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Financial econometrics and empirical market microstructure [electronic resource]

Financial econometrics and empirical market microstructure [electronic resource]

자료유형
E-Book(소장)
개인저자
Bera, Anil K. Ivliev, Sergey. Lillo, Fabrizio.
서명 / 저자사항
Financial econometrics and empirical market microstructure [electronic resource] / Anil K. Bera, Sergey Ivliev, Fabrizio Lillo, editors.
발행사항
Cham :   Springer International Publishing :   Imprint: Springer,   2015.  
형태사항
1 online resource (viii, 284 p.) : ill.
ISBN
9783319099460
요약
In the era of Big Data our society is given the unique opportunity to understand the inner dynamics and behavior of complex socio-economic systems. Advances in the availability of very large databases, in capabilities for massive data mining, as well as progress in complex systems theory, multi-agent simulation and computational social science open the possibility of modeling phenomena never before successfully achieved. This contributed volume from the Perm Winter School address the problems of the mechanisms and statistics of the socio-economics system evolution with a focus on financial markets powered by the high-frequency data analysis.
일반주기
Title from e-Book title page.  
내용주기
Mathematical Models of Price Impact and Optimal Portfolio Management in Illiquid Markets -- Evidence of Microstructure Variables' Nonlinear Dynamics from Noised High-Frequency Data -- Revisiting of Empirical Zero Intelligence Models -- Construction and Backtesting of a Multi-Factor Stress-Scenario for the Stock Market -- Modeling Financial Market Using Percolation Theory -- How Tick Size Affects the High Frequency Scaling of Stock Return Distributions -- Market Shocks: Review of Studies -- The Synergy of Rating Agencies' Efforts: Russian Experience -- Spread Modelling Under Asymmetric Information -- On the Modeling of Financial Time Series -- Adaptive Stress Testing: Amplifying Network Intelligence by Integrating Outlier Information -- On Some Approaches to Managing Market Risk Using Var Limits: A Note -- Simulating the Synchronizing Behavior of High-Frequency Trading in Multiple Markets -- Raising Issues About Impact of High Frequency Trading on Market Liquidity -- Application of Copula Models for Modeling One-Dimensional Time Series -- Modeling Demand for Mortgage Loans Using Loan-Level Data -- Sample Selection Bias in Mortgage Market Credit Risk Modeling -- Global Risk Factor Theory and Risk Scenario Generation Based on the Rogov-Causality Test of Time Series Time-Warped Longest Common Subsequence -- Stress-Testing Model for Corporate Borrower Portfolios.
서지주기
Includes bibliographical references.
이용가능한 다른형태자료
Issued also as a book.  
일반주제명
Finance. Finance --Mathematical models. Stock exchanges --Mathematical models. Investments --Mathematical models. Microfinance.
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020 ▼a 9783319099460
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084 ▼a 332.642 ▼2 DDCK
090 ▼a 332.642
245 0 0 ▼a Financial econometrics and empirical market microstructure ▼h [electronic resource] / ▼c Anil K. Bera, Sergey Ivliev, Fabrizio Lillo, editors.
260 ▼a Cham : ▼b Springer International Publishing : ▼b Imprint: Springer, ▼c 2015.
300 ▼a 1 online resource (viii, 284 p.) : ▼b ill.
500 ▼a Title from e-Book title page.
504 ▼a Includes bibliographical references.
505 0 ▼a Mathematical Models of Price Impact and Optimal Portfolio Management in Illiquid Markets -- Evidence of Microstructure Variables' Nonlinear Dynamics from Noised High-Frequency Data -- Revisiting of Empirical Zero Intelligence Models -- Construction and Backtesting of a Multi-Factor Stress-Scenario for the Stock Market -- Modeling Financial Market Using Percolation Theory -- How Tick Size Affects the High Frequency Scaling of Stock Return Distributions -- Market Shocks: Review of Studies -- The Synergy of Rating Agencies' Efforts: Russian Experience -- Spread Modelling Under Asymmetric Information -- On the Modeling of Financial Time Series -- Adaptive Stress Testing: Amplifying Network Intelligence by Integrating Outlier Information -- On Some Approaches to Managing Market Risk Using Var Limits: A Note -- Simulating the Synchronizing Behavior of High-Frequency Trading in Multiple Markets -- Raising Issues About Impact of High Frequency Trading on Market Liquidity -- Application of Copula Models for Modeling One-Dimensional Time Series -- Modeling Demand for Mortgage Loans Using Loan-Level Data -- Sample Selection Bias in Mortgage Market Credit Risk Modeling -- Global Risk Factor Theory and Risk Scenario Generation Based on the Rogov-Causality Test of Time Series Time-Warped Longest Common Subsequence -- Stress-Testing Model for Corporate Borrower Portfolios.
520 ▼a In the era of Big Data our society is given the unique opportunity to understand the inner dynamics and behavior of complex socio-economic systems. Advances in the availability of very large databases, in capabilities for massive data mining, as well as progress in complex systems theory, multi-agent simulation and computational social science open the possibility of modeling phenomena never before successfully achieved. This contributed volume from the Perm Winter School address the problems of the mechanisms and statistics of the socio-economics system evolution with a focus on financial markets powered by the high-frequency data analysis.
530 ▼a Issued also as a book.
538 ▼a Mode of access: World Wide Web.
650 0 ▼a Finance.
650 0 ▼a Finance ▼x Mathematical models.
650 0 ▼a Stock exchanges ▼x Mathematical models.
650 0 ▼a Investments ▼x Mathematical models.
650 0 ▼a Microfinance.
700 1 ▼a Bera, Anil K.
700 1 ▼a Ivliev, Sergey.
700 1 ▼a Lillo, Fabrizio.
856 4 0 ▼u https://oca.korea.ac.kr/link.n2s?url=http://dx.doi.org/10.1007/978-3-319-09946-0
945 ▼a KLPA
991 ▼a E-Book(소장)

소장정보

No. 소장처 청구기호 등록번호 도서상태 반납예정일 예약 서비스
No. 1 소장처 중앙도서관/e-Book 컬렉션/ 청구기호 CR 332.642 등록번호 E14025842 도서상태 대출불가(열람가능) 반납예정일 예약 서비스 M

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