MARC details
| 000 -LEADER |
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| fixed length control field |
03088cam a2200253 i 4500 |
| 001 - CONTROL NUMBER |
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| control field |
136262 |
| 003 - CONTROL NUMBER IDENTIFIER |
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| control field |
ISI Library, Kolkata |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
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| control field |
20151014163004.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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| fixed length control field |
131120s2014 njua b 001 0 eng |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
9780691161433 (hardback) |
| 040 ## - CATALOGING SOURCE |
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| Original cataloging agency |
ISI Library |
| 082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER |
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| Classification number |
332.015195 |
| Edition number |
23 |
| Item number |
Ai311 |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
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| Personal name |
Ait-Sahalia, Yacine. |
| 245 10 - TITLE STATEMENT |
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| Title |
High-frequency financial econometrics / |
| Statement of responsibility, etc |
Yacine Ait-Sahalia and Jean Jacod. |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) |
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| Place of publication, distribution, etc |
Princeton : |
| Name of publisher, distributor, etc |
Princeton University Press, |
| Date of publication, distribution, etc |
c2014. |
| 300 ## - PHYSICAL DESCRIPTION |
|---|
| Extent |
xxiv, 659 p. : |
| Other physical details |
illustrations ; |
| Dimensions |
24 cm. |
| 504 ## - BIBLIOGRAPHY, ETC. NOTE |
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| Bibliography, etc |
Includes bibliographical references (pages 633-656) and index. |
| 505 0# - FORMATTED CONTENTS NOTE |
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| Formatted contents note |
1. From diffusions to semimartingales --<br/>2. Data considerations --<br/>3. Introduction to asymptotic theory: volatility estimation for a continuous process --<br/>4. With jumps: an introduction to power variations --<br/>5. High-frequency observations: identifiability and asymptotic efficiency --<br/>6. Estimating integrated volatility: the base case with no noise and equidistant observations --<br/>7. Volatility and microstructure noise --<br/>8. Estimating spot volatility --<br/>9. Volatility and irregularly spaced observations --<br/>10. Testing for jumps --<br/>11. Finer analysis of jumps: the degree of jump activity --<br/>12. Finite or infinite activity for jumps? --<br/>13. Is Brownian motion really necessary? --<br/>14. Co-jumps --<br/> A: Asymptotic results for power variations --<br/> B: Miscellaneous proofs--<br/>Bibliography--<br/>Index. |
| 520 ## - SUMMARY, ETC. |
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| Summary, etc |
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 been driven 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 Aït-Sahalia and 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. Aït-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 questions involving the jump part of the model. As they demonstrate, the practical importance and relevance of jumps in financial data are universally recognized, but only recently have econometric methods become available to rigorously analyze jump processes.Aït-Sahalia and Jacod approach high-frequency econometrics with a distinct focus on the financial side of matters while maintaining technical rigor, which makes this book invaluable to researchers and practitioners alike. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Finance |
| General subdivision |
Econometric models. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Econometrics. |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
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| Personal name |
Jacod, Jean. |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
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| Source of classification or shelving scheme |
Dewey Decimal Classification |
| Koha item type |
Books |
