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Financial Econometrics and Empirical Market Microstructure

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Cover of 'Financial Econometrics and Empirical Market Microstructure'

Table of Contents

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    Book Overview
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    Chapter 1 Mathematical Models of Price Impact and Optimal Portfolio Management in Illiquid Markets
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    Chapter 2 Evidence of Microstructure Variables’ Nonlinear Dynamics from Noised High-Frequency Data
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    Chapter 3 Revisiting of Empirical Zero Intelligence Models
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    Chapter 4 Construction and Backtesting of a Multi-Factor Stress-Scenario for the Stock Market
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    Chapter 5 Modeling Financial Market Using Percolation Theory
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    Chapter 6 How Tick Size Affects the High Frequency Scaling of Stock Return Distributions
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    Chapter 7 Market Shocks: Review of Studies
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    Chapter 8 The Synergy of Rating Agencies’ Efforts: Russian Experience
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    Chapter 9 Spread Modelling Under Asymmetric Information
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    Chapter 10 On the Modeling of Financial Time Series
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    Chapter 11 Adaptive Stress Testing: Amplifying Network Intelligence by Integrating Outlier Information (Draft 16)
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    Chapter 12 On Some Approaches to Managing Market Risk Using VaR Limits: A Note
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    Chapter 13 Simulating the Synchronizing Behavior of High-Frequency Trading in Multiple Markets
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    Chapter 14 Raising Issues About Impact of High Frequency Trading on Market Liquidity
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    Chapter 15 Application of Copula Models for Modeling One-Dimensional Time Series
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    Chapter 16 Modeling Demand for Mortgage Loans Using Loan-Level Data
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    Chapter 17 Sample Selection Bias in Mortgage Market Credit Risk Modeling
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    Chapter 18 Global Risk Factor Theory and Risk Scenario Generation Based on the Rogov-Causality Test of Time Series Time-Warped Longest Common Subsequence
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    Chapter 19 Stress-Testing Model for Corporate Borrower Portfolios
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Title
Financial Econometrics and Empirical Market Microstructure
Published by
Springer International Publishing, November 2014
DOI 10.1007/978-3-319-09946-0
ISBNs
978-3-31-909945-3, 978-3-31-909946-0
Editors

Bera, Anil K., Ivliev, Sergey, Lillo, Fabrizio

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X Demographics

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Mendeley readers

Mendeley readers

The data shown below were compiled from readership statistics for 76 Mendeley readers of this research output. Click here to see the associated Mendeley record.

Geographical breakdown

Country Count As %
Switzerland 1 1%
Unknown 75 99%

Demographic breakdown

Readers by professional status Count As %
Student > Ph. D. Student 21 28%
Researcher 7 9%
Student > Master 7 9%
Student > Doctoral Student 6 8%
Lecturer 5 7%
Other 15 20%
Unknown 15 20%
Readers by discipline Count As %
Economics, Econometrics and Finance 29 38%
Business, Management and Accounting 9 12%
Mathematics 8 11%
Computer Science 5 7%
Engineering 3 4%
Other 7 9%
Unknown 15 20%