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Applied quantitative methods for trading and investment [[electronic resource] /] / edited by Christian L. Dunis, Jason Laws, and Patrick Naïm
| Applied quantitative methods for trading and investment [[electronic resource] /] / edited by Christian L. Dunis, Jason Laws, and Patrick Naïm |
| Pubbl/distr/stampa | Chichester, West Sussex ; ; Hoboken, N.J., : John Wiley, c2003 |
| Descrizione fisica | 1 online resource (427 p.) |
| Disciplina |
332.6/01/5195
332.6015195 |
| Altri autori (Persone) |
DunisChristian
LawsJason NaïmPatrick |
| Collana | Wiley finance series |
| Soggetto topico |
Finance - Mathematical models
Investments - Mathematical models Speculation - Mathematical models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-280-27398-4
9786610273980 0-470-29950-9 0-470-87134-2 0-470-01326-5 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Applied Quantitative Methods for Trading and Investment; Contents; About the Contributors; Preface; 1 Applications of Advanced Regression Analysis for Trading and Investment; Abstract; 1.1 Introduction; 1.2 Literature review; 1.3 The exchange rate and related financial data; 1.4 Benchmark models: theory and methodology; 1.5 Neural network models: theory and methodology; 1.6 Forecasting accuracy and trading simulation; 1.7 Concluding remarks; References; 2 Using Cointegration to Hedge and Trade International Equities; Abstract; 2.1 Introduction; 2.2 Time series modelling and cointegration
2.3 Implicit hedging of unknown common risk factors2.4 Relative value and statistical arbitrage; 2.5 Illustration of cointegration in a controlled simulation; 2.6 Application to international equities; 2.7 Discussion and conclusions; References; 3 Modelling the Term Structure of Interest Rates: An Application of Gaussian Affine Models to the German Yield Curve; Abstract; 3.1 Introduction; 3.2 Background issues on asset pricing; 3.3 Duffie-Kan affine models of the term structure; 3.4 A forward rate test of the expectations theory; 3.5 Identification 3.6 Econometric methodology and applications3.7 Estimation results; 3.8 Conclusions; References; 4 Forecasting and Trading Currency Volatility: An Application of Recurrent Neural Regression and Model Combination; Abstract; 4.1 Introduction; 4.2 The exchange rate and volatility data; 4.3 The GARCH (1,1) benchmark volatility forecasts; 4.4 The neural network volatility forecasts; 4.5 Model combinations and forecasting accuracy; 4.6 Foreign exchange volatility trading models; 4.7 Concluding remarks and further work; Acknowledgements; Appendix A; Appendix B; Appendix C; Appendix D; Appendix E Appendix FAppendix G; References; 5 Implementing Neural Networks, Classification Trees, and Rule Induction Classification Techniques: An Application to Credit Risk; Abstract; 5.1 Introduction; 5.2 Data description; 5.3 Neural networks for classification in Excel; 5.4 Classification tree in Excel; 5.5 See5 classifier; 5.6 Conclusions; References; 6 Switching Regime Volatility: An Empirical Evaluation; Abstract; 6.1 Introduction; 6.2 The model; 6.3 Maximum likelihood estimation; 6.4 An application to foreign exchange rates; 6.5 Conclusion; References Appendix A: Gauss code for maximum likelihood for variance switching models7 Quantitative Equity Investment Management with Time-Varying Factor Sensitivities; Abstract; 7.1 Introduction; 7.2 Factor sensitivities defined; 7.3 OLS to estimate factor sensitivities: a simple, popular but inaccurate method; 7.4 WLS to estimate factor sensitivities: a better but still sub-optimal method; 7.5 The stochastic parameter regression model and the Kalman filter: the best way to estimate factor sensitivities; 7.6 Conclusion; References 8 Stochastic Volatility Models: A Survey with Applications to Option Pricing and Value at Risk |
| Record Nr. | UNINA-9910143228603321 |
| Chichester, West Sussex ; ; Hoboken, N.J., : John Wiley, c2003 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Applied quantitative methods for trading and investment [[electronic resource] /] / edited by Christian L. Dunis, Jason Laws, and Patrick Naïm
