Download Book High-Frequency Financial Econometrics By Yacine Ait-Sahalia

High-Frequency Financial Econometrics

High-Frequency Financial Econometrics

High-frequency trading is an algorithm-based computerized trading practice that allows firms to trade stocks in milliseconds. Over the last fifteen years, the use of statistical and econometric methods for analyzing high-frequency financial data has grown exponentially. This growth has beendriven by the increasing availability of such data, the technological advancements that make high-frequency trading strategies possible, and the need of practitioners to analyze these data. This comprehensive book introduces readers to these emerging methods and tools of analysis.Yacine A?t-Sahaliaand Jean Jacod cover the mathematical foundations of stochastic processes, describe the primary characteristics of high-frequency financial data, and present the asymptotic concepts that their analysis relies on. A?t-Sahalia and Jacod also deal with estimation of the volatility portion of the model, including methods that are robust to market microstructure noise, and address estimation and testing

Product details: High-Frequency Financial Econometrics

High-Frequency Financial Econometrics

Author : Yacine Ait-Sahalia

Pages : 688 pages

Publisher : Princeton University Press

Language :

ISBN-10 : 0691161437

ISBN-13 : 9780691161433








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