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Risk assessment for intraday trading.
~
ProQuest Information and Learning Co.
Risk assessment for intraday trading.
Record Type:
Language materials, manuscript : Monograph/item
Title/Author:
Risk assessment for intraday trading./
Author:
Dong, Fangfei.
Description:
1 online resource (109 pages)
Notes:
Source: Dissertation Abstracts International, Volume: 78-08(E), Section: A.
Contained By:
Dissertation Abstracts International78-08A(E).
Subject:
Finance. -
Online resource:
click for full text (PQDT)
ISBN:
9781369644173
Risk assessment for intraday trading.
Dong, Fangfei.
Risk assessment for intraday trading.
- 1 online resource (109 pages)
Source: Dissertation Abstracts International, Volume: 78-08(E), Section: A.
Thesis (Ph.D.)
Includes bibliographical references
In these days, high frequency hedge funds have developed as a new and successful category of hedge funds. Accordingly, risk management is now obliged to keep pace with this market and takes intraday-risk management into consideration.
Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2018
Mode of access: World Wide Web
ISBN: 9781369644173Subjects--Topical Terms:
559073
Finance.
Index Terms--Genre/Form:
554714
Electronic books.
Risk assessment for intraday trading.
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Dong, Fangfei.
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Risk assessment for intraday trading.
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2016
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1 online resource (109 pages)
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Source: Dissertation Abstracts International, Volume: 78-08(E), Section: A.
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Adviser: Svetlozar Rachev.
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Thesis (Ph.D.)
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State University of New York at Stony Brook
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2016.
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Includes bibliographical references
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In these days, high frequency hedge funds have developed as a new and successful category of hedge funds. Accordingly, risk management is now obliged to keep pace with this market and takes intraday-risk management into consideration.
520
$a
To aim to contribute on answering questions on intraday risk management, the dissertation consists of three parts. In first part, an intraday risk assessment model incorporating long-range dependence and heavy-tailness is suggested. Fractional integrated time series model with nearly elliptical distributed innovations are used to compute more accurate intraday level value at risk. Second part investigates the market efficiency by analyzing the relation between market sentiment and price movement. A theoretical consumption-based equilibrium model and empirical analysis are employed to show various behavior under different market sentiment and cross-sectional stocks. The third parts further analyzes the long-range dependence behaviors in equity markets cross-sectionally on different sampling frequencies and various market conditions.
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Electronic reproduction.
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Ann Arbor, Mich. :
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ProQuest,
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2018
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Mode of access: World Wide Web
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Finance.
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State University of New York at Stony Brook.
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Applied Mathematics and Statistics.
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78-08A(E).
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http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10195496
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click for full text (PQDT)
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