recent developments in high frequency financial ... - Index of

More documents

Recommendations

Info

Luc Bauwens · Winfried Pohlmeier · David Veredas Editor’s introduction: recent developments in high frequency financial econometrics “But there are several aspects of the quantitative approach to finance, and no single one of these aspects, taken by itself, should be confounded with financial econometrics. Thus, financial econometrics is by no means the same as finance statistics. Nor is it identical with what we call general financial theory…Not should be financial econometrics a synonymous with the application of mathematics to finance. Experience has shown that each of these three view-points, that of statistics, financial theory, and mathematics, is a necessary, but not sufficient, condition for a real understanding of the quantitative relations of modern financial life. It is the unification of all the three that is powerful. And it is this unification that constitutes financial econometrics.” This paragraph is a virtual copy of the one in p. 2 of Frisch’s Editor Note on Econometrica Vol. 1, No. 1. The only difference is that economics has been replaced by finance, economic by financial, econometrics by financial econometrics. It was written 74 years ago but it fully reflects the spirit of this special issue. High frequency finance is an archetypical example of Ragnar Frisch’s words. It represents a unification of (1) financial theory, in particular market microstructure, (2) mathematical finance, exemplified in derivative markets, and (3) statistics, for instance the theory of point processes. It is the intersection of these three components that yields an incredibly active research area, with contributions that enhance the understanding of today’s complex intra-daily financial world. “Theory, in formulating its abstract quantitative notions, must be inspired to a larger extent by the technique of observations. And fresh statistical and other factual studies must be the healthy element of disturbance that constantly threatens and disquiets theorists and prevents them from coming to rest on some inherited, obsolete set of assumptions.” Here again high frequency finance is fully reflected in Ragnar Frisch’s words. Its modus vivendi is a perfect combination of observed real facts, market microstructure theory, and statistics and they all form a system in which each
Page 1 and 2: High Frequency Financial Econometri
Page 3 and 4: Prof. Luc Bauwens CORE Voie du Roma
Page 5: vi Contents Intraday stock prices,
Page 9 and 10: Editor’s introduction: recent dev
Page 11: Editor’s introduction: recent dev
Page 14 and 15: 8 L. Bauwens et al. should increase
Page 16 and 17: 10 able volatility, and realised vo
Page 18 and 19: 12 Fig. 1 Weekly and realised NOK/E
Page 20 and 21: 14 the second holds that an increas
Page 22 and 23: 16 Table 3 ARMA-GARCH model of Δ q
Page 24 and 25: 18 The first three have log of week
Page 26 and 27: 20 L. Bauwens et al. Fig. 3 Stabili
Page 28 and 29: 22 tests are not reported), where a
Page 30 and 31: 24 counterparts of the weekly log-l
Page 32 and 33: 26 L. Bauwens et al. then to full i
Page 34 and 35: 28 ot w log Ot w Ot r Σn [log(On/O
Page 37 and 38: Katarzyna Bien · Ingmar Nolte · W
Page 39 and 40: A multivariate integer count hurdle
Page 55 and 56: Alvaro Escribano . Roberto Pascual
Page 57 and 58:
Asymmetries in bid and ask response
Page 59 and 60:
Page 61 and 62:
Page 63 and 64:
Page 65 and 66:
Page 67 and 68:
Page 69 and 70:
Page 71 and 72:
Page 73 and 74:
Page 75 and 76:
Table 2 (continued) Equation Variab
Page 77 and 78:
Page 79 and 80:
Page 81 and 82:
Table 5 (continued) Variable Ask Bi
Page 83 and 84:
Page 85 and 86:
Page 87 and 88:
Page 89 and 90:
Stefan Frey . Joachim Grammig Liqui
Page 91 and 92:
Liquidity supply and adverse select
Page 93 and 94:
Page 95 and 96:
Table 1 (continued) Company name Ti
