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Bauwens, Luc - High Frequency Financial Econometrics, ebook

High Frequency Financial Econometrics

Bauwens, Luc


Editor's introduction: recent developments in high frequency financial econometrics
Luc Bauwens, Winfried Pohlmeier, David Veredas
2. Exchange rate volatility and the mixture of distribution

Abergel, Frédéric - Market Microstructure: Confronting Many Viewpoints, ebook

Market Microstructure: Confronting Many Viewpoints

Abergel, Frédéric


It provides readers with vital insight on the origin of the well-known anomalous "stylized facts" in financial prices series, namely heavy tails, volatility, and clustering, and illustrates their impact on the organization of markets, execution costs, price impact,