| Applied quantitative methods for trading and investment [[electronic resource] /] / edited by Christian L. Dunis, Jason Laws, and Patrick Naïm |
| Pubbl/distr/stampa | Chichester, West Sussex ; ; Hoboken, N.J., : John Wiley, c2003 |
| Descrizione fisica | 1 online resource (427 p.) |
| Disciplina |
332.6/01/5195
332.6015195 |
| Altri autori (Persone) |
DunisChristian
LawsJason NaïmPatrick |
| Collana | Wiley finance series |
| Soggetto topico |
Finance - Mathematical models
Investments - Mathematical models Speculation - Mathematical models |
| ISBN |
1-280-27398-4
9786610273980 0-470-29950-9 0-470-87134-2 0-470-01326-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Applied Quantitative Methods for Trading and Investment; Contents; About the Contributors; Preface; 1 Applications of Advanced Regression Analysis for Trading and Investment; Abstract; 1.1 Introduction; 1.2 Literature review; 1.3 The exchange rate and related financial data; 1.4 Benchmark models: theory and methodology; 1.5 Neural network models: theory and methodology; 1.6 Forecasting accuracy and trading simulation; 1.7 Concluding remarks; References; 2 Using Cointegration to Hedge and Trade International Equities; Abstract; 2.1 Introduction; 2.2 Time series modelling and cointegration
2.3 Implicit hedging of unknown common risk factors2.4 Relative value and statistical arbitrage; 2.5 Illustration of cointegration in a controlled simulation; 2.6 Application to international equities; 2.7 Discussion and conclusions; References; 3 Modelling the Term Structure of Interest Rates: An Application of Gaussian Affine Models to the German Yield Curve; Abstract; 3.1 Introduction; 3.2 Background issues on asset pricing; 3.3 Duffie-Kan affine models of the term structure; 3.4 A forward rate test of the expectations theory; 3.5 Identification 3.6 Econometric methodology and applications3.7 Estimation results; 3.8 Conclusions; References; 4 Forecasting and Trading Currency Volatility: An Application of Recurrent Neural Regression and Model Combination; Abstract; 4.1 Introduction; 4.2 The exchange rate and volatility data; 4.3 The GARCH (1,1) benchmark volatility forecasts; 4.4 The neural network volatility forecasts; 4.5 Model combinations and forecasting accuracy; 4.6 Foreign exchange volatility trading models; 4.7 Concluding remarks and further work; Acknowledgements; Appendix A; Appendix B; Appendix C; Appendix D; Appendix E Appendix FAppendix G; References; 5 Implementing Neural Networks, Classification Trees, and Rule Induction Classification Techniques: An Application to Credit Risk; Abstract; 5.1 Introduction; 5.2 Data description; 5.3 Neural networks for classification in Excel; 5.4 Classification tree in Excel; 5.5 See5 classifier; 5.6 Conclusions; References; 6 Switching Regime Volatility: An Empirical Evaluation; Abstract; 6.1 Introduction; 6.2 The model; 6.3 Maximum likelihood estimation; 6.4 An application to foreign exchange rates; 6.5 Conclusion; References Appendix A: Gauss code for maximum likelihood for variance switching models7 Quantitative Equity Investment Management with Time-Varying Factor Sensitivities; Abstract; 7.1 Introduction; 7.2 Factor sensitivities defined; 7.3 OLS to estimate factor sensitivities: a simple, popular but inaccurate method; 7.4 WLS to estimate factor sensitivities: a better but still sub-optimal method; 7.5 The stochastic parameter regression model and the Kalman filter: the best way to estimate factor sensitivities; 7.6 Conclusion; References 8 Stochastic Volatility Models: A Survey with Applications to Option Pricing and Value at Risk |
| Record Nr. | UNINA-9910830386503321 |
| Chichester, West Sussex ; ; Hoboken, N.J., : John Wiley, c2003 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Applied quantitative methods for trading and investment / / edited by Christian L. Dunis, Jason Laws, and Patrick Naim
| Applied quantitative methods for trading and investment / / edited by Christian L. Dunis, Jason Laws, and Patrick Naim |
| Pubbl/distr/stampa | Chichester, West Sussex ; ; Hoboken, N.J., : John Wiley, c2003 |
| Descrizione fisica | 1 online resource (427 p.) |