Page 97 and 98:
Page 99 and 100:
Page 101 and 102:
Page 103 and 104:
Page 105 and 106:
Table 4 (continued) Ticker α γ λ
Page 107 and 108:
Page 109 and 110:
Page 111 and 112:
Page 113 and 114:
Page 115:
Page 118 and 119:
112 tionship that a trader who requ
Page 120 and 121:
114 pirical research. 5 Using a uni
Page 122 and 123:
116 price b t(v), as defined in Eq.
Page 124 and 125:
118 (extreme) variations in the spr
Page 126 and 127:
120 where ht ¼ ! þ Xq ut ¼ ffiff
Page 128 and 129:
122 where tðrmm;tÞ ¼ ffiffiffiff
Page 130 and 131:
124 Table 2 Estimation results at t
Page 132 and 133:
126 risk for impatient traders, for
Page 134 and 135:
128 nificance of the mean component
Page 136 and 137:
130 Table 4 (continued) Frictionles
Page 139 and 140:
Anthony D. Hall . Nikolaus Hautsch
Page 141 and 142:
Order aggressiveness and order book
Page 143 and 144:
Page 145 and 146:
Page 147 and 148:
Page 149 and 150:
Table 1 (continued) BHP NAB NCP TLS
Page 151 and 152:
Page 153 and 154:
Page 155 and 156:
Page 157 and 158:
Page 159 and 160:
Table 5 (continued) AV 1 AV 2 AV 3
Page 161 and 162:
Page 163 and 164:
Page 165 and 166:
Page 167 and 168:
Page 169 and 170:
Page 171:
Page 174 and 175:
168 Keywords Financial transaction
Page 176 and 177:
170 JBX HAL Fig. 1 Histograms of th
Page 178 and 179:
172 2 The hurdle approach to intege
Page 180 and 181:
174 specify the parametric form of
Page 182 and 183:
176 order serial correlation for pr
Page 184 and 185:
Table 1 ML estimates of the logisti
Page 186 and 187:
180 JBX HAL R. Liesenfeld et al. Fi
Page 188 and 189:
182 JBX HAL Fig. 6 Autocorrelation
Page 190 and 191:
184 Table 2 ML estimates of the GLA
Page 192 and 193:
186 Easley and O’Hara (1992) prov
Page 194 and 195:
188 Table 3 ML estimates of the log
Page 196 and 197:
190 For this purpose, we use approp
Page 198 and 199:
192 the invertibility condition hol
Page 200 and 201:
194 Fig. 12 QQ-Plot against std. no
Page 202 and 203:
196 References R. Liesenfeld et al.
Page 205 and 206:
Walid Ben Omrane . Hervé Van Oppen
Page 207 and 208:
The performance analysis of chart p
Page 209 and 210:
Page 211 and 212:
Page 213 and 214:
Page 215 and 216:
Page 217 and 218:
Page 219 and 220:
Page 221 and 222:
Page 223 and 224:
Page 225 and 226:
Page 227 and 228:
Page 229:
Page 232 and 233:
226 J. M. Rodríguez-Poo et al. ver
Page 234 and 235:
228 J. M. Rodríguez-Poo et al. thi
Page 236 and 237:
230 J. M. Rodríguez-Poo et al. Sta
Page 238 and 239:
232 J. M. Rodríguez-Poo et al. whe
Page 240 and 241:
234 J. M. Rodríguez-Poo et al. As
Page 242 and 243:
236 J. M. Rodríguez-Poo et al. cer
Page 244 and 245:
238 J. M. Rodríguez-Poo et al. Sec
Page 246 and 247:
240 J. M. Rodríguez-Poo et al. whe
Page 248 and 249:
242 J. M. Rodríguez-Poo et al. Fig
Page 250 and 251:
Page 252 and 253:
Page 254 and 255:
248 J. M. Rodríguez-Poo et al. (B.
Page 256 and 257:
250 J. M. Rodríguez-Poo et al. (A.
Page 259 and 260:
Anthony S. Tay . Christopher Ting I
Page 261 and 262:
Intraday stock prices, duration, an
Page 263 and 264:
Page 265 and 266:
Page 267 and 268:
Page 269 and 270:
Table 3 (continued) Volume (percent
Page 271 and 272:
Page 273 and 274:
Page 275 and 276:
David Veredas Macroeconomic surpris
Page 277 and 278:
Macroeconomic surprises and short-t
Page 279 and 280:
Page 281 and 282:
Page 283 and 284:
Page 285 and 286:
Page 287 and 288:
Page 289 and 290:
Page 291 and 292:
Table A2 ISM • ✓ 10 min −0.09
Page 293 and 294:
Table A4 Unemployment rate • ✓
Page 295 and 296:
Page 297 and 298:
Page 299 and 300:
Valeri Voev Dynamic modelling of la
Page 301 and 302:
Dynamic modelling of large-dimensio
Page 303 and 304:
Page 305 and 306:
Page 307 and 308:
Page 309 and 310:
Page 311 and 312:
Page 313 and 314:
Page 315 and 316:
Page 317 and 318:
show all

recent developments in high frequency financial ... - Index of

Create successful ePaper yourself

Delete template?

Save as template?