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Pairs trading with a mean-reverting jump–diffusion model on high-frequency data
0 个回复 - 240 次查看 This paper develops a pairs trading framework based on a mean-reverting jump-diffusionmodel and applies it to minute-by-minute data of the S&P 500 oil companies from 1998to 2015. The established stati ...2023-7-12 09:47 - LIG_z - 现金交易版

Copula structured M4 processes with application to high-frequency financial data
1 个回复 - 133 次查看【作者(必填)】 232 【文题(必填)】 Copula structured M4 processes with application to high-frequency financial data【年份(必填)】 2323 【全文链接或数据库名称(选填)】https://www.sciencedirect.com/s ...2024-1-15 18:30 - internet.hzx - 求助成功区

Occupation density estimation for noisy high-frequency data
3 个回复 - 492 次查看【作者(必填)】 34534 【文题(必填)】 Occupation density estimation for noisy high-frequency data【年份(必填)】 34535 【全文链接或数据库名称(选填)】https://www.sciencedirect.com/science/article/abs ...2024-1-1 20:59 - internet.hzx - 求助成功区

“Pervasive underreaction: Evidence from high-frequency data
6 个回复 - 491 次查看【作者(必填)】 22 【文题(必填)】 Pervasive underreaction: Evidence from high-frequency data【年份(必填)】 22 【全文链接或数据库名称(选填)】 https://www.sciencedirect.com/science/article/abs/pii/ ...2023-11-18 22:32 - internet.hzx - 求助成功区

Econometrics of Financial High-Frequency Data 2012
189 个回复 - 19651 次查看　回复＋6币广告链接：统计学:数据的解读和分析(7e)Statistics: The Exploration & Analysis of Data http://bbs.pinggu.org/forum.php?mod=viewthread&tid=1406909&page=1&extra=#pid1248549 ...2012-3-25 10:09 - lyxxxz - 经管书评

CHAPTER 7 - Analysis of High-Frequency Data
1 个回复 - 313 次查看【作者(必填)】【文题(必填)】 CHAPTER 7 - Analysis of High-Frequency Data 【年份(必填)】【全文链接或数据库名称(选填)】https://www.sciencedirect.com/science/article/pii/B97804445089735001092022-6-21 23:59 - ticket1988 - 求助成功区

Analysis of High Frequency Data in Finance: A Survey
1 个回复 - 368 次查看【作者(必填)】【文题(必填)】 Analysis of High Frequency Data in Finance: A Survey 【年份(必填)】【全文链接或数据库名称(选填)】https://ideas.repec.org/a/fec/journl/v15y2020i2p141-166.html2022-6-22 00:06 - ticket1988 - 求助成功区

Robust Estimation and Inference for Jumps in Noisy High Frequency Data
3 个回复 - 1238 次查看【作者(必填)】 Jia Li （需Econometrica正式出版版本）【文题(必填)】 Robust Estimation and Inference for Jumps in Noisy High Frequency Data: a Local-to-Continuity Theory for the Pre-averaging Method ...2014-6-9 16:17 - pan1111111 - 求助成功区

Testing constant factor loading matrix using large panel high-frequency data
3 个回复 - 378 次查看【作者(必填)】Xin-BingKong ChengLiu 【文题(必填)】Testing constant factor loading matrix using large panel high-frequency data 【年份(必填)】2018 【全文链接或数据库名称(选填)】2020-1-29 22:09 - 我来了 - 求助成功区

Modelling and Forecasting High Frequency Financial Data-2015
8 个回复 - 1979 次查看 https://www.amazon.com/Modelling-Forecasting-High-Frequency-Financial/dp/1137396482/ref=sr_1_20?s=books&ie=UTF8&qid=1517308104&sr=1-20&keywords=high+frequency+trading This book provides a comprehensi ...2018-1-30 20:06 - cqiao - 金融学（理论版）

高频交易计量方法教材——Econometrics of Financial High-Frequency Data（2012）
403 个回复 - 28170 次查看 **** 本内容被作者隐藏 **** Econometrics of Financial High-Frequency Data，该书介绍了高频交易的中数据的解读以及近几年中所涉及的计量方法，还不错！玩高频交易的可以参考一下！2012-7-1 20:40 - yangweiamss - 经管书评

