Econometrics of Financial High-Frequency Data by Nikolaus Hautsch

By Nikolaus Hautsch

The provision of monetary information recorded on high-frequency point has encouraged a examine quarter which over the past decade emerged to a tremendous region in econometrics and information. The transforming into approval for high-frequency econometrics is pushed by way of technological growth in buying and selling structures and an expanding value of intraday buying and selling, liquidity possibility, optimum order placement in addition to high-frequency volatility. This ebook presents a state-of-the artwork evaluation at the significant ways in high-frequency econometrics, together with univariate and multivariate autoregressive conditional suggest techniques for various sorts of high-frequency variables, intensity-based ways for monetary element techniques and dynamic issue versions. It discusses implementation info, offers insights into houses of high-frequency information in addition to institutional settings and offers functions to volatility and liquidity estimation, order ebook modelling and marketplace microstructure research.

Show description

Read Online or Download Econometrics of Financial High-Frequency Data PDF

Best econometrics books

Regression Analysis of Count Data (Econometric Society Monographs)

Scholars in either social and usual sciences usually search regression tips on how to clarify the frequency of occasions, resembling visits to a physician, automobile injuries, or new patents presented. This booklet offers the main complete and updated account of versions and techniques to interpret such info. The authors have carried out examine within the box for greater than twenty-five years.

Modelling the Riskiness in Country Risk Ratings (Contributions to Economic Analysis)

The significance of nation probability is underscored through the lifestyles of a number of well-liked kingdom danger score corporations. those businesses mix information about substitute measures of monetary, monetary and political threat into linked composite probability rankings. because the accuracy of such kingdom possibility measures is open to question, it is vital to examine the business enterprise score platforms to permit an review of the significance and relevance of business enterprise hazard rankings.

Applied Macroeconometrics

Until eventually the Seventies, there has been a consensus in utilized macroeconometrics, either concerning the theoretical beginning and the empirical specification of macroeconometric modelling, generally known as the Cowles fee method. this is often now not the case: the Cowles fee technique broke down within the Seventies, changed by way of 3 in demand competing tools of empirical study: the LSE (London college of Economics) strategy, the VAR strategy, and the intertemporal optimization/Real company Cycle strategy.

Extra info for Econometrics of Financial High-Frequency Data

Sample text

Studied by Stoll (1978), Ho and Stoll (1981), Stoll (1989) and Huang and Stoll (1997), among others. 3 Major Implications for Trading Variables The main theoretical findings on the properties and determinants of key microstructure variables and relationships thereof are summarized as follows: 1. Transaction volumes: In the Easley and O’Hara (1987) model, traders are allowed to trade either small or large quantities, but are not allowed to refrain from trading. Thus, large quantities indicate the existence of information.

The trade price equals to the best bid (ask) and the best bid (ask) size is less than the previous one, or, 2. the best bid (ask) decreases (increases) between two consecutive records, then, match the trade with the corresponding order book entry. This step accounts for the possibility that trades might be executed against hidden liquidity. If for none of the order book records a match can be achieved in the given time window, the trade remains unmatched and we move to Step 3. Step 3: Round time matching.

Such recording errors are most easily identified if transaction prices or quotes show severe jumps between consecutive observations which are reverted immediately thereafter. To remove such types of errors, a set of filters, similar to those shown below, is commonly applied: 1. Delete observations which are directly indicated to be incorrect, delayed or subsequently corrected. 2. Delete entries outside the regular trading hours. 3. Delete entries with a quote or transaction price equal to zero or being negative.

Download PDF sample

Rated 4.28 of 5 – based on 31 votes