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Properties Of High Frequency Dax Returns
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Book Synopsis Risk Estimation on High Frequency Financial Data by : Florian Jacob
Download or read book Risk Estimation on High Frequency Financial Data written by Florian Jacob and published by Springer. This book was released on 2015-03-28 with total page 78 pages. Available in PDF, EPUB and Kindle. Book excerpt: By studying the ability of the Normal Tempered Stable (NTS) model to fit the statistical features of intraday data at a 5 min sampling frequency, Florian Jacobs extends the research on high frequency data as well as the appliance of tempered stable models. He examines the DAX30 returns using ARMA-GARCH NTS, ARMA-GARCH MNTS (Multivariate Normal Tempered Stable) and ARMA-FIGARCH (Fractionally Integrated GARCH) NTS. The models will be benchmarked through their goodness of fit and their VaR and AVaR, as well as in an historical Backtesting.
Book Synopsis The Quarterly Review of Economics and Finance by :
Download or read book The Quarterly Review of Economics and Finance written by and published by . This book was released on 2010 with total page 1098 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis High Frequency Trading and Limit Order Book Dynamics by : Ingmar Nolte
Download or read book High Frequency Trading and Limit Order Book Dynamics written by Ingmar Nolte and published by Routledge. This book was released on 2016-04-14 with total page 377 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book brings together the latest research in the areas of market microstructure and high-frequency finance along with new econometric methods to address critical practical issues in these areas of research. Thirteen chapters, each of which makes a valuable and significant contribution to the existing literature have been brought together, spanning a wide range of topics including information asymmetry and the information content in limit order books, high-frequency return distribution models, multivariate volatility forecasting, analysis of individual trading behaviour, the analysis of liquidity, price discovery across markets, market microstructure models and the information content of order flow. These issues are central both to the rapidly expanding practice of high frequency trading in financial markets and to the further development of the academic literature in this area. The volume will therefore be of immediate interest to practitioners and academics. This book was originally published as a special issue of European Journal of Finance.
Book Synopsis Operations Research Proceedings 2010 by : Bo Hu
Download or read book Operations Research Proceedings 2010 written by Bo Hu and published by Springer Science & Business Media. This book was released on 2011-06-24 with total page 664 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contains selected papers from the symposium "Operations Research 2010" which was held from September 1-3, 2010 at the "Universität der Bundeswehr München", Germany. The international conference, which also serves as the annual meeting of the German Operations Research Society (GOR), attracted more than 600 participants from more than thirty countries. The general theme "Mastering Complexity" focusses on a natural component of the globalization process. Financial markets, traffic systems, network topologies and, last but not least, energy resource management, all contain complex behaviour and economic interdependencies which necessitate a scientific solution. Operations Research is one of the key instruments to model, simulate and analyze such systems. In the process of developing optimal solutions, suitable heuristics and efficient procedures are some of the challenges which are discussed in this volume.
Book Synopsis Complex Systems in Finance and Econometrics by : Robert A. Meyers
Download or read book Complex Systems in Finance and Econometrics written by Robert A. Meyers and published by Springer Science & Business Media. This book was released on 2010-11-03 with total page 919 pages. Available in PDF, EPUB and Kindle. Book excerpt: Finance, Econometrics and System Dynamics presents an overview of the concepts and tools for analyzing complex systems in a wide range of fields. The text integrates complexity with deterministic equations and concepts from real world examples, and appeals to a broad audience.
Book Synopsis Wavelet Theory and Its Applications by : Sudhakar Radhakrishnan
Download or read book Wavelet Theory and Its Applications written by Sudhakar Radhakrishnan and published by BoD – Books on Demand. This book was released on 2018-10-03 with total page 270 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is intended to attract the attention of practitioners and researchers in the academia and industry interested in challenging paradigms of wavelets and its application with an emphasis on the recent technological developments. All the chapters are well demonstrated by various researchers around the world covering the field of mathematics and applied engineering. This book highlights the current research in the usage of wavelets in different areas such as biomedical analysis, fringe-pattern analysis, image applications, network data transfer applications, and optical measurement techniques. The entire work available in the book is mainly focusing on researchers who can do quality research in the area of the usage of wavelets in related fields. Each chapter is an independent research, which will definitely motivate the young researchers to ponder on. These 12 chapters available in four sections will be an eye opener for all who are doing systematic research in these fields.
