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The availability of financial data recorded on high-frequency level has inspired a research area which over the last decade emerged to a major area in econometrics and statistics. The growing popularity of high-frequency econometrics is driven by technological progress in trading systems and an increasing importance of intraday trading, liquidity risk, optimal order placement as well as high-frequency volatility. This book provides a state-of-the art overview on the major approaches in high-frequency econometrics, including univariate and multivariate autoregressive conditional mean approaches for different types of high-frequency variables, intensity-based approaches for financial point processes and dynamic factor models. It discusses implementation details, provides insights into properties of high-frequency data as well as institutional settings and presents applications to volatility and liquidity estimation, order book modelling and market microstructure analysis.
[size=12.1875px]High Frequency Financial Econometrics Recent Developments
[size=12.1875px]Editors: Bauwens, Luc, Pohlmeier, Winfried, Veredas, David (Eds.)
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This exciting volume presents cutting-edge developments in high frequency financial econometrics, spanning a diverse range of topics: market microstructure, tick-by-tick data, bond and foreign exchange markets and large dimensional volatility modelling. The chapters on market microstructure deal with liquidity, asymmetries of information, and limit order aggressiveness in pure limit order book markets. The chapters on tick-by-tick data present statistical techniques for the analysis of the discrete nature of price movements, the intraday seasonal patterns of financial durations, and the joint probability law of prices, volume and durations. Bond markets are brought into focus through the analysis of macroeconomic announcements in the future bond market as a function of the business cycle. Exchange markets are examined from two perspectives: the study of the impact of information arrival on exchange rate volatility and the uncovering of chartist patterns in the euro/dollar exchange rate. Last, dynamic modelling of large dimensional covariance matrices is also presented. Shedding light on some of the most relevant open questions in the analysis of high frequency data, this volume will be of interest to graduate students, researchers and industry professionals.
[size=12.1875px]High-Frequency Financial Econometrics
[size=12.1875px]by Yacine Aït-Sahalia & Jean Jacod
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High-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 Aït-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. Aït-Sahalia and Jacod also deal with estimation of the volatility portion of the model, including methods that are robust to market microstructure noise, and address estimation and testing questions involving the jump part of the model. As they demonstrate, the practical importance and relevance of jumps in financial data are universally recognized, but only recently have econometric methods become available to rigorously analyze jump processes.
Aït-Sahalia and Jacod approach high-frequency econometrics with a distinct focus on the financial side of matters while maintaining technical rigor, which makes this book invaluable to researchers and practitioners alike.
Yacine Aït-Sahalia is the Otto A. Hack 1903 Professor of Finance and Economics and director of the Bendheim Center for Finance at Princeton University. He is the coeditor of the Handbook of Financial Econometrics. Jean Jacod is professor at the Institut de Mathématiques de Jussieu in Paris. His books include Discretization of Processes.
Endorsement:
"An important and timely work by two of the leading experts in high-frequency data. Aït-Sahalia and Jacod take readers to the very forefront of this rapidly evolving area. They cover both the practical side of financial data and the mathematical theory of stochastic processes, and show how to connect the two. High-Frequency Financial Econometrics is a must-read for academics and practitioners alike."--Per Mykland, University of Chicago
"This comprehensive and accessible book provides a valuable introduction to the recently developed tools for modeling and inference based on very high-frequency financial data. A wonderful achievement, High-Frequency Financial Econometrics is destined to become a classic."--Torben G. Andersen, Northwestern University
"This book is simply breathtaking. High-Frequency Financial Econometrics is a serious scholarly contribution that, wonderfully, will also be of great interest to practitioners."--Francis X. Diebold, coauthor of Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach
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