Studies in Empirical Economics

High Frequency Financial Econometrics

Recent Developments

Editors: Bauwens, Luc, Pohlmeier, Winfried, Veredas, David (Eds.)

  • Presents cutting-edge developments in high frequency financial econometrics
  • Sheds light on some of the most pressing open questions in the analysis of high frequency data
  • Spans a diverse range of topics, including market microstructure, tick-by-tick data, bond and foreign exchange markets, and large dimensional volatility modeling
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eBook $139.00
price for USA (gross)
  • ISBN 978-3-7908-1992-2
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Hardcover $179.00
price for USA
  • ISBN 978-3-7908-1991-5
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  • Usually dispatched within 3 to 5 business days.
Softcover $179.00
price for USA
  • ISBN 978-3-7908-2540-4
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
About this book

This exciting volume presents cutting-edge developments in high frequency financial econometrics, spanning a diverse range of topics: market microstructure, tick-by-tick data, bond and foreign exchange markets and large dimensional volatility modelling. The chapters on market microstructure deal with liquidity, asymmetries of information, and limit order aggressiveness in pure limit order book markets. The chapters on tick-by-tick data present statistical techniques for the analysis of the discrete nature of price movements, the intraday seasonal patterns of financial durations, and the joint probability law of prices, volume and durations. Bond markets are brought into focus through the analysis of macroeconomic announcements in the future bond market as a function of the business cycle. Exchange markets are examined from two perspectives: the study of the impact of information arrival on exchange rate volatility and the uncovering of chartist patterns in the euro/dollar exchange rate. Last, dynamic modelling of large dimensional covariance matrices is also presented. Shedding light on some of the most relevant open questions in the analysis of high frequency data, this volume will be of interest to graduate students, researchers and industry professionals.

Table of contents (13 chapters)

  • Editor's introduction: recent developments in high frequency financial econometrics

    Bauwens, Luc (et al.)

    Pages 1-5

  • Exchange rate volatility and the mixture of distribution hypothesis

    Bauwens, Luc (et al.)

    Pages 7-29

  • A multivariate integer count hurdle model: theory and application to exchange rate dynamics

    Bien, Katarzyna (et al.)

    Pages 31-48

  • Asymmetries in bid and ask responses to innovations in the trading process

    Escribano, Alvaro (et al.)

    Pages 49-82

  • Liquidity supply and adverse selection in a pure limit order book market

    Frey, Stefan (et al.)

    Pages 83-109

Buy this book

eBook $139.00
price for USA (gross)
  • ISBN 978-3-7908-1992-2
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $179.00
price for USA
  • ISBN 978-3-7908-1991-5
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $179.00
price for USA
  • ISBN 978-3-7908-2540-4
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
High Frequency Financial Econometrics
Book Subtitle
Recent Developments
Editors
  • Luc Bauwens
  • Winfried Pohlmeier
  • David Veredas
Series Title
Studies in Empirical Economics
Copyright
2008
Publisher
Physica-Verlag Heidelberg
Copyright Holder
Physica-Verlag Heidelberg
eBook ISBN
978-3-7908-1992-2
DOI
10.1007/978-3-7908-1992-2
Hardcover ISBN
978-3-7908-1991-5
Softcover ISBN
978-3-7908-2540-4
Series ISSN
1431-8830
Edition Number
1
Number of Pages
VI, 312
Additional Information
Parts of the papers have been first published in "Empirical Economics", Vol. 30, No. 4, 2006
Topics