求 Leverage effect in high-frequency data with market microstructure[
0 个回复 - 404 次查看【作者(必填)】Yuan H, Mu Y, Zhou Y. 【文题(必填)】 Leverage effect in high-frequency data with market microstructure 【年份(必填)】2020 【全文链接或数据库名称(选填)】Statistics and Its Interf ...2020-1-11 21:26 - 地下爆菊 - 文献求助专区

Handbook of Modeling High-Frequency Data in Finance [高清]
1 个回复 - 1102 次查看 Handbook of Modeling High-Frequency Data in Finance (Wiley Handbooks in Financial Engineering and Econometrics) Author(s): Frederi G. Viens, Maria C. Mariani, Ionut Florescu Publisher: Wiley, Ye ...2018-2-2 07:24 - ka-ka - 金融学（理论版）

A markov chain estimator of multivariate volatility from high frequency data
3 个回复 - 722 次查看【作者(必填)】 Anne Floor Brix, Asger Lunde 【文题(必填)】 A markov chain estimator of multivariate volatility from high frequency data 【年份(必填)】 2015 【全文链接或数据库名称(选填)】http://l ...2016-6-7 17:11 - bkjg - 求助成功区

金融高频数据建模手册Handbook of Modeling High-Frequency Data in Finance
325 个回复 - 23974 次查看 2012新书金融高频数据建模手册 Frederi G. Viens, Maria C. Mariani "Handbook of Modeling High-Frequency Data in Finance" ISBN: 0470876883 | 2012 | PDF | 456 pages | 5 MB 收费：6币。手册 ...2012-4-9 10:59 - onceonce - 经管书评

Forecasting Value-at-Risk using high frequency data: The realized range model
3 个回复 - 610 次查看【作者(必填)】Xi-DongShaoa[/backcolor]Yu-JunLianb[/backcolor]Lian-QianYin[/backcolor] 【文题(必填)】Forecasting Value-at-Risk using high frequency data: The realized range model 【年份(必填)】20 ...2019-1-4 22:51 - Alicefree - 求助成功区

Dependence structures for multivariate high-frequency data in finance
1 个回复 - 672 次查看【作者(必填)】 23 【文题(必填)】 Dependence structures for multivariate high-frequency data in finance【年份(必填)】 23 【全文链接或数据库名称(选填)】https://www.tandfonline.com/doi/abs/10.1080/7 ...2018-8-23 12:17 - internet.hzx - 求助成功区

Extreme co-movements and extreme impacts in high frequency data in finance
1 个回复 - 450 次查看【作者(必填)】 3 【文题(必填)】 Extreme co-movements and extreme impacts in high frequency data in finance【年份(必填)】 3 【全文链接或数据库名称(选填)】https://www.sciencedirect.com/science/arti ...2018-8-22 20:22 - internet.hzx - 求助成功区

【推荐】Wiley电子书一本Handbook of Modeling High-Frequency Data in Finance
85 个回复 - 9776 次查看 Wiley电子书一本Handbook of Modeling High-Frequency Data in Finance 高清电子PDF版，下载地址 http://bbs.pinggu.org/thread-1398389-1-1.html2012-3-24 10:50 - lyxxxz - 会计与财务管理

Handbook of Modeling High-Frequency Data in Finance
6 个回复 - 2366 次查看 In recent years, the availability of high-frequency data and advances in computing have allowed financial practitioners to design systems that can handle and analyze this information. Handbook of Mode ...2014-12-17 08:45 - dong1104 - 计量经济学与统计软件

Wiley电子书一本Handbook of Modeling High-Frequency Data in Finance
14 个回复 - 3854 次查看【作者(必填)】 Frederi G. Viens, Maria C. Mariani, Ionut Florescu 【文题(必填)】 Handbook of Modeling High-Frequency Data in Finance 【年份(必填)】 2011 【全文链接或数据库名称(选填)】 http://on ...2012-3-22 14:22 - waterup - 求助成功区

