pdf [DOWNLOAD] High-Frequency Financial Econometrics With Audiobook

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Download Or Read PDF High-Frequency Financial Econometrics Free Full Pages Online With Audiobook.

A comprehensive introduction to the statistical and econometric methods for analyzing high-frequency financial dataHigh-frequency trading is an algorithm-based computerized trading practice that allows firms to trade stocks in milliseconds. Over the last fifteen years, the use of statistical and econometric methods for analyzing high-frequency financial data has grown exponentially. This growth has been driven by the increasing availability of such data, the technological advancements that make high-frequency trading strategies possible, and the need of practitioners to analyze these data. This comprehensive book introduces readers to these emerging methods and tools of analysis.Yacine A?t-Sahalia and Jean Jacod cover the mathematical foundations of stochastic processes, describe the primary characteristics of high-frequency financial data, and present the asymptotic concepts that their analysis relies on. A?t-Sahalia and Jacod also deal with estimation of the volatility portion of .