{"product_id":"highfrequency-financial-econometrics-9780691161433","title":"HighFrequency Financial Econometrics","description":"\u003cb\u003eBook Synopsis\u003c\/b\u003e\u003cbr\u003eHigh-frequency trading is an algorithm-based computerized trading practice that allows firms to trade stocks in milliseconds. This book introduces readers to these emerging methods and tools of analysis.\u003cbr\u003e\u003cbr\u003e\u003cb\u003eTrade Review\u003c\/b\u003e\u003cbr\u003e\"The authors are well established and are at the forefront of this specialised research area. Together they bring a wealth of knowledge to this book. . . . This text is a great resource for PhD-level courses and a great reference for researchers in the area of high-frequency financial econometrics. It is a fine scholarly book that comprehensively brings readers up to date with very recent developments in the high-frequency financial econometrics literature.\"\u003cb\u003e---Ole Worapree Maneesoonthorn, \u003ci\u003eEconomic Record\u003c\/i\u003e\u003c\/b\u003e\u003cbr\u003e\u003cbr\u003e\u003cb\u003eTable of Contents\u003c\/b\u003e\u003cbr\u003e*Frontmatter, pg. i*Contents, pg. vii*Preface, pg. xvii*Notation, pg. xxiii*Chapter 1. From Diffusions to Semimartingales, pg. 3*Chapter 2. Data Considerations, pg. 57*Introduction, pg. 81*Chapter 3. Introduction to Asymptotic Theory: Volatility Estimation for a Continuous Process, pg. 83*Chapter 4. With Jumps: An Introduction to Power Variations, pg. 109*Chapter 5. High-Frequency Observations: Identifiability and Asymptotic Efficiency, pg. 131*Introduction, pg. 167*Chapter 6. Estimating Integrated Volatility: The Base Case with No Noise and Equidistant Observations, pg. 169*Chapter 7. Volatility and Microstructure Noise, pg. 209*Chapter 8. Estimating Spot Volatility, pg. 259*Chapter 9. Volatility and Irregularly Spaced Observations, pg. 299*Introduction, pg. 327*Chapter 10. Testing for Jumps, pg. 329*Chapter 11. Finer Analysis of Jumps: The Degree of Jump Activity, pg. 393*Chapter 12. Finite or Infinite Activity for Jumps?, pg. 429*Chapter 13. Is Brownian Motion Really Necessary?, pg. 441*Chapter 14. Co-jumps, pg. 453*Appendix A. Asymptotic Results for Power Variations, pg. 477*Appendix B. Miscellaneous Proofs, pg. 507*Bibliography, pg. 633*Index, pg. 657","brand":"Princeton University Press","offers":[{"title":"Default Title","offer_id":49403805434199,"sku":"9780691161433","price":49.5,"currency_code":"GBP","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0817\/1739\/5799\/files\/9780691161433.jpg?v=1730484600","url":"https:\/\/bookcurl.com\/products\/highfrequency-financial-econometrics-9780691161433","provider":"Book Curl","version":"1.0","type":"link"}