國立虎尾科技大學 |

Financial econometrics and empirical market microstructure

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/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. -
電子資源:	http://dx.doi.org/10.1007/978-3-319-09946-0
ISBN:	9783319099460 (electronic bk.)

Financial econometrics and empirical market microstructure
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:

557653
Finance
--Mathematical models.

LC Class. No.: HG4521

Dewey Class. No.: 332.642

Financial econometrics and empirical market microstructure
LDR:03062nam a2200337 a 4500 001 834944
003 DE-He213
005 20150630154841.0
006 m d
007 cr nn 008maaau
008 160421s2015 gw s 0 eng d
020 $a 9783319099460 (electronic bk.)
020 $a 9783319099453 (paper)
024 7 $a 10.1007/978-3-319-09946-0 $2 doi
035 $a 978-3-319-09946-0
040 $a GP $c GP
041 0 $a eng
050 4 $a HG4521
072 7 $a KFF $2 bicssc
072 7 $a KFFK $2 bicssc
072 7 $a BUS027000 $2 bisacsh
072 7 $a BUS004000 $2 bisacsh
082 0 4 $a 332.642 $2 23
090 $a HG4521 $b .F491 2015
245 0 0 $a Financial econometrics and empirical market microstructure $h [electronic resource] / $c edited by Anil K. Bera, Sergey Ivliev, Fabrizio Lillo.
260 $a Cham : $c 2015. $b Springer International Publishing : $b Imprint: Springer,
300 $a viii, 284 p. : $b ill., digital ; $c 24 cm.
505 0 $a 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.
520 $a 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.
650 0 $a Finance $x Mathematical models. $3 557653
650 0 $a Stock exchanges $x Mathematical models. $3 566108
650 0 $a Investments $x Mathematical models. $3 566107
650 0 $a Microfinance. $3 558495
650 1 4 $a Economics/Management Science. $3 669170
650 2 4 $a Finance/Investment/Banking. $3 785040
650 2 4 $a Econometrics. $3 556981
650 2 4 $a Quantitative Finance. $3 669372
650 2 4 $a Financial Economics. $3 669216
650 2 4 $a Statistics for Business/Economics/Mathematical Finance/Insurance. $3 669275
700 1 $a Bera, Anil K. $3 1063840
700 1 $a Ivliev, Sergey. $3 890481
700 1 $a Lillo, Fabrizio. $3 1063841
710 2 $a SpringerLink (Online service) $3 593884
773 0 $t Springer eBooks
856 4 0 $u http://dx.doi.org/10.1007/978-3-319-09946-0
950 $a Business and Economics (Springer-11643)