大葉大學圖書館 |

Financial econometrics and empirical market microstructure[electronic resource] /

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
杜威分類號:	332.642
書名/作者:	Financial econometrics and empirical market microstructure/ edited by Anil K. Bera, Sergey Ivliev, Fabrizio Lillo.
其他作者:	Bera, Anil K.
出版者:	Cham : : Springer International Publishing :, 2015.
面頁冊數:	viii, 284 p. : : ill., digital ;; 24 cm.
Contained By:	Springer eBooks
標題:	Finance - Mathematical models.
標題:	Stock exchanges - Mathematical models.
標題:	Investments - Mathematical models.
標題:	Microfinance.
標題:	Economics/Management Science.
標題:	Finance/Investment/Banking.
標題:	Econometrics.
標題:	Quantitative Finance.
標題:	Financial Economics.
標題:	Statistics for Business/Economics/Mathematical Finance/Insurance.
ISBN:	9783319099460 (electronic bk.)
ISBN:	9783319099453 (paper)
內容註:	Mathematical Models of Price Impact and Optimal Portfolio Management in Illiquid Markets -- Evidence of Microstructure Variables' Nonlinear Dynamics from Noised High-Frequency Data -- Revisiting of Empirical Zero Intelligence Models -- Construction and Backtesting of a Multi-Factor Stress-Scenario for the Stock Market -- Modeling Financial Market Using Percolation Theory -- How Tick Size Affects the High Frequency Scaling of Stock Return Distributions -- Market Shocks: Review of Studies -- The Synergy of Rating Agencies' Efforts: Russian Experience -- Spread Modelling Under Asymmetric Information -- On the Modeling of Financial Time Series -- Adaptive Stress Testing: Amplifying Network Intelligence by Integrating Outlier Information -- On Some Approaches to Managing Market Risk Using Var Limits: A Note -- Simulating the Synchronizing Behavior of High-Frequency Trading in Multiple Markets -- Raising Issues About Impact of High Frequency Trading on Market Liquidity -- Application of Copula Models for Modeling One-Dimensional Time Series -- Modeling Demand for Mortgage Loans Using Loan-Level Data -- Sample Selection Bias in Mortgage Market Credit Risk Modeling -- Global Risk Factor Theory and Risk Scenario Generation Based on the Rogov-Causality Test of Time Series Time-Warped Longest Common Subsequence -- Stress-Testing Model for Corporate Borrower Portfolios.
摘要、提要註:	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.
電子資源:	http://dx.doi.org/10.1007/978-3-319-09946-0

Financial econometrics and empirical market microstructure[electronic resource] /
Financial econometrics and empirical market microstructure[electronic resource] /edited by Anil K. Bera, Sergey Ivliev, Fabrizio Lillo. - Cham :Springer International Publishing :2015. - viii, 284 p. :ill., digital ;24 cm.

Mathematical Models of Price Impact and Optimal Portfolio Management in Illiquid Markets -- Evidence of Microstructure Variables' Nonlinear Dynamics from Noised High-Frequency Data -- Revisiting of Empirical Zero Intelligence Models -- Construction and Backtesting of a Multi-Factor Stress-Scenario for the Stock Market -- Modeling Financial Market Using Percolation Theory -- How Tick Size Affects the High Frequency Scaling of Stock Return Distributions -- Market Shocks: Review of Studies -- The Synergy of Rating Agencies' Efforts: Russian Experience -- Spread Modelling Under Asymmetric Information -- On the Modeling of Financial Time Series -- Adaptive Stress Testing: Amplifying Network Intelligence by Integrating Outlier Information -- On Some Approaches to Managing Market Risk Using Var Limits: A Note -- Simulating the Synchronizing Behavior of High-Frequency Trading in Multiple Markets -- Raising Issues About Impact of High Frequency Trading on Market Liquidity -- Application of Copula Models for Modeling One-Dimensional Time Series -- Modeling Demand for Mortgage Loans Using Loan-Level Data -- Sample Selection Bias in Mortgage Market Credit Risk Modeling -- Global Risk Factor Theory and Risk Scenario Generation Based on the Rogov-Causality Test of Time Series Time-Warped Longest Common Subsequence -- Stress-Testing Model for Corporate Borrower Portfolios.

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.

ISBN: 9783319099460 (electronic bk.)

Standard No.: 10.1007/978-3-319-09946-0doiSubjects--Topical Terms:

342179
Finance
--Mathematical models.

LC Class. No.: HG4521

Dewey Class. No.: 332.642

Financial econometrics and empirical market microstructure[electronic resource] /
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