| Disciplina | 332.6/01/5195 |
| Altri autori (Persone) |
DunisChristian
LawsJason NaimPatrick |
| Collana | Wiley finance series |
| Soggetto topico |
Finance - Mathematical models
Investments - Mathematical models Speculation - Mathematical models |
| ISBN |
9786610273980
9781280273988 1280273984 9780470299500 0470299509 9780470871348 0470871342 9780470013267 0470013265 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Applied Quantitative Methods for Trading and Investment; Contents; About the Contributors; Preface; 1 Applications of Advanced Regression Analysis for Trading and Investment; Abstract; 1.1 Introduction; 1.2 Literature review; 1.3 The exchange rate and related financial data; 1.4 Benchmark models: theory and methodology; 1.5 Neural network models: theory and methodology; 1.6 Forecasting accuracy and trading simulation; 1.7 Concluding remarks; References; 2 Using Cointegration to Hedge and Trade International Equities; Abstract; 2.1 Introduction; 2.2 Time series modelling and cointegration
2.3 Implicit hedging of unknown common risk factors2.4 Relative value and statistical arbitrage; 2.5 Illustration of cointegration in a controlled simulation; 2.6 Application to international equities; 2.7 Discussion and conclusions; References; 3 Modelling the Term Structure of Interest Rates: An Application of Gaussian Affine Models to the German Yield Curve; Abstract; 3.1 Introduction; 3.2 Background issues on asset pricing; 3.3 Duffie-Kan affine models of the term structure; 3.4 A forward rate test of the expectations theory; 3.5 Identification 3.6 Econometric methodology and applications3.7 Estimation results; 3.8 Conclusions; References; 4 Forecasting and Trading Currency Volatility: An Application of Recurrent Neural Regression and Model Combination; Abstract; 4.1 Introduction; 4.2 The exchange rate and volatility data; 4.3 The GARCH (1,1) benchmark volatility forecasts; 4.4 The neural network volatility forecasts; 4.5 Model combinations and forecasting accuracy; 4.6 Foreign exchange volatility trading models; 4.7 Concluding remarks and further work; Acknowledgements; Appendix A; Appendix B; Appendix C; Appendix D; Appendix E Appendix FAppendix G; References; 5 Implementing Neural Networks, Classification Trees, and Rule Induction Classification Techniques: An Application to Credit Risk; Abstract; 5.1 Introduction; 5.2 Data description; 5.3 Neural networks for classification in Excel; 5.4 Classification tree in Excel; 5.5 See5 classifier; 5.6 Conclusions; References; 6 Switching Regime Volatility: An Empirical Evaluation; Abstract; 6.1 Introduction; 6.2 The model; 6.3 Maximum likelihood estimation; 6.4 An application to foreign exchange rates; 6.5 Conclusion; References Appendix A: Gauss code for maximum likelihood for variance switching models7 Quantitative Equity Investment Management with Time-Varying Factor Sensitivities; Abstract; 7.1 Introduction; 7.2 Factor sensitivities defined; 7.3 OLS to estimate factor sensitivities: a simple, popular but inaccurate method; 7.4 WLS to estimate factor sensitivities: a better but still sub-optimal method; 7.5 The stochastic parameter regression model and the Kalman filter: the best way to estimate factor sensitivities; 7.6 Conclusion; References 8 Stochastic Volatility Models: A Survey with Applications to Option Pricing and Value at Risk |
| Record Nr. | UNINA-9911019677603321 |
| Chichester, West Sussex ; ; Hoboken, N.J., : John Wiley, c2003 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Asymmetric information, corporate finance, and investment [[electronic resource] /] / edited by R. Glenn Hubbard
| Asymmetric information, corporate finance, and investment [[electronic resource] /] / edited by R. Glenn Hubbard |
| Pubbl/distr/stampa | Chicago, : University of Chicago Press, 1990 |
| Descrizione fisica | 1 online resource (354 p.) |
| Disciplina | 658.15 |
| Altri autori (Persone) | HubbardR. Glenn |
| Collana | A National Bureau of Economic Research project report |
| Soggetto topico |
Corporations - Finance
Investments - Mathematical models Securities |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-282-06995-0
