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An introduction to high-frequency finance [[electronic resource] /] / Michel M. Dacorogna ... [et al.]
| An introduction to high-frequency finance [[electronic resource] /] / Michel M. Dacorogna ... [et al.] |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | San Diego, : Academic Press, c2001 |
| Descrizione fisica | 1 online resource (411 p.) |
| Disciplina | 332.0151955 |
| Altri autori (Persone) | DacorognaMichel M |
| Soggetto topico |
Finance - Econometric models
Time-series analysis |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-282-28475-4
9786612284755 0-08-049904-X |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Front Cover; AN INTRODUCTION TO HIGH-FREQUENCY FINANCE; Copyright Page; CONTENTS; LIST OF FIGURES; LIST OF TABLES; PREFACE; ACKNOWLEDGMENTS; CHAPTER 1. INTRODUCTION; 1.1 Markets: The Source of High-Frequency Data; 1.2 Methodology of High-Frequency Research; 1.3 Data Frequency and Market Information; 1.4 New Levels of Significance; 1.5 Interrelating Different Time Scales; CHAPTER 2. MARKETS AND DATA; 2.1 General Remarks on Markets and Data Types; 2.2 Foreign Exchange Markets; 2.3 Over-The-Counter Interest Rate Markets; 2.4 Interest Rate Futures; 2.5 Bond Futures Markets; 2.6 Commodity Futures
2.7 Equity Markets CHAPTER 3. TIME SERIES of INTEREST; 3.1 Time Series and Operators; 3.2 Variables in Homogeneous Time Series; 3.3 Convolution Operators; 3.4 Microscopic Operators; CHAPTER 4. ADAPTIVE DATA CLEANING; 4.1 Introduction: Using a Filter to Clean the Data; 4.2 Data and Data Errors; 4.3 General Overview of the Filter; 4.4 Basic Filtering Elements and Operations; 4.5 The Scalar Filtering Window; 4.6 The Full-Quote Filtering Window; 4.7 Univariate Filtering; 4.8 Special Filter Elements; 4.9 Behavior and Effects of the Data Filter; CHAPTER 5. BASIC STYLIZED FACTS; 5.1 Introduction 5.2 Price Formation Process 5.3 Institutional Structure and Exogeneous Impacts; 5.4 Distributional Properties of Returns; 5.5 Scaling Laws; 5.6 Autocorrelation and Seasonality; CHAPTER 6. MODELING SEASONAL VOLATILITY; 6.1 Introduction; 6.2 A Model of Market Activity; 6.3 A New Business Time Scale (ò-Scale); 6.4 Filtering Intraday Seasonalities With Wavelets; CHAPTER 7. REALIZED VOLATILITY DYNAMICS; 7.1 Introduction; 7.2 The Bias of Realized Volatility and Its Correction; 7.3 Conditional Heteroskedasticity; 7.4 The Heterogeneous Market Hypothesis; CHAPTER 8. VOLATILITY PROCESSES 8.1 Introduction 8.2 Intraday Volatility and GARCH Models; 8.3 Modeling Heterogeneous Volatilities; 8.4 Forecasting Short-Term Volatility; CHAPTER 9. FORECASTING RISK AND RETURN; 9.1 Introduction to Forecasting; 9.2 Forecasting Volatility for Value-at-Risk; 9.3 Forecasting Returns over Multiple Time Horizons; 9.4 Measuring Forecast Quality; CHAPTER 10. CORRELATION AND MULTIVARIATE RISK; 10.1 Introduction; 10.2 Estimating the Dependence of Financial Time Series; 10.3 Covolatility Weighting; 10.4 Stability of Return Correlations; 10.5 Correlation Behavior at High Data Frequencies 10.6 Conclusions CHAPTER 11. TRADING MODELS; 11.1 Introduction; 11.2 Real-Time Trading Strategies; 11.3 Risk Sensitive Performance Measures; 11.4 Trading Model Algorithms; 11.5 Optimization and Testing Procedures; 11.6 Statistical Study of a Trading Model; 11.7 Trading Model Portfolios; 11.8 Currency Risk Hedging; CHAPTER 12. TOWARD A THEORY of HETEROGENEOUS MARKETS; 12.1 Definition of Efficient Markets; 12.2 Dynamic Markets and Relativistic Effects; 12.3 Impact of the New Technology; 12.4 Zero-Sum Game or Perpetuum Mobile?; 12.5 Discussion of the Conventional Definition 12.6 An Improved Definition of ""Efficient Markets"" |
| Record Nr. | UNINA-9910451552803321 |
| San Diego, : Academic Press, c2001 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
An introduction to high-frequency finance [[electronic resource] /] / Michel M. Dacorogna ... [et al.]
