Handbook of Modeling High-Frequency Data in Finance

Handbook of Modeling High-Frequency Data in Finance

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qThis exciting volume presents cutting-edge developments in high frequency financial econometrics, spanning a diverse range of topics: stochastic modeling, statistical analysis of high-frequency data, models in econophysics, applications to the analysis of high-frequency data, systems and complex adaptive systems in finance, among a host of others. Written, in part, on the outgrowth of several recent conferences in the subject matter and in concert with over two-dozen experts in the field, the main purpose of the handbook is to mathematically illustrate the fundamental implementation of high-frequency models in the banking and financial industries, both at home and abroad, through use of real-world, time-sensitive applications. By using examples derived from consulting projects, current research and course instruction, each chapter in the book offers a systematic understanding of the recent advances in high-frequency modeling related to real-world situations. Every effort is made to present a balanced treatment between theory and practice, as well as to showcase how accuracy and efficiency in implementing various methods can be used as indispensable tools. To by-pass tedious computation, software illustrations are presented in an assortment of packages, ranging from R, C++, EXCEL-VBA, Minitab, to JMP/SAS. Shedding light on some of the most relevant open questions in the analysis of high-frequency data, this volume will be of interest to graduate students, researchers and industry professionalsq--In this line of research, Seo et al. (2004) and Decker et al. (1996) describe a multiagent portfolio management system that automatically classifies financial news. Thomas (2003) combines news classification with technical analysis indicators inanbsp;...

Title:Handbook of Modeling High-Frequency Data in Finance
Author:Frederi G. Viens, Maria C. Mariani, Ionut Florescu
Publisher:John Wiley & Sons - 2011-12-20


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