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Financial econometrics and empirical...

Bera, Anil K.

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Financial econometrics and empirical market microstructure

Record Type:	Electronic resources : Monograph/item
Title/Author:	Financial econometrics and empirical market microstructure/ edited by Anil K. Bera, Sergey Ivliev, Fabrizio Lillo.
other author:	Bera, Anil K.
Published:	Cham :Springer International Publishing : : 2015.,
Description:	viii, 284 p. :ill., digital ;24 cm.
[NT 15003449]:	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.
Contained By:	Springer eBooks
Subject:	Finance - Mathematical models. -
Online resource:	http://dx.doi.org/10.1007/978-3-319-09946-0
ISBN:	9783319099460 (electronic bk.)

Financial econometrics and empirical market microstructure
Financial econometrics and empirical market microstructure[electronic resource] /edited by Anil K. Bera, Sergey Ivliev, Fabrizio Lillo. - Cham :Springer International Publishing :2015. - viii, 284 p. :ill., digital ;24 cm.

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.

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.

ISBN: 9783319099460 (electronic bk.)

Standard No.: 10.1007/978-3-319-09946-0doiSubjects--Topical Terms:

578740
Finance
--Mathematical models.

LC Class. No.: HG4521

Dewey Class. No.: 332.642

Financial econometrics and empirical market microstructure
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245 0 0 $a Financial econometrics and empirical market microstructure $h [electronic resource] / $c edited by Anil K. Bera, Sergey Ivliev, Fabrizio Lillo.
260 $a Cham : $b Springer International Publishing : $b Imprint: Springer, $c 2015.
300 $a viii, 284 p. : $b ill., digital ; $c 24 cm.
505 0 $a 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.
520 $a 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.
650 0 $a Finance $x Mathematical models. $3 578740
650 0 $a Stock exchanges $x Mathematical models. $3 650004
650 0 $a Investments $x Mathematical models. $3 549985
650 0 $a Microfinance. $3 782286
650 1 4 $a Economics/Management Science. $3 890844
650 2 4 $a Finance/Investment/Banking. $3 1530231
650 2 4 $a Econometrics. $3 542934
650 2 4 $a Quantitative Finance. $3 891090
650 2 4 $a Financial Economics. $3 895543
650 2 4 $a Statistics for Business/Economics/Mathematical Finance/Insurance. $3 891081
700 1 $a Bera, Anil K. $3 2131592
700 1 $a Ivliev, Sergey. $3 1568275
700 1 $a Lillo, Fabrizio. $3 2131593
710 2 $a SpringerLink (Online service) $3 836513
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856 4 0 $u http://dx.doi.org/10.1007/978-3-319-09946-0
950 $a Business and Economics (Springer-11643)