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Financial Econometrics and Empirical Market Microstructure

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-agen...

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Bibliographic Details
Corporate Author: SpringerLink (Online service)
Other Authors: Bera, Anil K. (Editor, http://id.loc.gov/vocabulary/relators/edt), Ivliev, Sergey. (Editor, http://id.loc.gov/vocabulary/relators/edt), Lillo, Fabrizio. (Editor, http://id.loc.gov/vocabulary/relators/edt)
Format: Electronic eBook
Language:English
Published: Cham : Springer International Publishing : Imprint: Springer, 2015.
Edition:1st ed. 2015.
Subjects:
Finance.
Econometrics.
Economics, Mathematical .
Macroeconomics.
Statistics .
Finance, general.
Quantitative Finance.
Macroeconomics/Monetary Economics//Financial Economics.
Statistics for Business, Management, Economics, Finance, Insurance.
Online Access:https://doi.org/10.1007/978-3-319-09946-0
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Table of Contents:
  • 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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