9786612069956 0-226-35594-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Frontmatter -- Contents -- Acknowledgments -- Introduction -- 1. Macroeconomic Models with Equity and Credit Rationing -- 2. Collateral, Rationing, and Government Intervention in Credit Markets -- 3. Do Firms Care Who Provides Their Financing? -- 4. Bank Monitoring and Investment: Evidence from the Changing Structure of Japanese Corporate Banking Relationships -- 5. Sustaining Investment, Discretionary Investment, and Valuation: A Residual Funds Study of the Paper Industry -- 6. Are Large Shareholders Effective Monitors? An Investigation of Share Ownership and Corporate Performance -- 7. Economic and Financial Determinants of Oil and Gas Exploration Activity -- 8. AIL Theory and the Ailing Phillips Curve: A Contract-Based Approach to Aggregate Supply -- 9. Liquidity Constraints in Production-Based Asset- Pricing Models -- 10. Understanding Stock Price Behavior around the TIme of Equity Issues -- 11. Investment, Financial Factors, and Cash Flow: Evidence from U.K. Panel Data -- 12. Financial Systems, Corporate Finance, and Economic Development -- Contributors -- Discussants and Other Participants -- Author Index -- Subject Index |
| Record Nr. | UNINA-9910453981903321 |
| Chicago, : University of Chicago Press, 1990 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Asymmetric information, corporate finance, and investment / / editor, R. Glenn Hubbard
| Asymmetric information, corporate finance, and investment / / editor, R. Glenn Hubbard |
| Pubbl/distr/stampa | Chicago : , : University of Chicago Press, , 1990 |
| Descrizione fisica | 1 online resource (ix, 343 pages) : illustrations |
| Disciplina | 658.15 |
| Altri autori (Persone) | HubbardR. Glenn |
| Collana | A National Bureau of Economic Research project report |
| Soggetto topico |
Corporations - Finance
Investments - Mathematical models Securities |
| Soggetto non controllato | economics, finance, firm behavior, asymmetric information, investment, business, growth, nonfiction, borrowers, lenders, organization, corporations, credit rationing, equity, markets, financing, intervention, government, collateral, bank monitoring, japan, valuation, paper, corporate performance, share ownership, shareholders, cash flow, liquidity, stock price, aggregate supply, oil, gas, natural resources, exploration |
| ISBN |
1-282-06995-0
9786612069956 0-226-35594-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Frontmatter -- Contents -- Acknowledgments -- Introduction -- 1. Macroeconomic Models with Equity and Credit Rationing -- 2. Collateral, Rationing, and Government Intervention in Credit Markets -- 3. Do Firms Care Who Provides Their Financing? -- 4. Bank Monitoring and Investment: Evidence from the Changing Structure of Japanese Corporate Banking Relationships -- 5. Sustaining Investment, Discretionary Investment, and Valuation: A Residual Funds Study of the Paper Industry -- 6. Are Large Shareholders Effective Monitors? An Investigation of Share Ownership and Corporate Performance -- 7. Economic and Financial Determinants of Oil and Gas Exploration Activity -- 8. AIL Theory and the Ailing Phillips Curve: A Contract-Based Approach to Aggregate Supply -- 9. Liquidity Constraints in Production-Based Asset- Pricing Models -- 10. Understanding Stock Price Behavior around the TIme of Equity Issues -- 11. Investment, Financial Factors, and Cash Flow: Evidence from U.K. Panel Data -- 12. Financial Systems, Corporate Finance, and Economic Development -- Contributors -- Discussants and Other Participants -- Author Index -- Subject Index |
| Record Nr. | UNINA-9910782812803321 |
| Chicago : , : University of Chicago Press, , 1990 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Asymmetric information, corporate finance, and investment / / edited by R. Glenn Hubbard
| Asymmetric information, corporate finance, and investment / / edited by R. Glenn Hubbard |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Chicago, : University of Chicago Press, 1990 |
| Descrizione fisica | 1 online resource (ix, 343 pages) : illustrations |