| An introduction to high-frequency finance [[electronic resource] /] / Michel M. Dacorogna ... [et al.] |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | San Diego, : Academic Press, c2001 |
| Descrizione fisica | 1 online resource (411 p.) |
| Disciplina | 332.0151955 |
| Altri autori (Persone) | DacorognaMichel M |
| Soggetto topico |
Finance - Econometric models
Time-series analysis |
| ISBN |
1-282-28475-4
9786612284755 0-08-049904-X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Front Cover; AN INTRODUCTION TO HIGH-FREQUENCY FINANCE; Copyright Page; CONTENTS; LIST OF FIGURES; LIST OF TABLES; PREFACE; ACKNOWLEDGMENTS; CHAPTER 1. INTRODUCTION; 1.1 Markets: The Source of High-Frequency Data; 1.2 Methodology of High-Frequency Research; 1.3 Data Frequency and Market Information; 1.4 New Levels of Significance; 1.5 Interrelating Different Time Scales; CHAPTER 2. MARKETS AND DATA; 2.1 General Remarks on Markets and Data Types; 2.2 Foreign Exchange Markets; 2.3 Over-The-Counter Interest Rate Markets; 2.4 Interest Rate Futures; 2.5 Bond Futures Markets; 2.6 Commodity Futures
2.7 Equity Markets CHAPTER 3. TIME SERIES of INTEREST; 3.1 Time Series and Operators; 3.2 Variables in Homogeneous Time Series; 3.3 Convolution Operators; 3.4 Microscopic Operators; CHAPTER 4. ADAPTIVE DATA CLEANING; 4.1 Introduction: Using a Filter to Clean the Data; 4.2 Data and Data Errors; 4.3 General Overview of the Filter; 4.4 Basic Filtering Elements and Operations; 4.5 The Scalar Filtering Window; 4.6 The Full-Quote Filtering Window; 4.7 Univariate Filtering; 4.8 Special Filter Elements; 4.9 Behavior and Effects of the Data Filter; CHAPTER 5. BASIC STYLIZED FACTS; 5.1 Introduction 5.2 Price Formation Process 5.3 Institutional Structure and Exogeneous Impacts; 5.4 Distributional Properties of Returns; 5.5 Scaling Laws; 5.6 Autocorrelation and Seasonality; CHAPTER 6. MODELING SEASONAL VOLATILITY; 6.1 Introduction; 6.2 A Model of Market Activity; 6.3 A New Business Time Scale (ò-Scale); 6.4 Filtering Intraday Seasonalities With Wavelets; CHAPTER 7. REALIZED VOLATILITY DYNAMICS; 7.1 Introduction; 7.2 The Bias of Realized Volatility and Its Correction; 7.3 Conditional Heteroskedasticity; 7.4 The Heterogeneous Market Hypothesis; CHAPTER 8. VOLATILITY PROCESSES 8.1 Introduction 8.2 Intraday Volatility and GARCH Models; 8.3 Modeling Heterogeneous Volatilities; 8.4 Forecasting Short-Term Volatility; CHAPTER 9. FORECASTING RISK AND RETURN; 9.1 Introduction to Forecasting; 9.2 Forecasting Volatility for Value-at-Risk; 9.3 Forecasting Returns over Multiple Time Horizons; 9.4 Measuring Forecast Quality; CHAPTER 10. CORRELATION AND MULTIVARIATE RISK; 10.1 Introduction; 10.2 Estimating the Dependence of Financial Time Series; 10.3 Covolatility Weighting; 10.4 Stability of Return Correlations; 10.5 Correlation Behavior at High Data Frequencies 10.6 Conclusions CHAPTER 11. TRADING MODELS; 11.1 Introduction; 11.2 Real-Time Trading Strategies; 11.3 Risk Sensitive Performance Measures; 11.4 Trading Model Algorithms; 11.5 Optimization and Testing Procedures; 11.6 Statistical Study of a Trading Model; 11.7 Trading Model Portfolios; 11.8 Currency Risk Hedging; CHAPTER 12. TOWARD A THEORY of HETEROGENEOUS MARKETS; 12.1 Definition of Efficient Markets; 12.2 Dynamic Markets and Relativistic Effects; 12.3 Impact of the New Technology; 12.4 Zero-Sum Game or Perpetuum Mobile?; 12.5 Discussion of the Conventional Definition 12.6 An Improved Definition of ""Efficient Markets"" |
| Record Nr. | UNINA-9910777462503321 |
| San Diego, : Academic Press, c2001 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Where Is Science Leading Us? : And What Can We Do to Steer It? / / by Lars Jaeger, Michel Dacorogna
| Where Is Science Leading Us? : And What Can We Do to Steer It? / / by Lars Jaeger, Michel Dacorogna |
| Autore | Jaeger Lars |
| Edizione | [1st ed. 2023.] |
| Pubbl/distr/stampa | Cham : , : Springer Nature Switzerland : , : Imprint : Springer, , 2023 |
| Descrizione fisica | 1 online resource (341 pages) |
| Disciplina | 501 |
| Altri autori (Persone) | DacorognaMichel M |
| Soggetto topico |
Technology - Sociological aspects
Artificial intelligence Neurosciences Technology - Moral and ethical aspects Science, Technology and Society Artificial Intelligence Neuroscience Ethics of Technology |
| ISBN |
9783031471384
9783031471377 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Publicly backed science in competition with private companies. Science as part of capitalism -- Philosophy in science is over, and why we need to reinstall it -- Promising and scary developments in future technologies, an overview -- Physics from 1960 to Today, And what we do not know yet -- Computers, nanotechnology, internet and many other technologies. What benefits and challenges physics brought us and will bring us in the future? -- Biology from 1953 to 2023: Major breakthroughs and their ethical issues. How biology became the centre of science and today also lies at the centre of ethical concerns -- Brain research since the 1990s. Significant progress in understanding human (self-)consciousness or a scientific attack on something outside of science? -- Artificial Intelligence from its origins via today to the future. Significant progress in understanding, replicating, and changing us humans or solely technological advances contained to optimising certain processes? -- The path towardsmodern mathematics. More and more abstraction as well as more and more concrete applications -- Astronomical research. The oldest science in history with the newest results of all sciences -- The future of sciences/technologies? From utopian optimism to dystopian pessimism (and possibly back) -- The myth of the optimally functional invisible hand. Why and how research projects and future technologies should be discussed, respectively governed by the public domain? -- Science, Technology and Spirituality. What science can do for society, how society has to shape technology - and how spirituality can set a frame for this shaping process?. |
| Record Nr. | UNINA-9910799202703321 |
Jaeger Lars
|
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| Cham : , : Springer Nature Switzerland : , : Imprint : Springer, , 2023 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||