Financial Econometrics and Empirical Market Microstructure
-15%
portes grátis
Financial Econometrics and Empirical Market Microstructure
Lillo, Fabrizio; Bera, Anil K.; Ivliev, Sergey
Springer International Publishing AG
08/2016
284
Mole
Inglês
9783319352077
15 a 20 dias
4453
Descrição não disponível.
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.
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Big data analytics;Market microstructure;Mortgage portfolios;Perm winter school;Risk management;Stress testing;quantitative finance
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.
Este título pertence ao(s) assunto(s) indicados(s). Para ver outros títulos clique no assunto desejado.