| Disciplina | 658.15 |
| Altri autori (Persone) | HubbardR. Glenn |
| Collana | A National Bureau of Economic Research project report |
| Soggetto topico |
Corporations - Finance
Investments - Mathematical models Securities |
| ISBN |
9786612069956
9781282069954 1282069950 9780226355948 0226355942 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Frontmatter -- Contents -- Acknowledgments -- Introduction -- 1. Macroeconomic Models with Equity and Credit Rationing -- 2. Collateral, Rationing, and Government Intervention in Credit Markets -- 3. Do Firms Care Who Provides Their Financing? -- 4. Bank Monitoring and Investment: Evidence from the Changing Structure of Japanese Corporate Banking Relationships -- 5. Sustaining Investment, Discretionary Investment, and Valuation: A Residual Funds Study of the Paper Industry -- 6. Are Large Shareholders Effective Monitors? An Investigation of Share Ownership and Corporate Performance -- 7. Economic and Financial Determinants of Oil and Gas Exploration Activity -- 8. AIL Theory and the Ailing Phillips Curve: A Contract-Based Approach to Aggregate Supply -- 9. Liquidity Constraints in Production-Based Asset- Pricing Models -- 10. Understanding Stock Price Behavior around the TIme of Equity Issues -- 11. Investment, Financial Factors, and Cash Flow: Evidence from U.K. Panel Data -- 12. Financial Systems, Corporate Finance, and Economic Development -- Contributors -- Discussants and Other Participants -- Author Index -- Subject Index |
| Record Nr. | UNINA-9910968730403321 |
| Chicago, : University of Chicago Press, 1990 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
La décision d'investissement par modèles optionnels / / David Heller
| La décision d'investissement par modèles optionnels / / David Heller |
| Autore | Heller David |
| Pubbl/distr/stampa | London, England : , : ISTE Editions, , [2019] |
| Descrizione fisica | 1 online resource (197 pages) |
| Disciplina | 332.6 |
| Collana | Série finance moderne, innovation managériale et croissance économique |
| Soggetto topico | Investments - Mathematical models |
| ISBN | 1-78406-613-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | fre |
| Nota di contenuto | Cover -- Table des matières -- Introduction -- Chapitre 1. L'intégration du risque et de la flexibilité dans l'évaluation -- Chapitre 2. Modélisation optionnelle des choix d'investissement et surplus de valeur lié à l'option d'investir -- Chapitre 3. Génération de données appliquée à des modèles d'options stratégiques et opérationnelles -- Conclusion -- Annexe 1. Démonstration de la formule de CRR -- Annexe 2. Calcul différentiel stochastique -- Annexe 3. Test de la formule de Black et Scholes et retour sur la distribution log-normale -- Annexe 4. Démonstration de la formule de Black et Scholes -- Bibliographie -- Index. |
| Record Nr. | UNINA-9910793752203321 |
Heller David
|
||
| London, England : , : ISTE Editions, , [2019] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
La décision d'investissement par modèles optionnels / / David Heller
| La décision d'investissement par modèles optionnels / / David Heller |
| Autore | Heller David |
| Pubbl/distr/stampa | London, England : , : ISTE Editions, , [2019] |
| Descrizione fisica | 1 online resource (197 pages) |
| Disciplina | 332.6 |
| Collana | Série finance moderne, innovation managériale et croissance économique |
| Soggetto topico | Investments - Mathematical models |
| ISBN | 1-78406-613-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | fre |
| Nota di contenuto | Cover -- Table des matières -- Introduction -- Chapitre 1. L'intégration du risque et de la flexibilité dans l'évaluation -- Chapitre 2. Modélisation optionnelle des choix d'investissement et surplus de valeur lié à l'option d'investir -- Chapitre 3. Génération de données appliquée à des modèles d'options stratégiques et opérationnelles -- Conclusion -- Annexe 1. Démonstration de la formule de CRR -- Annexe 2. Calcul différentiel stochastique -- Annexe 3. Test de la formule de Black et Scholes et retour sur la distribution log-normale -- Annexe 4. Démonstration de la formule de Black et Scholes -- Bibliographie -- Index. |
