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Risk assessment for intraday trading.

ProQuest Information and Learning Co.

Risk assessment for intraday trading.

紀錄類型:	書目-語言資料,手稿 : Monograph/item
正題名/作者:	Risk assessment for intraday trading./
作者:	Dong, Fangfei.
面頁冊數:	1 online resource (109 pages)
附註:	Source: Dissertation Abstracts International, Volume: 78-08(E), Section: A.
Contained By:	Dissertation Abstracts International78-08A(E).
標題:	Finance. -
電子資源:	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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035 $a (MiAaPQ)AAI10195496
035 $a (MiAaPQ)grad.sunysb:13065
035 $a AAI10195496
040 $a MiAaPQ $b eng $c MiAaPQ
099 $a TUL $f hyy $c available through World Wide Web
100 1 $a Dong, Fangfei. $3 1179125
245 1 0 $a Risk assessment for intraday trading.
264 0 $c 2016
300 $a 1 online resource (109 pages)
336 $a text $b txt $2 rdacontent
337 $a computer $b c $2 rdamedia
338 $a online resource $b cr $2 rdacarrier
500 $a Source: Dissertation Abstracts International, Volume: 78-08(E), Section: A.
500 $a Adviser: Svetlozar Rachev.
502 $a Thesis (Ph.D.) $c State University of New York at Stony Brook $d 2016.
504 $a Includes bibliographical references
520 $a 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.
533 $a Electronic reproduction. $b Ann Arbor, Mich. : $c ProQuest, $d 2018
538 $a Mode of access: World Wide Web
650 4 $a Finance. $3 559073
650 4 $a Economics. $3 555568
655 7 $a Electronic books. $2 local $3 554714
690 $a 0508
690 $a 0501
710 2 $a ProQuest Information and Learning Co. $3 1178819
710 2 $a State University of New York at Stony Brook. $b Applied Mathematics and Statistics. $3 1179106
773 0 $t Dissertation Abstracts International $g 78-08A(E).
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10195496 $z click for full text (PQDT)

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