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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 | ||
| ||
An introduction to high-frequency finance / / Michel M. Dacorogna ... [et al.]
| An introduction to high-frequency finance / / 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
330.0151955 |
| 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"" |
| Altri titoli varianti | High-frequency finance |
| Record Nr. | UNINA-9910814973103321 |
| 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? / / Lars Jaeger, Michel Dacorogna
| Where is science leading us? : and what can we do to steer it? / / Lars Jaeger, Michel Dacorogna |
| Autore | Jaeger Lars |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Cham : , : Springer International Publishing AG, , 2024 |
| Descrizione fisica | 1 online resource (341 pages) |
| Disciplina | 501 |
| Altri autori (Persone) | DacorognaMichel M |
| Soggetto topico |
Science - Philosophy
Science - Social aspects Sciences - Aspect social |
| ISBN |
9783031471384
9783031471377 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Intro -- Contents -- 1 Introduction -- 2 The Takeover of Scientific Leadership -- Geniuses Create a New World -- The Shift of the Scientific Gravity Centre from Europe to the USA -- Philosophical Implications of Quantum Theory - The Concept of Reality Called into Question -- Highly Controversial Philosophical Discussions Among Physicists in the 1930s -- How Europe and Philosophy Both Lost Their Dominance in Science -- Pragmatism Now Governing Science - With Consequences -- Philosophy for Quantum Physics - Still Essential Today -- Scientific Revolutions Beyond Physics -- 3 Publicly Backed Science in Competition with Private Companies -- The Transition from Fundamental Scientific Research to Technological Applications -- Relationship of Sciences and Technological Applications Today -- Who Finances Modern Science? -- How Do We Judge the Quality of Scientific Papers Today? -- Where Should We Go in Science? -- Three Past Examples from Fundamental Research to Revolutionary Technology - Penicillin, PCR and the Atomic Bomb -- Penicillin -- Atomic Bomb -- Polymerase Chain Reaction PCR -- The Most Important Technological Efforts Today - And Those in the Future -- 4 Philosophy in Science Is Over -- The Tradition of Science Interacting with Philosophy -- The Breakdown of Absolute Knowledge in Science Is a Profound Philosophical Challenge -- Does Philosophy Still Have an Importance for Science? -- Open Questions in Science Today Are as Well Open Philosophical Questions -- Why the Influence of Philosophy into Science, Besides All Its Needs, Is Still so Low Today -- A Key Mathematician Steps Out of Science Protesting Against Its Nature of Leaving Out Important Topics -- A Good Example for an Interaction of Philosophy and Science: Research on the Nature of the Human Ego-Consciousness -- More and More Important: The Relationship Between Science and Ethics.
5 Promising and Scary Developments in Future Technologies -- The Future Technological Application Changing the World and Human Beings -- Artificial Intelligence - Improving or Controlling Our Lives? -- Quantum Computers - Millions of Times Faster Computation or Just a Dream by Physicists? -- CO2-Neutrality - Can We Create Enough Alternative Energies in the Next Few Years to Prevent a Climate Catastrophe -- Nuclear Fusion - The Solution of Our Energy Problems or Just a Topic of a Century of Dreaming? -- Genetics - The Victory Over Cancer or Manipulation of Mankind? -- Internet of Things - New Industrial Technologies and Smart Fabrications or a Full Invasion of Privacy? -- Neuro-Enhancements - Improving Our Thinking and Acting or Move Away From Today's Reality? -- Understanding Our Minds Through VR-Technologies - Finding Our Ego Or Is It Unfindable for Scientists? -- Digital Algorithms and Big Data - New Profiles for Our Lives or Controlling Humans' Thinking and Acting? -- Blockchain Technology - Is It a Groundbreaking Innovation or Just a Passing Trend? -- Cybersecurity - Is It a Consistently Significant Concern or Merely an Occasional Problem? -- Nanotechnology - Creation of Things from "Nothing" or Just a Dream? -- Stem Cells - Using Cells That Can Do Everything. Also for Our Entire Body and Mind? -- Biotechnology - From Frogs for Pharmacists to Nano-Robots in Our Bodies, a Medical Dream or Future Reality? -- New Food Technologies - How We Will Provide Food to 10 Billion People or Just a Science Dream Story? -- Synthetic Life- When Humans Play God: Part I -- Life Prolongation - When Humans Play God: Part II -- Are These All the Technologies that Will Shape Our Future? -- 6 Physics from 1960 to Today -- The New Quantum World - How to Deal With An Uncountable Number of New Particles -- A First Theory Integrating Various Particles and the Strong Force. The Standard Model of