Viens F.G., Mariani M.C., Florescu I. (Eds.) Handbook of Modeling High-Frequency Data in Finance

Wiley – 2012, 443 p.
ISBN: 0470876883Cutting-Edge Developments in High-Frequency Financial Econometrics.
In recent years, the availability of high-frequency data and advances in computing have allowed financial practitioners to design systems that can handle and analyze this information. Handbook of Modeling High-Frequency Data in Finance addresses the many theoretical and practical questions raised by the nature and intrinsic properties of this data.
A one-stop compilation of empirical and analytical research, this handbook explores data sampled with high-frequency finance in financial engineering, statistics, and the modern financial business arena. Every chapter uses real-world examples to present new, original, and relevant topics that relate to newly evolving discoveries in high-frequency finance, such as:
Designing new methodology to discover elasticity and plasticity of price evolution
Constructing microstructure simulation models
Calculation of option prices in the presence of jumps and transaction costs
Using boosting for financial analysis and trading
The handbook motivates practitioners to apply high-frequency finance to real-world situations by including exclusive topics such as risk measurement and management, UHF data, microstructure, dynamic multi-period optimization, mortgage data models, hybrid Monte Carlo, retirement, trading systems and forecasting, pricing, and boosting. The diverse topics and viewpoints presented in each chapter ensure that readers are supplied with a wide treatment of practical methods.
Handbook of Modeling High-Frequency Data in Finance is an essential reference for academics and practitioners in finance, business, and econometrics who work with high-frequency data in their everyday work. It also serves as a supplement for risk management and high-frequency finance courses at the upper-undergraduate and graduate levels.Part One Analysis of Empirical Data
I. Estimation of NIG and VG Models for High Frequency Financial Data by José E. Figueroa-López, Steven R. Lancette, Kiseop Lee, and Yanhui MiThe Statistical Models
Parametric Estimation Methods,
Finite-Sample Performance via Simulations,
Empirical Results,II. A Study of Persistence of Price Movement using High Frequency Financial Data by Dragos Bozdog, Ionut¸ Florescu, Khaldoun Khashanah, and Jim WangMethodology,
Results,
Rare Events Distribution,III. Using Boosting for Financial Analysis and Trading by Germán CreamerMethods,
Performance Evaluation,
Earnings Prediction and Algorithmic Trading,
Final Comments and Conclusions,IV. Impact of Correlation Fluctuations on Securitized structures by Eric Hillebrand, Ambar N. Sengupta, and Junyue XuDescription of the Products and Models,
Impact of Dynamics of Default Correlation on
Low-Frequency Tranches,
Impact of Dynamics of Default Correlation on High-Frequency Tranches,V. Construction of Volatility Indices Using A Multinomial Tree Approximation Method by Dragos Bozdog, Ionut¸ Florescu, Khaldoun Khashanah, and Hongwei QiuNew Methodology,
Results and Discussions,
Summary and Conclusion,Part Two Long Range Dependence Models
VI. Long Correlations Applied to the Study of Memory Effects in High Frequency (TICK) Data, the Dow Jones Index, and International Indices by Ernest Barany and Maria Pia Beccar VarelaMethods Used for Data Analysis,
Data,
Results and Discussions,VII. Risk Forecasting with GARCH, Skewed t Distributions, and Multiple Timescales by Alec N. Kercheval and Yang LiuThe Skewed t Distributions,
Risk Forecasts on a Fixed Timescale,
Multiple Timescale Forecasts,
Backtesting,
Further Analysis: Long-Term GARCH and Comparisons using Simulated Data,VIII. Parameter Estimation and Calibration for Long-Memory Stochastic Volatility Models by Alexandra ChronopoulouStatistical Inference Under the LMSV Model,
Simulation Results,
Application to the S&P Index,Part Three Analytical Results
IX. A Market Microstructure Model of Ultra High Frequency Trading by Carlos A. Ulibarri and Peter C. AnselmoMicrostructural Model,
Static Comparisons,
Questions for Future Research,X. Multivariate Volatility Estimation with High Frequency Data Using Fourier Method by Maria Elvira Mancino and Simona SanfeliciFourier Estimator of Multivariate Spot Volatility,
Fourier Estimator of Integrated Volatility in the Presence of Microstructure Noise,
Fourier Estimator of Integrated Covariance in the Presence of Microstructure Noise,
Forecasting Properties of Fourier Estimator,
Application: Asset Allocation,XI. The "Retirement" Problem by Cristian PasaricaThe Market Model,
Portfolio and Wealth Processes,
Utility Function,
The Optimization Problem in the Case π(t ,T] ≡ ,
Duality Approach,
Infinite Horizon Case,XII. Stochastic Differential Equations and Levy Models with Applications to High Frequency Data by Ernest Barany and Maria Pia Beccar Varela
Solutions to Stochastic Differential Equations,
Stable Distributions,
The Levy Flight Models,
Numerical Simulations and Levy Models: Applications to Models Arising in Financial Indices and High Frequency Data,
Discussion and Conclusions,XIII. Solutions to Integro-Differential Parabolic Problem Arising on Financial Mathematics by Maria C. Mariani, Marc Salas, and Indranil SenGuptaMethod of Upper and Lower Solutions,
Another Iterative Method,
Integro-Differential Equations in a Lévy Market,XIV. Existence of Solutions for Financial Models with Transaction Costs and Stochastic Volatility by Maria C. Mariani, Emmanuel K. Ncheuguim, and Indranil SenGupta
Model with Transaction Costs,
Review of Functional Analysis,
Solution of the Problem () and () in Sobolev Spaces,
Model with Transaction Costs and Stochastic Volatility,
The Analysis of the Resulting Partial Differential Equation,