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Bayesian Dynamic Modeling of High-Frequency Integer Price Changes
Language: en
Pages: 47
Authors: Istvan Barra
Categories:
Type: BOOK - Published: 2018 - Publisher:

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We investigate high-frequency volatility models for analyzing intra-day tick by tick stock price changes using Bayesian estimation procedures. Our key interest
Bayesian Statistics in Action
Language: en
Pages: 242
Authors: Raffaele Argiento
Categories: Mathematics
Type: BOOK - Published: 2017-04-28 - Publisher: Springer

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This book is a selection of peer-reviewed contributions presented at the third Bayesian Young Statisticians Meeting, BAYSM 2016, Florence, Italy, June 19-21. Th
Regime Switching and Technical Trading with Dynamic Bayesian Networks in High-frequency Stock Markets
Language: en
Pages: 132
Authors: Aditya Tayal
Categories:
Type: BOOK - Published: 2009 - Publisher:

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Technical analysis has been thwarted in academic circles, due to the Efficient Market Hypothesis, which had significant empirical support early on. However rece
Algorithmic and High-Frequency Trading
Language: en
Pages: 360
Authors: Álvaro Cartea
Categories: Mathematics
Type: BOOK - Published: 2015-08-06 - Publisher: Cambridge University Press

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The design of trading algorithms requires sophisticated mathematical models backed up by reliable data. In this textbook, the authors develop models for algorit
Dynamic Discrete Mixtures for High Frequency Prices
Language: en
Pages: 39
Authors: Leopoldo Catania
Categories:
Type: BOOK - Published: 2019 - Publisher:

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The tick structure of the financial markets entails that price changes observed at very high frequency are discrete. Departing from this empirical evidence we d