Financial econometrics and empirical market microstructure
著者
書誌事項
Financial econometrics and empirical market microstructure
Springer, c2015
大学図書館所蔵 全10件
  青森
  岩手
  宮城
  秋田
  山形
  福島
  茨城
  栃木
  群馬
  埼玉
  千葉
  東京
  神奈川
  新潟
  富山
  石川
  福井
  山梨
  長野
  岐阜
  静岡
  愛知
  三重
  滋賀
  京都
  大阪
  兵庫
  奈良
  和歌山
  鳥取
  島根
  岡山
  広島
  山口
  徳島
  香川
  愛媛
  高知
  福岡
  佐賀
  長崎
  熊本
  大分
  宮崎
  鹿児島
  沖縄
  韓国
  中国
  タイ
  イギリス
  ドイツ
  スイス
  フランス
  ベルギー
  オランダ
  スウェーデン
  ノルウェー
  アメリカ
注記
Includes bibliographical references
内容説明・目次
内容説明
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.
目次
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.
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