Handbook of Modeling High-Frequency Data in Finance

CUTTING-EDGE DEVELOPMENTS IN HIGH-FREQUENCY FINANCIAL ECONOMETRICS In recent years, the availability of high-frequency data and advances in computing have allowed financial practitioners to design systems that can handle and analyze this information. Handbook of Modeling High-Frequency Data in Finance addresses the many theoretical and practical questions raised by the nature and intrinsic properties of this data. A one-stop compilation of empirical and analytical research, this handbook explores data sampled with high-frequency finance in financial engineering, statistics, and the modern financial business arena. Every chapter uses real-world examples to present new, original, and relevant topics that relate to newly evolving discoveries in high-frequency finance, such as: Designing new methodology to discover elasticity and plasticity of price evolution Constructing microstructure simulation models Calculation of option prices in the presence of jumps and transaction costs Using boosting for financial analysis and trading The handbook motivates practitioners to apply high-frequency finance to real-world situations by including exclusive topics such as risk measurement and management, UHF data, microstructure, dynamic multi-period optimization, mortgage data models, hybrid Monte Carlo, retirement, trading systems and forecasting, pricing, and boosting. The diverse topics and viewpoints presented in each chapter ensure that readers are supplied with a wide treatment of practical methods. Handbook of Modeling High-Frequency Data in Finance is an essential reference for academics and practitioners in finance, business, and econometrics who work with high-frequency data in their everyday work. It also serves as a supplement for risk management and high-frequency finance courses at the upper-undergraduate and graduate levels.

CUTTING-EDGE DEVELOPMENTS IN HIGH-FREQUENCY FINANCIALECONOMETRICSIn recent years, the availability of high-frequency data andadvances in computing have allowed financial practitioners todesign systems that can handle and analyze this information.Handbook of Modeling High-Frequency Data in Financeaddresses the many theoretical and practical questions raised bythe nature and intrinsic properties of this data.A one-stop compilation of empirical and analytical researchthis handbook explores data sampled with high-frequency finance infinancial engineering, statistics, and the modern financialbusiness arena. Every chapter uses real-world examples to presentnew, original, and relevant topics that relate to newly evolvingdiscoveries in high-frequency finance, such as:* Designing new methodology to discover elasticity and plasticityof price evolution* Constructing microstructure simulation models* Calculation of option prices in the presence of jumps andtransaction costs* Using boosting for financial analysis and tradingThe handbook motivates practitioners to apply high-frequencyfinance to real-world situations by including exclusive topics suchas risk measurement and management, UHF data, microstructuredynamic multi-period optimization, mortgage data models, hybridMonte Carlo, retirement, trading systems and forecasting, pricingand boosting. The diverse topics and viewpoints presented in eachchapter ensure that readers are supplied with a wide treatment ofpractical methods.Handbook of Modeling High-Frequency Data in Finance is anessential reference for academics and practitioners in financebusiness, and econometrics who work with high-frequency data intheir everyday work. It also serves as a supplement for riskmanagement and high-frequency finance courses at theupper-undergraduate and graduate levels.