Financial econometrics and empirical market microstructure. ([2015])

• Record Type: Book
• Further Information: Note: Anil K. Bera, Sergey Ivliev, Fabrizio Lillo, editors.
• Editors: Bera, Anil K; Ivliev, Sergey; Lillo, Fabrizio
• 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.
• Publisher Details: Cham : Springer
• Publication Date: 2015
• Copyright Date: 2015
• Extent: 1 online resource
• Subjects: 332.64/2; Finance; Finance -- Mathematical models; Stock exchanges -- Mathematical models; Investments -- Mathematical models; Microfinance; BUSINESS & ECONOMICS -- Finance; Finance -- Mathematical models; Investments -- Mathematical models; Microfinance; Stock exchanges -- Mathematical models; Business & Economics -- Econometrics; Mathematics -- Applied; Business & Economics -- Economics -- Macroeconomics; Business & Economics -- Statistics; Econometrics; Finance & accounting; Macroeconomics; Probability & statistics; Econometrics; Macroeconomics; Statistics; Finance; Electronic books
• Languages: English
• ISBNs: 9783319099460; 3319099469; 3319099450; 9783319099453
• Related ISBNs: 9783319099453
• Notes: Note: Includes bibliographical references.; Note: Online resource; title from PDF title page (Ebsco, viewed November 20, 2014).
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.