High-frequency financial econometrics (Record no. 1848267)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 02131nam a22002177a 4500 |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20260415152911.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 260415b |||||||| |||| 00| 0 eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9780691161433 |
| 037 ## - SOURCE OF ACQUISITION | |
| Terms of availability | Texual |
| 040 ## - CATALOGING SOURCE | |
| Original cataloging agency | RTL |
| Transcribing agency | RTL |
| 084 ## - COLON CLASSIFICATION NUMBER | |
| Assigning agency | RTL |
| 100 ## - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Ait-Sahalio, Yacine |
| 9 (RLIN) | 1234839 |
| 245 ## - TITLE STATEMENT | |
| Title | High-frequency financial econometrics |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. | |
| Place of publication, distribution, etc. | Princeton |
| Name of publisher, distributor, etc. | Princeton University Press |
| Date of publication, distribution, etc. | 2014 |
| 300 ## - PHYSICAL DESCRIPTION | |
| Other physical details | xxiv, 659p. |
| Dimensions | Includes bibliographical references and index |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | High-frequency trading is an algorithm-based computerized trading practice that allows firms to trade stocks in milliseconds. Over the last fifteen years, the use of statistical and econometric methods for analyzing high-frequency financial data has grown exponentially. This growth has been driven by the increasing availability of such data, the technological advancements that make high-frequency trading strategies possible, and the need of practitioners to analyze these data. This comprehensive book introduces readers to these emerging methods and tools of analysis. Yacine Aït-Sahalia and Jean Jacod cover the mathematical foundations of stochastic processes, describe the primary characteristics of high-frequency financial data, and present the asymptotic concepts that their analysis relies on. Aït-Sahalia and Jacod also deal with estimation of the volatility portion of the model, including methods that are robust to market microstructure noise, and address estimation and testing questions involving the jump part of the model. As they demonstrate, the practical importance and relevance of jumps in financial data are universally recognized, but only recently have econometric methods become available to rigorously analyze jump processes.Aït-Sahalia and Jacod approach high-frequency econometrics with a distinct focus on the financial side of matters while maintaining technical rigor, which makes this book invaluable to researchers and practitioners alike. |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Finance--Econometric models |
| 9 (RLIN) | 1234840 |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Econometrics |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Economics: Theory Show less |
| 9 (RLIN) | 1234841 |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Source of classification or shelving scheme | Colon Classification (CC) |
| Koha item type | Textbook |
| Suppress in OPAC | No |
| Withdrawn status | Lost status | Source of classification or shelving scheme | Damaged status | Not for loan | Home library | Current library | Date acquired | Total Checkouts | Barcode | Date last seen | Price effective from | Koha item type |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Colon Classification (CC) | Ratan Tata Library | Ratan Tata Library | 2026-04-15 | RT15285371 | 2026-04-15 | 2026-04-15 | Textbook |