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Three Essays on High Frequency Financial Econometrics and Individual Trading Behavior
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Pages: 398
Three Essays on Market Microstructure and Financial Econometrics
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Categories: Econometrics
Type: BOOK - Published: 2009 - Publisher:

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This thesis consists of three essays that study three interdependent topics: microstructure foundation of volatility clustering, inefficiency of information dif
Three Essays on the Econometric Analysis of High Frequency Financial Data
Language: en
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Authors: Roel C. A. Oomen
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High-Frequency Financial Econometrics
Language: en
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Authors: Yacine Aït-Sahalia
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Type: BOOK - Published: 2014-07-21 - Publisher: Princeton University Press

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A comprehensive introduction to the statistical and econometric methods for analyzing high-frequency financial data High-frequency trading is an algorithm-based
Three Essays on Trading Behavior
Language: en
Pages:
Authors: Adam Daniel Clark-Joseph
Categories:
Type: BOOK - Published: 2013 - Publisher:

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This dissertation analyzes trading behavior in financial markets from multiple perspectives. In chapter 1, "Exploratory Trading," I investigate the mechanisms u