: Luc Bauwens, Winfried Pohlmeier, David Veredas
: High Frequency Financial Econometrics Recent Developments
: Physica-Verlag
: 9783790819922
: 1
: CHF 87.40
:
: Allgemeines, Lexika
: English
: 312
: Wasserzeichen/DRM
: PC/MAC/eReader/Tablet
: PDF

Shedding light on some of the most pressing open questions in the analysis of high frequency data, this volume presents cutting-edge developments in high frequency financial econometrics. Coverage spans a diverse range of topics, including market microstructure, tick-by-tick data, bond and foreign exchange markets, and large dimensional volatility modeling. The volume is of interest to graduate students, researchers, and industry professionals.

Contents5
Editor’s introduction: recent developments in high frequency financial econometrics7
Exchange rate volatility and the mixture of distribution hypothesis12
Asymmetries in bid and ask responses to innovations in the trading process53
Liquidity supply and adverse selection in a pure limit order book market87
How large is liquidity risk in an automated auction market?114
Order aggressiveness and order book dynamics135
Modelling financial transaction price movements: a dynamic integer count data model168
The performance analysis of chart patterns: Monte Carlo simulation and evidence from the euro/dollar foreign exchange market199
Intraday stock prices, volume, and duration: a nonparametric conditional density analysis251
Macroeconomic surprises and short-term behaviour in bond futures267
Dynamic modelling of large-dimensional covariance matrices291