Principal Component Analysis of High Frequency Data
8 个回复 - 949 次查看【作者(必填)】 Yacine Aït-Sahalia[/backcolor] 【文题(必填)】Principal Component Analysis of High Frequency Data 【年份(必填)】2017 【全文链接或数据库名称(选填)】http://www.tandfonline.com/d ...2017-12-17 16:25 - xmok77 - 求助成功区

Robust Estimation and Inference for Jumps in Noisy High Frequency Data
4 个回复 - 955 次查看【作者(必填)】 Jia Li 【文题(必填)】Robust Estimation and Inference for Jumps in Noisy High Frequency Data: A Local-to-Continuity Theory for the Pre-Averaging Method 【年份(必填)】2013 【全文链 ...2014-10-4 11:12 - 时间的背影 - 求助成功区

Dynamic copula models and high frequency data
1 个回复 - 452 次查看【作者(必填)】 IrvingDe Lira Salvatierra. Author links open the author workspace.Andrew J.Patton 【文题(必填)】 Dynamic copula models and high frequency data【年份(必填)】 2015 【全文链接或数据库 ...2017-7-31 22:35 - internet.hzx - 求助成功区

Dynamic copula models and high frequency data（ELSEVIER版本）
1 个回复 - 539 次查看【作者(必填)】 IrvingDe Lira Salvatierra. Author links open the author workspace.Andrew J.Patton 【文题(必填)】 Dynamic copula models and high frequency data【年份(必填)】2015 【全文链接或数据库 ...2017-7-11 09:43 - internet.hzx - 求助成功区

Dynamic copula models and high frequency data
2 个回复 - 530 次查看【作者(必填)】 IDL Salvatierra， AJ Patton 【文题(必填)】 Dynamic copula models and high frequency data【年份(必填)】 2015 【全文链接或数据库名称(选填)】http://xueshu.baidu.com/s?wd=paperuri%3A%2 ...2017-7-10 18:03 - internet.hzx - 求助成功区

算法与高频交易Econometrics of Financial High-Frequency Data
3 个回复 - 2800 次查看对交易微观结构介绍很全面的一本书，以及如何处理高频数据，如何建模。2017-6-4 16:24 - Belindalan - 量化投资

High-dimensional copula-based distributions with mixed frequency data
2 个回复 - 869 次查看【作者(必填)】 Dong Hwan Oha, , Andrew J. Patton 【文题(必填)】 High-dimensional copula-based distributions with mixed frequency data【年份(必填)】 2016 【全文链接或数据库名称(选填)】http://xuesh ...2017-4-19 17:08 - internet.hzx - 求助成功区

Assessment of Uncertainty in High Frequency Data
1 个回复 - 587 次查看【作者(必填)】 Per A. Mykland, Lan Zhang 【文题(必填)】 Assessment of Uncertainty in High Frequency Data: The Observed Asymptotic Variance 【年份(必填)】 2017 【全文链接或数据库名称(选填)】Econo ...2017-2-2 17:15 - shanxianmin2011 - 文献求助专区

求助Springer的一本书《Econometrics of Financial High-Frequency Data》
7 个回复 - 2115 次查看请牛人帮忙！【题名】： Econometrics of Financial High-Frequency Data 【作者】： Hautsch, Nikolaus 【期刊、会议、单位名称】：施普林格Econometrics / Statistics系列【年, 卷(期), 起止页码】：2012年 ...2011-12-5 00:24 - cy_xiaoxiao - 求助成功区

分享书籍Econometrics of Financial High Frequency Data
11 个回复 - 2769 次查看分享书籍Econometrics of Financial High Frequency Data [Hautsch,N. 2012]2015-10-22 22:38 - yuwen820523 - 经济金融数学专区

求duke论文一篇Three Essays on High-Frequency and High-Dimensional Financial Data
2 个回复 - 965 次查看【作者(必填)】 Li, Zhengzi 【文题(必填)】 Three Essays on High-Frequency and High-Dimensional Financial Data Analysis 【年份(必填)】 2013 【全文链接或数据库名称(选填)】 http://dukespace.lib.du ...2013-11-22 17:08 - waterup - 求助成功区