| Record Nr. | UNINA-9910813115503321 |
|
Heller David
|
||
| London, England : , : ISTE Editions, , [2019] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Empirical market microstructure [[electronic resource] ] : the institutions, economics and econometrics of securities trading / / Joel Hasbrouck
| Empirical market microstructure [[electronic resource] ] : the institutions, economics and econometrics of securities trading / / Joel Hasbrouck |
| Autore | Hasbrouck Joel |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | Oxford ; ; New York, : Oxford University Press, 2007 |
| Descrizione fisica | 1 online resource (209 p.) |
| Disciplina | 332.64 |
| Soggetto topico |
Securities
Securities - Prices Investments - Mathematical models Stock exchanges - Mathematical models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
9786612235283
0-19-804130-6 1-282-23528-1 1-280-90793-2 1-4294-6891-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Introduction -- Trading mechanisms -- The roll model of trade prices -- Univariate time-series analysis -- Sequential trade models -- Order flow and the probability of informed trading -- Strategic trade models -- A generalized roll model -- Multivariate linear microstructure models -- Multiple securities and multiple prices -- Dealers and their inventories -- Limit order markets -- Depth -- Trading costs : retrospective and comparative -- Prospective trading costs and execution strategies.
Introduction -- Trading mechanisms -- The roll model of trade prices -- Univariate time series analysis -- Sequential trade models -- Order flow and the probability of informed trading (PIN) -- Strategic trade models -- A generalized roll model of trade prices -- Multivariate linear microstructure models -- Multiple securities and multiple prices -- Dealers and their inventories -- Limit order markets -- Depth -- Trading costs : retrospective and comparative -- Prospective trading costs and execution strategies. |
| Record Nr. | UNINA-9910452323503321 |
|
Hasbrouck Joel
|
||
| Oxford ; ; New York, : Oxford University Press, 2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Empirical market microstructure [[electronic resource] ] : the institutions, economics and econometrics of securities trading / / Joel Hasbrouck
| Empirical market microstructure [[electronic resource] ] : the institutions, economics and econometrics of securities trading / / Joel Hasbrouck |
| Autore | Hasbrouck Joel |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | Oxford ; ; New York, : Oxford University Press, 2007 |
| Descrizione fisica | 1 online resource (209 p.) |
| Disciplina | 332.64 |
| Soggetto topico |
Securities
Securities - Prices Investments - Mathematical models Stock exchanges - Mathematical models |
| ISBN |
0-19-771012-3
0-19-988532-X 9786612235283 0-19-804130-6 1-282-23528-1 1-280-90793-2 1-4294-6891-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Introduction -- Trading mechanisms -- The roll model of trade prices -- Univariate time-series analysis -- Sequential trade models -- Order flow and the probability of informed trading -- Strategic trade models -- A generalized roll model -- Multivariate linear microstructure models -- Multiple securities and multiple prices -- Dealers and their inventories -- Limit order markets -- Depth -- Trading costs : retrospective and comparative -- Prospective trading costs and execution strategies.
Introduction -- Trading mechanisms -- The roll model of trade prices -- Univariate time series analysis -- Sequential trade models -- Order flow and the probability of informed trading (PIN) -- Strategic trade models -- A generalized roll model of trade prices -- Multivariate linear microstructure models -- Multiple securities and multiple prices -- Dealers and their inventories -- Limit order markets -- Depth -- Trading costs : retrospective and comparative -- Prospective trading costs and execution strategies. |
| Record Nr. | UNINA-9910777765003321 |
|
Hasbrouck Joel
|
||
| Oxford ; ; New York, : Oxford University Press, 2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