Book Synopsis The Statistical Mechanics of Financial Markets by : Johannes Voit
Download or read book The Statistical Mechanics of Financial Markets written by Johannes Voit and published by Springer Science & Business Media. This book was released on 2013-04-17 with total page 298 pages. Available in PDF, EPUB and Kindle. Book excerpt: This textbook describes parallels between statistical physics and finance - both those established in the 100-year-long interaction between these disciplines, as well as new research results on capital markets. The random walk, well known in physics, is also the basic model in finance, upon which are built, for example, the Black--Scholes theory of option pricing and hedging, or methods of risk control using diversification. Here the underlying assumptions are discussed using empirical financial data and analogies to physical models such as fluid flows, turbulence, or superdiffusion. On this basis, new theories of derivative pricing and risk control can be formulated. Computer simulations of interacting agent models of financial markets provide insights into the origins of asset price fluctuations. Stock exchange crashes can be modelled in ways analogous to phase transitions and earthquakes. These models allow for predictions. This study edition has been updated with a presentation of several new and significant developments, e.g. the dynamics of volatility smiles and implied volatility surfaces, path integral approaches to option pricing, a new and accurate simulation scheme for options, multifractals, the application of nonextensive statistical mechanics to financial markets, and the minority game. Moreover, the book was scanned for and corrected from errors, both typographical and in presentation.
Book Synopsis INVESTIGATIONS OF MAGNETIC AND ELECTRICAL PROPERTIES OF SOME FERRITE SYSTEMS PREPARED BY CHEMICAL ROUTE by : Dr. Sanjay Gurav
Download or read book INVESTIGATIONS OF MAGNETIC AND ELECTRICAL PROPERTIES OF SOME FERRITE SYSTEMS PREPARED BY CHEMICAL ROUTE written by Dr. Sanjay Gurav and published by Laxmi Book Publication. This book was released on 2023-09-26 with total page 118 pages. Available in PDF, EPUB and Kindle. Book excerpt: Ferrites are ceramic, homogeneous materials composed of various oxides with iron oxide as their main constituent. Ferrites are a class of ceramic ferromagnetic materials that by definition can be magnetized to produce large magnetic flux densities in response to small applied magnetization forces. Further, ferrites are chemical compounds, ceramic with iron (III) oxide Fe2O3 as their principal components [1]. Ferrites are usually non-conductive ferrimagnetic ceramic compounds derived from iron oxides such as hematite (Fe2O3) or magnetite (Fe3O4) as well as oxides of other metals. Ferrites are, like most other ceramics, hard and brittle. Many of them are magnetic materials and they are used to make permanent magnets, ferrite cores for transformers and in various other applications.
Book Synopsis Scientific and Technical Aerospace Reports by :
Download or read book Scientific and Technical Aerospace Reports written by and published by . This book was released on 1987 with total page 956 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Quantitative Methods for Economics and Finance by : J.E. Trinidad-Segovia
Download or read book Quantitative Methods for Economics and Finance written by J.E. Trinidad-Segovia and published by MDPI. This book was released on 2021-02-12 with total page 418 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a collection of papers for the Special Issue “Quantitative Methods for Economics and Finance” of the journal Mathematics. This Special Issue reflects on the latest developments in different fields of economics and finance where mathematics plays a significant role. The book gathers 19 papers on topics such as volatility clusters and volatility dynamic, forecasting, stocks, indexes, cryptocurrencies and commodities, trade agreements, the relationship between volume and price, trading strategies, efficiency, regression, utility models, fraud prediction, or intertemporal choice.
Book Synopsis A Study of Initinal Permeability and Magnetic Properties of Ferrit Material by : Dr. Arvind A. Birajdar
Download or read book A Study of Initinal Permeability and Magnetic Properties of Ferrit Material written by Dr. Arvind A. Birajdar and published by Laxmi Book Publication. This book was released on 2023-09-26 with total page 125 pages. Available in PDF, EPUB and Kindle. Book excerpt: Several years of worldwide revolutionary developments in nanoscience, combining physics, chemistry, material science, theory and even biosciences, have brought us to another level of understanding. Nanotechnology becomes a key word of public interest, since even politician and economists realized the social power of nanotechnological development. Nanotechnology is called the technology of the next. century, coming after microtechnology. Nanotechnology unfortunately also becomes a catchword for people with ambitions in science fiction.
Book Synopsis Investment Valuation and Asset Pricing by : James W. Kolari
Download or read book Investment Valuation and Asset Pricing written by James W. Kolari and published by Springer Nature. This book was released on 2023-01-01 with total page 247 pages. Available in PDF, EPUB and Kindle. Book excerpt: This textbook is intended to fill a gap in undergraduate finance curriculums by providing an asset pricing text that is accessible for undergraduate finance students. It offers an overview of original works on foundational asset pricing studies that follows their historical publication chronologically throughout the text. Each chapter stays close to the original works of these major authors, including quotations, examples, graphical exhibits, and empirical results. Additionally, it includes statistical concepts and methods as applied to finance. These statistical materials are crucial to learning asset pricing, which often applies statistical tests to evaluate different asset pricing models. It offers practical examples, questions, and problems to help students check their learning and better understand the fundamentals of asset pricing., alongside including PowerPoint slides and an instructor’s manual for professors.
