High-Frequency Financial Series
Essays on Financial and Time Series Econometrics.
... the high frequency financial data is that they are observed at times that are random and not evenly ...the frequency of trades more or less depends upon the information flow, which will ...
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A Mixed-Stable Approach to the Management of the Portfolio Using High-Frequency Financial Data
... using high-frequency financial time ...time series often exhibit the stagnation effect when the assets’ returns are not ...the financial data follow the stable law, and empirical ...
15
Fractal Geometry of Financial Time Series
... time series is to estimate the mean of the size of the jumps across time lags of size k, and to look for a scaling behavior of this quantity as a function of ...time series it is customary to consider the ...
9
Spectral Analysis Informs the Proper Frequency in the Sampling of Financial Time Series Data
... Further, it is necessary to inform the moment when each observation is sampled as the times series used are unevenly spaced. Figure 2 demonstrates how to tackle this issue. Here, an observation is adjusted to ...
11
Volatility and covariation of financial assets: a high frequency analysis
... and high frequency returns that are not affected by the microstructure ...de-noised series for each asset price, and by applying common estimators of covariance to the filtered series we can ...
53
S Transform Based Analysis for Stock Market Volatility Estimation
... volatile financial time series [14]. Sometimes high stock movement was observed without any apparent ...time series problems are addressed by prediction functions which can map the inputs with ...
7
Measuring the Intraday Jump Tail Risk of Financial Asset Price with Noisy High Frequency Data
... In this subsection, we present how to model the intraday jump tail and then to measure the jump tail risk, i.e . VaR (Value-at-Risk) and ES (Expected Shortfall) based on extreme value theory (EVT). Extreme value theory ...
12
Volatility in High Frequency Intensive Care Mortality Time Series: Application of Univariate and Multivariate GARCH Models
... time series display time-varying ...the financial time-series paradigm, which account for this characteristic, has not been addressed for high-frequency mortality ...mean-mortality ...
27
Power Laws In Financial Markets: Scaling Exponent H And Alpha-Stable Distributions
... of high frequency data, new stylized facts were revealed in the financial time series; one of them is heavy tails, which states that the tails of the probability distributions decay with power ...
12
Estimating Financial Volatility with High-Frequency Returns
... returns series (computed by concatenating ...these series are: (i) the price spikes just before 1998 (the year of the merger between Citicorp and Travelers Group) and exhibits some volatility before ...
31
Consistent estimator of ex post covariation of discretely observed diffusion processes and its application to high frequency financial time series
... Theoretical justification of (3.1) is given by Dubins and Schwarz (1965) who showed that any continuous martingale can be expressed as a time-changed Brow- nian motion, where the time change is given by the quadratic ...
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Neural Networks For Financial Time Series
... of financial time series, the logistic function is widely used in the hidden ...where financial time series present dynamic features, the symmetric function is more appropriate especially in ...
6
Modeling Exchange Rate Volatility: Application of the GARCH and EGARCH Models
... of financial system in the country following a rapid growth in the vo- lume of financial transactions, increased complexity of financial markets and a more interconnected global ...
24
OPERATIONAL RISK MANAGEMENT AND THE FINANCIAL SECTOR DEVELOPMENT: AN OVERVIEW
... modern financial markets. The most consequential kinds of financial risk involve breakdowns in internal authorities and collective governance (Di Renzo, et al, ...
11
Application of Higher Order Neural Networks to Financial Time Series Prediction
... When people speak of ANNs, they are most likely referring to feed-forward Multilayer Perceptrons (MLPs), which employ the backpropagation (BP) training algorithm (e.g., Lapedes & Farber, 1987; Refenes, 1994; ...
31
Occupational Learning, Financial Knowledge, and the Accumulation of Retirement Wealth
... that financial knowledge is related to educational level and economics course material, reflecting that financial knowledge may be acquired in those courses and/or that coursework in economics may be ...
41
Spurious long range dependence: evidence from Malaysian equity markets
... Asian financial crisis where most of the panic-stricken investors reacted simultaneously by withdrawing their short-term capitals on a large scale from most of the Asian financial ...
8
Performance evaluation of series and parallel strategies for financial time series forecasting
... time series stationary, which is a necessary condition when building an ARIMA model for ...time series is character- ized by a constant mean and autocorrelation structure over ...time series presents ...
24
Computer based trading, liquidity and trading costs
... and frequency of trades conducted in FTSE 100 stocks in every month since the start of ...the series by aggregating turnover across all electronic ...
40
Lexical Representation and Processing in Cross-Script Urdu-English Bilinguals: The Case of Frequency-Balanced and Frequency-Unbalanced Cognates and Noncognates
... for high-frequency prime-target pairs in the L1-L2 ...prime high-frequency target word pairs is even more unusual if the frequency effect is likened to the proficiency effect as has ...
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