Modelling and Forecasting High Frequency Financial Data

Released on by Stavros Degiannakis
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  • Modelling and Forecasting High Frequency Financial Data Book Detail

  • Author : Stavros Degiannakis
  • Release Date : 2016-04-29
  • Publisher : Springer
  • Genre : Business & Economics
  • Pages : 301
  • ISBN 13 : 1137396490
  • File Size : 33,33 MB
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Modelling and Forecasting High Frequency Financial Data by Stavros Degiannakis PDF Summary

Book Description: The global financial crisis has reopened discussion surrounding the use of appropriate theoretical financial frameworks to reflect the current economic climate. There is a need for more sophisticated analytical concepts which take into account current quantitative changes and unprecedented turbulence in the financial markets. This book provides a comprehensive guide to the quantitative analysis of high frequency financial data in the light of current events and contemporary issues, using the latest empirical research and theory. It highlights and explains the shortcomings of theoretical frameworks and provides an explanation of high-frequency theory, emphasising ways in which to critically apply this knowledge within a financial context. Modelling and Forecasting High Frequency Financial Data combines traditional and updated theories and applies them to real-world financial market situations. It will be a valuable and accessible resource for anyone wishing to understand quantitative analysis and modelling in current financial markets.

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Liquid markets generate hundreds or thousands of ticks (the minimum change in price a security can have, either up or down) every business day. Data vendors suc