Financial econometrics and empirical market microstructure

Author

Additional Author(s)

• Lillo, Fabrizio
• Ivliev, Sergey
• Bera, Anil K.

Publisher

London: Springer International Publishing, 2015

Language

English

ISBN

9783319099453

Series

Subject(s)

• ECONOMETRICS
• INVESTMENTS-MATHEMATICAL MODELS
• MICROFINANCE
• FINANCE-MATHEMATICAL MODELS

Notes

. Bibliography: p. 277-278 .

Abstract

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.

Physical Dimension

Number of Page(s)

viii, 284 p.

Dimension

24 cm.

Other Desc.

ill.

Summary / Review / Table of Content

Mathematical Models of Price Impact and Optimal Portfolio Management in Illiquid Markets
Andreev, Nikolay
Pages 1-11

Evidence of Microstructure Variables’ Nonlinear Dynamics from Noised High-Frequency Data
Andreev, Nikolay (et al.)
Pages 13-23

Revisiting of Empirical Zero Intelligence Models
Arbuzov, Vyacheslav
Pages 25-36

Construction and Backtesting of a Multi-Factor Stress-Scenario for the Stock Market
Boldyrev, Kirill (et al.)
Pages 37-45

Modeling Financial Market Using Percolation Theory
Byachkova, Anastasiya (et al.)
Pages 47-53

How Tick Size Affects the High Frequency Scaling of Stock Return Distributions
Curato, Gianbiagio (et al.)
Pages 55-76

Market Shocks: Review of Studies
Frolova, Mariya
Pages 77-92

The Synergy of Rating Agencies’ Efforts: Russian Experience
Karminsky, Alexander
Pages 93-109

Spread Modelling Under Asymmetric Information
Kazachenko, Sergey
Pages 111-129

On the Modeling of Financial Time Series
Kutergin, Aleksey (et al.)
Pages 131-151

Adaptive Stress Testing: Amplifying Network Intelligence by Integrating Outlier Information (Draft 16)
Laubsch, Alan
Pages 153-193

On Some Approaches to Managing Market Risk Using VaR Limits: A Note
Lobanov, Alexey
Pages 195-206

Simulating the Synchronizing Behavior of High-Frequency Trading in Multiple Markets
Myers, Benjamin (et al.)
Pages 207-213

Raising Issues About Impact of High Frequency Trading on Market Liquidity
Naumenko, Vladimir
Pages 215-223

Application of Copula Models for Modeling One-Dimensional Time Series
Onishchenko, Vadim (et al.)
Pages 225-239

Modeling Demand for Mortgage Loans Using Loan-Level Data
Ozhegov, Evgeniy
Pages 241-248

Sample Selection Bias in Mortgage Market Credit Risk Modeling
Lozinskaia, Agatha
Pages 249-262

Global Risk Factor Theory and Risk Scenario Generation Based on the Rogov-Causality Test of Time Series Time-Warped Longest Common Subsequence
Rogov, Mikhail
Pages 263-278

Stress-Testing Model for Corporate Borrower Portfolios
Seleznev, Vladimir (et al.)
Pages 279-284

Exemplar(s)

#	Accession No.	Call Number	Location	Status
1.	01251/17	332.642 Fin	Library - 7th Floor	Available