Stock Image

High-Frequency Financial Econometrics

At-Sahalia, Yacine, Jacod, Jean

Published by Princeton University Press
ISBN 10: 0691161437 / ISBN 13: 9780691161433
New / Hardcover / Quantity Available: 1
From Kennys Bookstore (Olney, MD, U.S.A.)
Available From More Booksellers
View all  copies of this book
Add to basket
List Price:
Price: 46.25
Convert Currency
Shipping: 0
Within U.S.A.
Destination, Rates & Speeds

Save for Later

About the Book

Bibliographic Details


Title: High-Frequency Financial Econometrics

Publisher: Princeton University Press

Binding: Hardcover

Book Condition: New

Description:

High-frequency trading is an algorithm-based computerized trading practice that allows firms to trade stocks in milliseconds. This book introduces readers to these emerging methods and tools of analysis. Num Pages: 688 pages, 35 line illus. 3 tables. BIC Classification: KCA; KCH; KFF. Category: (P) Professional & Vocational; (U) Tertiary Education (US: College). Dimension: 242 x 157 x 42. Weight in Grams: 1086. . 2014. Hardcover. . . . . Books ship from the US and Ireland. Bookseller Inventory # V9780691161433

About this title:

Book ratings provided by GoodReads:
0 avg rating
(0 ratings)

Synopsis:

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.


From the Inside Flap:

"An important and timely work by two of the leading experts in high-frequency data. Aït-Sahalia and Jacod take readers to the very forefront of this rapidly evolving area. They cover both the practical side of financial data and the mathematical theory of stochastic processes, and show how to connect the two. High-Frequency Financial Econometrics is a must-read for academics and practitioners alike."--Per Mykland, University of Chicago


"This comprehensive and accessible book provides a valuable introduction to the recently developed tools for modeling and inference based on very high-frequency financial data. A wonderful achievement, High-Frequency Financial Econometrics is destined to become a classic."--Torben G. Andersen, Northwestern University


"This book is simply breathtaking. High-Frequency Financial Econometrics is a serious scholarly contribution that, wonderfully, will also be of great interest to practitioners."--Francis X. Diebold, coauthor of Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach


"About this title" may belong to another edition of this title.

Bookseller & Payment Information

Payment Methods

This bookseller accepts the following methods of payment:

  • American Express
  • MasterCard
  • Visa

[Search this Seller's Books]

[List this Seller's Books]

[Ask Bookseller a Question]

Bookseller: Kennys Bookstore
Address: Olney, MD, U.S.A.

AbeBooks Bookseller Since: 09 October 2009
Bookseller Rating: 5-star rating

Terms of Sale:

We guarantee the condition of every book as it's described on the Abebooks web
sites. If you're dissatisfied with your purchase (Incorrect Book/Not as
Described/Damaged) or if the order hasn't arrived, you're eligible for a refund
within 30 days of the estimated delivery date. For any queries please use the contact seller link or send an email to books@kennys.ie,

Conor Kenny


Shipping Terms:

All books securely packaged. Some books ship from Ireland.


Store Description: We carry a comprehensive range of out of print and rare books.