000 03886nam a22005655i 4500
003 DE-He213
005 20151013141914.0
007 cr nn 008mamaa
008 141118s2015 gw | s |||| 0|eng d
020 _a9783319099460
_9978-3-319-09946-0
024 7 _a10.1007/978-3-319-09946-0
_2doi
050 4 _aHG1-9999
050 4 _aHG4501-6051
050 4 _aHG1501-HG3550
072 7 _aKFF
_2bicssc
072 7 _aKFFK
_2bicssc
072 7 _aBUS027000
_2bisacsh
072 7 _aBUS004000
_2bisacsh
082 0 4 _a657.8333
_223
082 0 4 _a658.152
_223
100 1 _aBera, Anil K.
_eeditor.
245 1 0 _aFinancial Econometrics and Empirical Market Microstructure
_h[electronic resource] /
_cedited by Anil K. Bera, Sergey Ivliev, Fabrizio Lillo.
260 1 _aCham :
_bSpringer International Publishing :
_bImprint: Springer,
_c2015.
300 _aVIII, 284 p. 109 illus.
_bonline resource.
336 _atext
_btxt
_2rdacontent
337 _acomputer
_bc
_2rdamedia
338 _aonline resource
_bcr
_2rdacarrier
347 _atext file
_bPDF
_2rda
505 0 _aMathematical Models of Price Impact and Optimal Portfolio Management in Illiquid Markets -- Evidence of Microstructure Variables' Nonlinear Dynamics from Noised High-Frequency Data -- Revisiting of Empirical Zero Intelligence Models -- Construction and Backtesting of a Multi-Factor Stress-Scenario for the Stock Market -- Modeling Financial Market Using Percolation Theory -- How Tick Size Affects the High Frequency Scaling of Stock Return Distributions -- Market Shocks: Review of Studies -- The Synergy of Rating Agencies' Efforts: Russian Experience -- Spread Modelling Under Asymmetric Information -- On the Modeling of Financial Time Series -- Adaptive Stress Testing: Amplifying Network Intelligence by Integrating Outlier Information -- On Some Approaches to Managing Market Risk Using Var Limits: A Note -- Simulating the Synchronizing Behavior of High-Frequency Trading in Multiple Markets -- Raising Issues About Impact of High Frequency Trading on Market Liquidity -- Application of Copula Models for Modeling One-Dimensional Time Series -- Modeling Demand for Mortgage Loans Using Loan-Level Data -- Sample Selection Bias in Mortgage Market Credit Risk Modeling -- Global Risk Factor Theory and Risk Scenario Generation Based on the Rogov-Causality Test of Time Series Time-Warped Longest Common Subsequence -- Stress-Testing Model for Corporate Borrower Portfolios.
520 _aIn the era of Big Data our society is given the unique opportunity to understand the inner dynamics and behavior of complex socio-economic systems. Advances in the availability of very large databases, in capabilities for massive data mining, as well as progress in complex systems theory, multi-agent simulation and computational social science open the possibility of modeling phenomena never before successfully achieved. This contributed volume from the Perm Winter School address the problems of the mechanisms and statistics of the socio-economics system evolution with a focus on financial markets powered by the high-frequency data analysis.
650 0 _aEconomics.
650 0 _aFinance.
650 0 _aEconomics
_xStatistics.
650 0 _aEconometrics.
650 1 4 _aEconomics/Management Science.
650 2 4 _aFinance/Investment/Banking.
650 2 4 _aEconometrics.
650 2 4 _aQuantitative Finance.
650 2 4 _aFinancial Economics.
650 2 4 _aStatistics for Business/Economics/Mathematical Finance/Insurance.
700 1 _aIvliev, Sergey.
_eeditor.
700 1 _aLillo, Fabrizio.
_eeditor.
710 2 _aSpringerLink (Online service)
773 0 _tSpringer eBooks
776 0 8 _iPrinted edition:
_z9783319099453
856 4 0 _uhttp://dx.doi.org/10.1007/978-3-319-09946-0
912 _aZDB-2-SBE
942 _2ddc
_cEBOOK
999 _c3104
_d3104