FINANCIAL MARKETS. Microstructure and high frequency data...
€ 28.00
Dean Fantazzini
Data di pubblicazione: 01-01-2004
Pagine: 258
EAN: 9788886909679
Pagine: 258
EAN: 9788886909679
THE AIM OF THIS BOOK is to introduce to the reader the main fields of
research that examine the complex microstructural operation of financial markets. A better knowledge of this topic and the use of high frequency data have many advantages:
1. They allow for a more efficient portfolio management as one can profit by higher market liquidity and lower transaction costs.
2. You can better analyse the origin of financial crises, thus allowing for
improved risk management.
3. High frequency data let you make better pricing of derivatives products and all financial assets whose valuation is based on the volatility of some underlying asset.
4. The recent econometric tools can be used for short term trading strategies.
This is why this book can be of interest to both undergraduate and graduate students in Finance, Economics and Statistics, as well as financial professionals and regulators, involved in empirical finance and applied econometrics.
research that examine the complex microstructural operation of financial markets. A better knowledge of this topic and the use of high frequency data have many advantages:
1. They allow for a more efficient portfolio management as one can profit by higher market liquidity and lower transaction costs.
2. You can better analyse the origin of financial crises, thus allowing for
improved risk management.
3. High frequency data let you make better pricing of derivatives products and all financial assets whose valuation is based on the volatility of some underlying asset.
4. The recent econometric tools can be used for short term trading strategies.
This is why this book can be of interest to both undergraduate and graduate students in Finance, Economics and Statistics, as well as financial professionals and regulators, involved in empirical finance and applied econometrics.
Categoria Fantazzini, Dean