The Resource Financial econometrics and empirical market microstructure, Anil K. Bera, Sergey Ivliev, Fabrizio Lillo, editors

Financial econometrics and empirical market microstructure, Anil K. Bera, Sergey Ivliev, Fabrizio Lillo, editors

Label
Financial econometrics and empirical market microstructure
Title
Financial econometrics and empirical market microstructure
Statement of responsibility
Anil K. Bera, Sergey Ivliev, Fabrizio Lillo, editors
Contributor
Editor
Subject
Genre
Language
eng
Summary
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
Cataloging source
N$T
Dewey number
332.64/2
Index
no index present
LC call number
HG4521
LC item number
.F55 2015eb
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
http://library.link/vocab/relatedWorkOrContributorName
  • Bera, Anil K.
  • Ivliev, Sergey
  • Lillo, Fabrizio
http://library.link/vocab/subjectName
  • Finance
  • Stock exchanges
  • Investments
  • Microfinance
  • BUSINESS & ECONOMICS
  • Finance
  • Investments
  • Microfinance
  • Stock exchanges
  • Finance
  • Finance, general
  • Econometrics
  • Quantitative Finance
  • Macroeconomics/Monetary Economics//Financial Economics
  • Statistics for Business/Economics/Mathematical Finance/Insurance
  • Econometrics
  • Finance & accounting
  • Macroeconomics
  • Probability & statistics
  • Finance
Label
Financial econometrics and empirical market microstructure, Anil K. Bera, Sergey Ivliev, Fabrizio Lillo, editors
Link
https://ezproxy.lib.ou.edu/login?url=http://link.springer.com/10.1007/978-3-319-09946-0
Instantiates
Publication
Copyright
Antecedent source
unknown
Bibliography note
Includes bibliographical references
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
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
Dimensions
unknown
Extent
1 online resource
File format
unknown
Form of item
online
Isbn
9783319099453
Level of compression
unknown
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Note
SpringerLink
Other control number
10.1007/978-3-319-09946-0
Quality assurance targets
not applicable
Reformatting quality
unknown
Sound
unknown sound
Specific material designation
remote
System control number
  • (OCoLC)896342069
  • (OCoLC)ocn896342069
Label
Financial econometrics and empirical market microstructure, Anil K. Bera, Sergey Ivliev, Fabrizio Lillo, editors
Link
https://ezproxy.lib.ou.edu/login?url=http://link.springer.com/10.1007/978-3-319-09946-0
Publication
Copyright
Antecedent source
unknown
Bibliography note
Includes bibliographical references
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
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
Dimensions
unknown
Extent
1 online resource
File format
unknown
Form of item
online
Isbn
9783319099453
Level of compression
unknown
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Note
SpringerLink
Other control number
10.1007/978-3-319-09946-0
Quality assurance targets
not applicable
Reformatting quality
unknown
Sound
unknown sound
Specific material designation
remote
System control number
  • (OCoLC)896342069
  • (OCoLC)ocn896342069

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