On the intraday periodicity duration adjustment of high_frequency data
2 个回复 - 813 次查看【作者(必填)】Wu Zhengxiao 【文题(必填)】On the intraday periodicity duration adjustment of high_frequency data 【年份(必填)】2012 【全文链接或数据库名称(选填)】2016-7-20 11:09 - 三世相思2013 - 求助成功区

Econometric Forecasting And High-Frequency Data Analysis
4 个回复 - 2615 次查看 Econometric Forecasting And High-Frequency Data Analysis (Lecture Notes Seres, Institute for Mathematical Sciences National University of Singapore) (Hardcover)by Roberto S. Mariano (Author, Editor), ...2009-8-2 10:06 - martinnyj - 金融学（理论版）

Modelling and Forecasting High Frequency Financial Data
1 个回复 - 1046 次查看【作者(必填)】Degiannakis, Stavros, Floros, Christos 【文题(必填)】Modelling and Forecasting High Frequency Financial Data 【年份(必填)】2015 【全文链接或数据库名称(选填)】2016-2-12 14:49 - 安安岳 - 求助成功区

[高频数据案例研究]Density Estimation of High-Frequency Financial Data
71 个回复 - 7950 次查看 Frequently we will want to estimate the empirical probability density function of real-world data and compare it to the theoretical density from one or more probability distributions. The following ex ...2015-3-20 08:28 - ReneeBK - 量化投资

高频交易资料The Econometrics of High Frequency Data
2 个回复 - 1536 次查看 The Econometrics of High Frequency Data2015-2-11 17:25 - hyangcheng - 金融学（理论版）

projecteuclid Testing for pure-jump processes for high-frequency data
1 个回复 - 565 次查看【作者(必填)】Xin-Bing Kong, Zhi Liu, and Bing-Yi Jing 【文题(必填)】Testing for pure-jump processes for high-frequency data 【年份(必填)】2015 【全文链接或数据库名称(选填)】http://projecteuc ...2015-3-28 21:20 - 352693585 - 求助成功区

projecteuclid Modeling high-frequency financial data by pure jump processes
1 个回复 - 949 次查看【作者(必填)】Bing-Yi Jing, Xin-Bing Kong, and Zhi Liu 【文题(必填)】Modeling high-frequency financial data by pure jump processes 【年份(必填)】2012 【全文链接或数据库名称(选填)】http://proj ...2014-10-14 10:14 - 352693585 - 求助成功区

Patterns in high-frequency FX data: discovery of 12 empirical scaling laws
2 个回复 - 1173 次查看【作者(必填)】【文题(必填)】 Patterns in high-frequency FX data: discovery of 12 empirical scaling lawsJB Glattfelder, A Dupuis, RB Olsen - Quantitative Finance, 2011 - Taylor & Francis 【年份(必 ...2014-8-16 17:38 - 金融坦然 - 文献求助专区

Measuring Downside Risk Using High-Frequency Data: Realized Downside Risk Measu
2 个回复 - 1111 次查看【作者(必填)】【文题(必填)】Measuring Downside[/backcolor] Risk[/backcolor] Using High-Frequency Data: Realized Downside[/backcolor] Risk[/backcolor] Measure[/backcolor]作者: Bi, Tao; Zhang, Bo; W ...2014-7-9 10:13 - 金融坦然 - 求助成功区

Ising type models applied to Geophysics and high frequency market data
1 个回复 - 682 次查看【作者(必填)】 I. Florescuc 【文题(必填)】 Ising type models applied to Geophysics and high frequency market data【年份(必填)】 2011 【全文链接或数据库名称(选填)】http://www.sciencedirect.com/sci ...2014-2-9 20:12 - qijiongli - 求助成功区

