Financial econometrics and empirical...
Bera, Anil K.

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  • Financial econometrics and empirical market microstructure
  • 紀錄類型: 書目-電子資源 : Monograph/item
    正題名/作者: Financial econometrics and empirical market microstructure/ edited by Anil K. Bera, Sergey Ivliev, Fabrizio Lillo.
    其他作者: Bera, Anil K.
    出版者: Cham :Springer International Publishing : : 2015.,
    面頁冊數: viii, 284 p. :ill., digital ;24 cm.
    內容註: 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
    標題: Finance - Mathematical models. -
    電子資源: http://dx.doi.org/10.1007/978-3-319-09946-0
    ISBN: 9783319099460 (electronic bk.)
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