 9781475733815

Category: Business & Economics

Page: 180

View: 472

Over the past 25 years, applied econometrics has undergone tremen dous changes, with active developments in fields of research such as time series, labor econometrics, financial econometrics and simulation based methods. Time series analysis has been an active field of research since the seminal work by Box and Jenkins (1976), who introduced a gen eral framework in which time series can be analyzed. In the world of financial econometrics and the application of time series techniques, the ARCH model of Engle (1982) has shifted the focus from the modelling of the process in itself to the modelling of the volatility of the process. In less than 15 years, it has become one of the most successful fields of 1 applied econometric research with hundreds of published papers. As an alternative to the ARCH modelling of the volatility, Taylor (1986) intro duced the stochastic volatility model, whose features are quite similar to the ARCH specification but which involves an unobserved or latent component for the volatility. While being more difficult to estimate than usual GARCH models, stochastic volatility models have found numerous applications in the modelling of volatility and more particularly in the econometric part of option pricing formulas. Although modelling volatil ity is one of the best known examples of applied financial econometrics, other topics (factor models, present value relationships, term structure 2 models) were also successfully tackled.
Categories: Business & Economics

Empirical Studies of the Market Microstructure on the Swedish Stock Exchange

Empirical Studies of the Market Microstructure on the Swedish Stock Exchange

[1994] perform an empirical analysis of the effects of NYSE trading halts on stock
trading volume and price variability. ... In general, most empirical research in
stock market microstructure (as in other areas of financial economics) is
conducted ...

Author: Lars Nordén

Publisher:

ISBN: CORNELL:31924080853884

Category: Investments

Page: 167

View: 997

Categories: Investments

The Econometrics of Financial Markets

The Econometrics of Financial Markets

3.4 Recent Empirical Findings The empirical market microstructure literature is an
extensive one, straddling both academic and industry publications, and it is
difficult if not impossible to provide even a superficial review in a few pages.
Instead ...

Author: John Y. Campbell

Publisher: Princeton University Press

ISBN: 9781400830213

Category: Business & Economics

Page: 632

View: 846

The past twenty years have seen an extraordinary growth in the use of quantitative methods in financial markets. Finance professionals now routinely use sophisticated statistical techniques in portfolio management, proprietary trading, risk management, financial consulting, and securities regulation. This graduate-level textbook is intended for PhD students, advanced MBA students, and industry professionals interested in the econometrics of financial modeling. The book covers the entire spectrum of empirical finance, including: the predictability of asset returns, tests of the Random Walk Hypothesis, the microstructure of securities markets, event analysis, the Capital Asset Pricing Model and the Arbitrage Pricing Theory, the term structure of interest rates, dynamic models of economic equilibrium, and nonlinear financial models such as ARCH, neural networks, statistical fractals, and chaos theory. Each chapter develops statistical techniques within the context of a particular financial application. This exciting new text contains a unique and accessible combination of theory and practice, bringing state-of-the-art statistical techniques to the forefront of financial applications. Each chapter also includes a discussion of recent empirical evidence, for example, the rejection of the Random Walk Hypothesis, as well as problems designed to help readers incorporate what they have read into their own applications.
Categories: Business & Economics

Complex Systems in Finance and Econometrics

Complex Systems in Finance and Econometrics

Market. Microstructure. CLARA VEGA, CHRISTIAN S. MILLER1 Division of
International Finance, Board of Governors of ... O'Hara's Model Kyle Model
Empirical Market Microstructure Future Directions Bibliography Glossary Ask
price Price at ...

Author: Robert A. Meyers

Publisher: Springer Science & Business Media

ISBN: 9781441977007

Category: Business & Economics

Page: 406

View: 263

"This book consists of selections from the Encyclopedia of complexity and systems science edited by Robert A. Myers"--T.p. verso.
Categories: Business & Economics