Download or read book Cumulated Index Medicus written by and published by . This book was released on 1997 with total page 1860 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Forecasting Volatility in the Financial Markets by : Stephen Satchell
Download or read book Forecasting Volatility in the Financial Markets written by Stephen Satchell and published by Elsevier. This book was released on 2011-02-24 with total page 428 pages. Available in PDF, EPUB and Kindle. Book excerpt: Forecasting Volatility in the Financial Markets, Third Edition assumes that the reader has a firm grounding in the key principles and methods of understanding volatility measurement and builds on that knowledge to detail cutting-edge modelling and forecasting techniques. It provides a survey of ways to measure risk and define the different models of volatility and return. Editors John Knight and Stephen Satchell have brought together an impressive array of contributors who present research from their area of specialization related to volatility forecasting. Readers with an understanding of volatility measures and risk management strategies will benefit from this collection of up-to-date chapters on the latest techniques in forecasting volatility. Chapters new to this third edition:* What good is a volatility model? Engle and Patton* Applications for portfolio variety Dan diBartolomeo* A comparison of the properties of realized variance for the FTSE 100 and FTSE 250 equity indices Rob Cornish* Volatility modeling and forecasting in finance Xiao and Aydemir* An investigation of the relative performance of GARCH models versus simple rules in forecasting volatility Thomas A. Silvey - Leading thinkers present newest research on volatility forecasting - International authors cover a broad array of subjects related to volatility forecasting - Assumes basic knowledge of volatility, financial mathematics, and modelling
Book Synopsis Introduction to Solid State Physics for Materials Engineers by : Emil Zolotoyabko
Download or read book Introduction to Solid State Physics for Materials Engineers written by Emil Zolotoyabko and published by John Wiley & Sons. This book was released on 2021-04-13 with total page 304 pages. Available in PDF, EPUB and Kindle. Book excerpt: A concise, accessible, and up-to-date introduction to solid state physics Solid state physics is the foundation of many of today's technologies including LEDs, MOSFET transistors, solar cells, lasers, digital cameras, data storage and processing. Introduction to Solid State Physics for Materials Engineers offers a guide to basic concepts and provides an accessible framework for understanding this highly application-relevant branch of science for materials engineers. The text links the fundamentals of solid state physics to modern materials, such as graphene, photonic and metamaterials, superconducting magnets, high-temperature superconductors and topological insulators. Written by a noted expert and experienced instructor, the book contains numerous worked examples throughout to help the reader gain a thorough understanding of the concepts and information presented. The text covers a wide range of relevant topics, including propagation of electron and acoustic waves in crystals, electrical conductivity in metals and semiconductors, light interaction with metals, semiconductors and dielectrics, thermoelectricity, cooperative phenomena in electron systems, ferroelectricity as a cooperative phenomenon, and more. This important book: Provides a big picture view of solid state physics Contains examples of basic concepts and applications Offers a highly accessible text that fosters real understanding Presents a wealth of helpful worked examples Written for students of materials science, engineering, chemistry and physics, Introduction to Solid State Physics for Materials Engineers is an important guide to help foster an understanding of solid state physics.
Book Synopsis Volatility Trading by : Euan Sinclair
Download or read book Volatility Trading written by Euan Sinclair and published by John Wiley & Sons. This book was released on 2013-03-18 with total page 328 pages. Available in PDF, EPUB and Kindle. Book excerpt: Popular guide to options pricing and position sizing for quant traders In this second edition of this bestselling book, Sinclair offers a quantitative model for measuring volatility in order to gain an edge in everyday option trading endeavors. With an accessible, straightforward approach, he guides traders through the basics of option pricing, volatility measurement, hedging, money management, and trade evaluation. This new edition includes new chapters on the dynamics of realized and implied volatilities, trading the variance premium and using options to trade special situations in equity markets. Filled with volatility models including brand new option trades for quant traders Options trader Euan Sinclair specializes in the design and implementation of quantitative trading strategies Volatility Trading, Second Edition + Website outlines strategies for defining a true edge in the market using options to trade volatility profitably.
Book Synopsis Computational Intelligence for Modern Business Systems by : Sandeep Kautish
Download or read book Computational Intelligence for Modern Business Systems written by Sandeep Kautish and published by Springer Nature. This book was released on 2023-12-05 with total page 523 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book covers the applications of computational intelligence techniques in business systems and advocates how these techniques are useful in modern business operations. The book redefines the computational intelligence foundations, the three pillars - neural networks, evolutionary computation, and fuzzy systems. It also discusses emerging areas such as swarm intelligence, artificial immune systems (AIS), support vector machines, rough sets, and chaotic systems. The other areas have also been demystified in the book to strengthen the range of computational intelligence techniques such as expert systems, knowledge-based systems, and genetic algorithms. Therefore, this book will redefine the role of computational intelligence techniques in modern business system operations such as marketing, finance & accounts, operations, personnel management, supply chain management, and logistics. Besides, this book guides the readers through using them to model, discover, and interpret new patterns that cannot be found through statistical methods alone in various business system operations. This book reveals how computational intelligence can inform the design and integration of services, architecture, brand identity, and product portfolio across the entire enterprise. The book will provide insights into research gaps, open challenges, and unsolved computational intelligence problems. The book will act as a premier reference and instant material for all the users who are contributing/practicing the adaptation of computational intelligence modern techniques in business systems.