Elementary Particles -- "Chaos" Theory and Emergence Patterns in Today's Physics -- Today's Situation in the Macrocosm - Will We Soon Get Answers to the Fundamental Questions About the Universe? -- How Realistic Is a Unifying Theory for Physics? -- Research in Physics Today -- Philosophy of Physics Today -- 7 Computers, Nanotechnology, Internet and Many Other Technologies -- What New Technologies Physics Has Brought Us: A Tremendous Amount of Life Improvements and a Few Important Open Questions -- Nuclear Technologies -- Electronics, Digital Technologies and the Miniaturisation of Processors -- Digital Revolution (also Known as the "Third Industrial Revolution" or "Microelectronic Revolution") -- Lasers -- Mobile Phones -- Internet -- Superconductivity and Superfluidity -- Satellites in and Beyond the Atmosphere -- New Materials That Do Not Exist in Nature -- Solid-State Physics -- Quantum Computer -- Nano Particles and Nanotechnologies -- Where Are We Going? -- 8 Biology from 1953 to 2023: Major Breakthroughs and Their Ethical Issues -- The Second Foundation of Biology: Genetics -- First Steps in "Genetic Engineering" -- The Development of Life on Earth -- The Origin of Life -- Genetics Since the 1970s -- Revolution of Genetics in 2012 - As Amazing as Scary New Technologies -- Synthetic Life -- Life Prolongation - When Humans Want to Play God II -- Ethics for Today's Biology -- Humans as a Bull in a China Shop -- 9 Brain Research Since the 1990s -- History of Brain Research Until 1990s - A Rather Short Story Compared with What Happened Thereafter -- Early Brain Research as of 1990 - First Insights and Many Problems Left -- Research About Our Consciousness - How the Brain Generates Our Mind -- About Our ("Ego-")consciousness - Fundamental Open Problems -- More Methods and Results of Research on Our Consciousness. And Yes, It Does Change - The Plasticity of Our Brain -- Key Technologies - "Improving" Our Minds with Neuro-Enhancements -- More Philosophical Questions -- Our Inner Model as Virtual Reality -- Our Mind and Self-Consciousness - More Empirical Studies, Dramatic Applied Technologies and - yet Again - Ethical Issues -- Summary: Scientific Knowledge, Philosophical and Ethical Questions, and Remaining Openness -- New Questions on Social Relationships -- What is a Human Being and What Should a Human Being Be? -- 10 Artificial Intelligence from Its Origins Via Today to the Future -- History of Artificial Intelligence -- History of Computers and Computer Science -- Where AI Stands Today -- The Current Interaction of AI and Our Brain - Does that Eventually Lead to Superhuman Intelligence? -- How AI Shapes Our Society -- Who Should Deal with the Decline of Our Privacy? -- The Development of Big Data -- Artificial Intelligence's Possible Consciousness of (Strong) AI -- 11 The Path Towards Modern Mathematics -- Mathematics Before 1920 -- The Crisis in Mathematics -- The Revolution -- The Path Towards Modern Mathematics - More and More Abstraction -- Dealing with Concrete Problems Through Numerical Methods -- Mathematics Today and in the Future -- 12 Astronomical Research -- A (Very) Brief History of Astronomy Prior to 1960 -- A Rather Recent Revolution in Observing the Universe -- New Discoveries in the Last 25 Years -- Cosmology - The Origin of the Universe -- Cosmology - How the Universe is Developing -- The Current Unified Theory of the Universe - Many Open Questions -- 13 The Future of Sciences/Technologies? -- More of the Promising and Challenging Areas in Science and Technology -- CO2-Neutrality -- Nuclear Fusion -- Food Technology -- Synthetic Life and Life Prolongation -- Historical Issues. "We Go Under" Versus "Yes, We Can" - Dystopian Pessimism Versus Utopian Optimism -- Social Drivers -- Us -- 14 The Myth of the Optimally Functional Invisible Hand -- The Legend of an Invisible Hand -- Who is Likely to Best Govern the Scientific Future? - I. The Side Actors: Cultural Figures, Journalists or the Church? -- Who is Likely to Best Govern the Scientific Future? - II. The - Democratically Elected - Government? -- Who is Likely to Best Govern the Scientific Future? - III. The Scientists Themselves? -- Who is Likely to Best Govern the Scientific Future? - IV. All of Us! -- 15 Science, Technology and Spirituality -- How New Technologies Shape Up the Economy - In the Right Direction? -- More Openness, Less Dogmatism -- Rationally Irrational -- How Can Broad Knowledge About Science and Technologies and Its Rational and Democratic Assessments Make the World a Safer and Better Place -- A New Way of Approaching "Spirituality" -- Summary: Ideas Instead of Ideologies -- Name Index. |
| Record Nr. | UNINA-9910799202703321 |
Jaeger Lars
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| Cham : , : Springer International Publishing AG, , 2024 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||