Picture 1 of 7
Stock photo
Picture 1 of 7
Stock photo
Lecture Notes in Economics and Mathematical Systems Ser.: Econometrics of Sequential Trade Models : Theory and Applications Using High Frequency Data by Stefan Kokot (2004, Trade Paperback)
F
fingerboardingreen61 (202)
100% positive feedback
Price:
US $65.00
ApproximatelyRM 274.90
+ $31.48 shipping
Returns:
30 days return. Buyer pays for return shipping. If you use an eBay shipping label, it will be deducted from your refund amount.
Condition:
Oops! Looks like we're having trouble connecting to our server.
Refresh your browser window to try again.
About this product
Product Identifiers
PublisherSpringer Berlin / Heidelberg
ISBN-103540208143
ISBN-139783540208143
eBay Product ID (ePID)30251006
Product Key Features
Number of PagesXii, 196 Pages
Publication NameEconometrics of Sequential Trade Models : Theory and Applications Using High Frequency Data
LanguageEnglish
SubjectFinance / General, Econometrics, Applied, Investments & Securities / General
Publication Year2004
TypeTextbook
Subject AreaMathematics, Business & Economics
AuthorStefan Kokot
SeriesLecture Notes in Economics and Mathematical Systems Ser.
FormatTrade Paperback
Dimensions
Item Weight23.6 Oz
Item Length9.2 in
Item Width6.1 in
Additional Product Features
Intended AudienceScholarly & Professional
LCCN2003-069467
TitleLeadingThe
Dewey Edition22
Series Volume Number538
Number of Volumes1 vol.
IllustratedYes
Dewey Decimal332.64/01/5195
Table Of Content1 Introduction.- 2 Trading Mechanisms on Financial Markets.- 2.1 Typology of Security Markets.- 2.2 Market Participants and Institutional Setup on the NYSE.- 3 Sequential Trade Models.- 3.1 Market Microstructure Theory.- 3.2 Microstructure Models of the Black Box under Asymmetric Information.- 3.3 The Basic Sequential Trade Model.- 3.4 Extensions.- 3.5 Estimation of Structural Models.- 3.6 Results of Previous Studies.- 4 Econometric Analysis of Sequential Trade Models.- 4.1 The EKOP Model and Finite Mixture Models.- 4.2 Model Evaluation and Specification Testing.- 4.3 Mixture and Regime Switching Models in Econometrics.- 5 Empirical Results.- 5.1 The TAQ Database.- 5.2 The Trade Direction.- 5.3 Descriptive Statistics.- 5.4 Estimation Results.- 6 Conclusions.- A.l The Poisson Process.- A.2 Maximum Likelihood Estimation of a Multivariate Poisson Mixture Model.- A.3 The EM-Algorithm.- A.4 The Poisson Regression Model.- A.5 The Negative Binomial Regression Model.- A.6 Moments of Mixture Distributions.- A.7 Unobserved Individual Variation of Trade Arrival Rates.- A.8 Markov Chains.- A.9 The Smoothing Algorithm.- A.1O Estimation of Transition Probabilities in the Markov Switching Model.- A.11 Moments of the Dependent Variable in a Markov Switching Model.- References.- List of Figures.- List of Tables.
SynopsisThe present study has been accepted as a doctoral thesis by the Depart ment of Economics of the Johann Wolfgang Goethe-University in Frankfurt am Main. It grew out from my five year long participation in two research projects, "Econometric analysis of transaction intensity and volatility on fi nancial markets", and "Microstructure on financial markets", that were both conducted by the chair of Statistics and Econometrics (Empirical Economic Research) at the Department of Economics and Business Administration, Jo hann Wolfgang Goethe-University in Frankfurt am Main and financed by the state of Hessen. During this time I have benefitted from many people. First and foremost I would like to thank my thesis supervisor, Prof. Dr. Reinhard Hujer, for initiating and supporting my studies with great encouragement. I am also very grateful to Prof. Dr. Christian Schlag for acting as the second thesis supervisor. Furthermore, I wish to thank Prof. Dr. Joachim Grammig who introduced me to the topics covered in this study in the first place and helped me to sharpen my views on econometrics and financial market microstructure theory through many discussions and also through his willingness to work with me on several related studies., The present study has been accepted as a doctoral thesis by the Depart- ment of Economics of the Johann Wolfgang Goethe-University in Frankfurt am Main. It grew out from my five year long participation in two research projects, "Econometric analysis of transaction intensity and volatility on fi- nancial markets", and "Microstructure on financial markets", that were both conducted by the chair of Statistics and Econometrics (Empirical Economic Research) at the Department of Economics and Business Administration, Jo- hann Wolfgang Goethe-University in Frankfurt am Main and financed by the state of Hessen. During this time I have benefitted from many people. First and foremost I would like to thank my thesis supervisor, Prof. Dr. Reinhard Hujer, for initiating and supporting my studies with great encouragement. I am also very grateful to Prof. Dr. Christian Schlag for acting as the second thesis supervisor. Furthermore, I wish to thank Prof. Dr. Joachim Grammig who introduced me to the topics covered in this study in the first place and helped me to sharpen my views on econometrics and financial market microstructure theory through many discussions and also through his willingness to work with me on several related studies.
LC Classification NumberHB139-141
Be the first to write a review