【学术资料】Forecasting Value-at-Risk using high frequency data
0 个回复 - 657 次查看我在2009年发表的风险管理-在险价值文献一篇；摘要：Current studies on financial market risk measures usually use daily returns based on GARCH type models. This paper models realized range using intr ...2013-10-13 00:22 - yinlianqian - 殷炼乾-暨南大学国际商学院

Forecasting the FTSE 100 with High-Frequency Data: A Comparison of Realized Meas
1 个回复 - 625 次查看【作者(必填)】【文题(必填)】Forecasting the FTSE 100 with High-Frequency Data: A Comparison of Realized Measures Oleg Komarov 【年份(必填)】【全文链接或数据库名称(选填)】2013-8-30 08:56 - 金融坦然 - 求助成功区

Computing value at risk with high frequency data
1 个回复 - 2458 次查看 <BR>just for free2007-5-5 06:58 - anran841025 - EViews专版

High-Frequency Data Analysis
2 个回复 - 1567 次查看 2012-5-14 13:33 - yingying198995 - 经济金融数学专区

High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data
1 个回复 - 1361 次查看【作者(必填)】 Aït-Sahalia, Y. Fan, J. Xiu, D. 【文题(必填)】 High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data 【年份(必填)】 2010 【全文链接或数据库名称 ...2011-12-24 13:32 - sqq19860225 - 求助成功区

Volatility Estimation Based on High-Frequency Data
0 个回复 - 1015 次查看 Volatility Estimation Based on High-Frequency Data ，关于高频金融数据的一篇很好的综述，有兴趣的可以下载，一定非常有用！！！！！2011-11-5 00:54 - yangke74 - 计量经济学与统计软件

High-Frequency Financial Data with S-Plus
16 个回复 - 6664 次查看 1.Paper : Analysis of High-Frequency Financial Data with S-Plus 3.58Mb,41 pages 2.S-plus scripts : HFLibrary.ssc , HFAnalysis.ssc 3.Dataset:eur_usd.txt, quote_ge ...2006-11-26 15:40 - yiyo900 - R语言论坛

High frequency data in financial markets: Issues and applications by O Hara
1 个回复 - 3424 次查看 High frequency data in financial markets: Issues and applications Authors: Goodhart CAE; O'Hara M. Source: Journal of Empirical Finance, June 1997 Abstract: The development of high frequency ...2006-3-4 11:37 - guitarman - 数据交流中心

求文献一篇，Computing value at risk with high frequency data
3 个回复 - 2264 次查看链接地址： http://www.sciencedirect.com/science/article/B6VFG-405KF8G-2/2/46a8ad35b04677fa837471ac15794ae2 如果谁可以帮我下载赠送论坛币100，直接回帖上传，发出售贴。2005-9-26 10:14 - westcfa - 计量经济学与统计软件

[下载]Research paper: high frequency data
2 个回复 - 2927 次查看 Abstract We compare the computation of value at risk with daily and with high frequency data for the Deutsche mark–US dollar exchange rate. Among the main points considered in the paper are: (a) ...2005-3-9 07:27 - hanszhu - 计量经济学与统计软件

求The Foreign Exchange Market : Empirical Studies with High-frequency Data
1 个回复 - 1347 次查看求Charles A.E. Goodhart 的The Foreign Exchange Market : Empirical Studies with High-frequency Data 英文书。如果有纸介的也可以。价格再议。可回复2010-11-12 10:17 - jcx350 - 计量经济学与统计软件

高频数据(high frequency data)
2 个回复 - 4973 次查看请问各位中国哪些金融市场有高频率数据？2008-3-3 20:19 - mrbusy - 行为经济学与实验经济学

High frequency data in financial markets: Issues and applications. Authors: Good
0 个回复 - 2474 次查看 High frequency data in financial markets: Issues and applications. Authors: GoodhartCAE; O'Hara M. 1. Source: Journal of Empirical Finance, June 1997 抱歉:请版主删此帖没能传上来,见下帖 http://www. ...2006-3-4 11:21 - guitarman - 数据交流中心

Testing for heteroscedasticity in jumpy and noisy high-frequency data: A re...
0 个回复 - 275 次查看 2004-12-5 16:04 - 单边主义665 - Forum

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