Modelling and Forecasting High Frequency Financial Data

✍ Scribed by Stavros Degiannakis, Christos Floros (auth.)

• Publisher: Palgrave Macmillan UK
• Year: 2015
• Tongue: English
• Leaves: 301
• Edition: 1
• Category: Library

✦ Synopsis

The global financial crisis has reopened discussion surrounding the use of appropriate theoretical financial frameworks to reflect the current economic climate. There is a need for more sophisticated analytical concepts which take into account current quantitative changes and unprecedented turbulence in the financial markets.

This book provides a comprehensive guide to the quantitative analysis of high frequency financial data in the light of current events and contemporary issues, using the latest empirical research and theory. It highlights and explains the shortcomings of theoretical frameworks and provides an explanation of high-frequency theory, emphasising ways in which to critically apply this knowledge within a financial context.

Modelling and Forecasting High Frequency Financial Data combines traditional and updated theories and applies them to real-world financial market situations. It will be a valuable and accessible resource for anyone wishing to understand quantitative analysis and modelling in current financial markets.

✦ Table of Contents

Front Matter....Pages i-xxii
Introduction to High Frequency Financial Modelling....Pages 1-23
Intraday Realized Volatility Measures....Pages 24-57
Methods of Volatility Estimation and Forecasting....Pages 58-109
Multiple Model Comparison and Hypothesis Framework Construction....Pages 110-160
Realized Volatility Forecasting: Applications....Pages 161-216
Recent Methods: A Review....Pages 217-242
Intraday Hedge Ratios and Option Pricing....Pages 243-273
Back Matter....Pages 274-278

✦ Subjects

Investments and Securities; Banking; Financial Engineering; Corporate Finance