A comprehensive collection of up-to-date empirical and analytical research within high-frequency finance
Reflecting the fast pace and ever-evolving nature of the financial industry, the Handbook of High-Frequency Trading and Modeling in Finance details how high-frequency analysis presents new systematic approaches to implementing quantitative activities with high-frequency financial data.
Introducing the mathematical foundations necessary to analyze realistic market models and scenarios, the handbook begins with a presentation of the dynamics and complexity of futures and derivatives markets as well as the portfolio optimization problem using quantum computers. Subsequently, the handbook addresses estimating complex model parameters using high-frequency data. Finally, the handbook focuses on the links between models used in financial markets and models used in other research areas such as geophysics, fossil records, and earthquake studies.The Handbook of High-Frequency Trading and Modeling in Finance also features:
- Contributions by well-known experts within the academic, industrial, and regulatory fields
- A well-structured outline on the various data analysis methodologies used to identify new trading opportunities
- Newly-emerging quantitative tools that address growing concerns relating to high-frequency data such as stochastic volatility and volatility tracking; stochastic jump processes for limit-order books and broader market indicators; and option markets
- Multiple practical applications using real-world data to help readers better understand the presented material
finance, economics, business, econophyiscs, high-frequency, trading, modeling, statistics, mathematics, computer science, volatility, quantitative finance, applied statistics, financial engineering, financial econometrics
- Florescu, Ionut
- Mariani, Maria C.
- Stanley, H. Eugene
- Viens, Frederi G.
- John Wiley and Sons, Inc.
- Publication year
- Wiley Handbooks in Financial Engineering and Econometrics
- Page amount
- 456 pages
- eISBN (ePUB)
- Printed ISBN