Overview
The recent widespread availability of intraday tick-by-tick databases for stocks, options and currencies has had an important impact on research in applied financial econometrics and market microstructure. Econometric Modelling of Stock Market Intraday Activity focuses on the econometric modelling of intraday tick-by-tick transaction data (trades and quote) for stock traded on the New York Stock Exchange (NYSE). Recent quantitative modelling tools such as intraday duration models and GARCH modes are presented. A survey of trading mechanisms in financial markets and a review of market microstructure issues is also included, which allows to gain a better understanding of the motivation underlying the use of the quantitative models. In the empirical applications, the link is made with the models of the market microstructure literature that have proposed an explicit treatment of time in the trading process. Other empirical applications deal with the modelling of intraday volatility and intraday Value-at-Risk. Although the models are applied to data for stock traded on the NYSE, they are not specific to this exchange and could be used to analyze other existing trading mechanisms. Accordingly, this book should be of interest to academics and graduate students involved in empirical finance and applied econometrics, regulators working for exchanges, and practitioners in banks or brokerage firms.
Full Product Details
Author: Luc Bauwens ,
Pierre Giot
Publisher: Springer-Verlag New York Inc.
Imprint: Springer-Verlag New York Inc.
Edition: Softcover reprint of hardcover 1st ed. 2001
Volume: 38
Dimensions:
Width: 16.00cm
, Height: 1.10cm
, Length: 24.00cm
Weight: 0.454kg
ISBN: 9781441949066
ISBN 10: 1441949062
Pages: 180
Publication Date: 24 November 2010
Audience:
Professional and scholarly
,
Professional & Vocational
Format: Paperback
Publisher's Status: Active
Availability: Out of stock
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Author Information
Luc Bauwens is Professor of Economics at the Universite catholique de Louvain, Belgium where he chairs the Department of Economics, and has been co-director of the Center for Operations Research and Econometrics (CORE) from 1992 to 1998. He has published several books and papers in the fields of Bayesian inference, time series methods, simulation and numerical methods in econometrics, as well as empirical finance and international trade. Pierre Giot is Professor of Econometrics and Quantitative Finance at Maastricht University in The Netherlands, and he is a member of CORE in Belgium. After graduating as a Civil Engineer (Polytechnique) in Electronics, he got his Ph.D. in Economics at the Universite catholique de Louvain in 1999. His current research interests focus on quantitative finance, models for intraday data and empirical market microstructure.
