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High-Frequency Financial Econometrics
Aït-Sahalia, Yacine; Jacod, Jean - Princeton University Press
High-frequency trading is an algorithm-based computerized trading practice that allows firms to trade stocks in milliseconds. Over the last fifteen years, the use of statistical and econometric methods for analyzing high-frequency financial data has grown exponentially. This growth has been...
Persistent link: https://www.econbiz.de/10011082768
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Editorial statement for mathematical finance
Wong, Wing Keung - In: Journal of Risk and Financial Management 13 (2020) 2, pp. 1-3
Mathematics plays a vital role in many areas of finance and provides the theories and tools that have been widely used … in all areas of finance. In this editorial, we tell authors the ideas on what types of papers we will accept for … publication in the area of mathematical finance. We will discuss some well-cited papers of mathematical finance. …
Persistent link: https://www.econbiz.de/10012611266
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ANTICORRELATIONS AND SUBDIFFUSION IN FINANCIAL SYSTEMS
STALIUNAS, K. - In: Advances in Complex Systems (ACS) 06 (2003) 02, pp. 251-262
Statistical dynamics of financial systems is investigated, based on a model of a randomly coupled equation system driven by a stochastic Langevin force. It is found that in a stable regime the noise power spectrum of the system is 1/f-like: ∝ ω- 3/2 (where ω is the frequency), that the...
Persistent link: https://www.econbiz.de/10005080934
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The term structures of coentropy in international financial markets
Chabi-Yo, Fousseni; Colacito, Riccardo - In: Management science : journal of the Institute for … 65 (2019) 8, pp. 3541-3558
Persistent link: https://www.econbiz.de/10012062682
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Editorial statement for mathematical finance
Wong, Wing Keung - In: Journal of risk and financial management : JRFM 13 (2020) 2/18, pp. 1-3
Mathematics plays a vital role in many areas of finance and provides the theories and tools that have been widely used … in all areas of finance. In this editorial, we tell authors the ideas on what types of papers we will accept for … publication in the area of mathematical finance. We will discuss some well-cited papers of mathematical finance. …
Persistent link: https://www.econbiz.de/10012173994
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Data science and intelligence
Tapiero, Charles S. - In: Risk and decision analysis 6 (2017) 4, pp. 291-298
Persistent link: https://www.econbiz.de/10011925106
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Euro-CAN statistics
Europäische Kommission / Statistisches Amt - Luxembourg : Off. des Publ. Officielles des … - Ed. 2003[?]
Persistent link: https://www.econbiz.de/10002453477
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Public finances in EMU
Europäische Kommission / Generaldirektion Wirtschaft … - Luxembourg : Office for Official Publ. of the European … - [1.]2000 - [9.]2008; 10.2009; 2010 - 2012
Persistent link: https://www.econbiz.de/10001619114
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Public finances in EMU ; 2000
2000
Persistent link: https://www.econbiz.de/10001623134
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Non-parametric statistic for testing cumulative abnormal stock returns
Pynnönen, Seppo - In: Journal of risk and financial management : JRFM 15 (2022) 4, pp. 1-13
Due to the non-normality of stock returns, nonparametric rank tests are gaining accceptance relative to parametric tests in financial economics event studies. In rank tests, financial assets’ multiple day cumulative abnormal returns (CARs) are replaced by cumulated ranks. This paper proposes...
Persistent link: https://www.econbiz.de/10013168738