By Yacine Aït-Sahalia
High-frequency buying and selling is an algorithm-based automatic buying and selling perform that permits corporations to exchange shares in milliseconds. during the last fifteen years, using statistical and econometric tools for studying high-frequency monetary facts has grown exponentially. This development has been pushed by means of the expanding availability of such info, the technological developments that make high-frequency buying and selling techniques attainable, and the necessity of practitioners to investigate those info. This complete booklet introduces readers to those rising tools and instruments of analysis.
Yacine Aït-Sahalia and Jean Jacod hide the mathematical foundations of stochastic procedures, describe the first features of high-frequency monetary information, and current the asymptotic thoughts that their research is determined by. Aït-Sahalia and Jacod additionally care for estimation of the volatility section of the version, together with tools which are strong to industry microstructure noise, and deal with estimation and trying out questions concerning the leap a part of the version. As they display, the sensible significance and relevance of jumps in monetary facts are universally famous, yet just recently have econometric tools turn into on hand to scrupulously learn bounce processes.
Aït-Sahalia and Jacod technique high-frequency econometrics with a unique specialise in the monetary aspect of issues whereas keeping technical rigor, which makes this publication beneficial to researchers and practitioners alike.
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