Handbook of High-Frequency Trading and Modeling in Finance.

Intro -- Title page -- Copyright -- Notes on Contributors -- Editors -- List of Contributors -- Preface -- Chapter 1 Trends and Trades -- 1.1 Introduction -- 1.2 A trend-based trading strategy -- 1.3 CUSUM timing -- 1.4 Example: Random walk on ticks -- 1.5 CUSUM strategy Monte Carlo -- 1.6 The effect of the threshold parameter -- 1.7 Conclusions and future work -- Appendix: Tables -- References -- Chapter 2 Gaussian Inequalities and Tranche Sensitivities -- 2.1 Introduction -- 2.2 The tranche loss function -- 2.3 A sensitivity identity -- 2.4 Correlation sensitivities -- Acknowledgment -- References -- Chapter 3 A Nonlinear Lead Lag Dependence Analysis of Energy Futures: Oil, Coal, and Natural Gas1 -- 3.1 Introduction -- 3.2 Data -- 3.3 Estimation techniques -- 3.4 Results -- 3.5 Discussion -- 3.6 Conclusions -- Acknowledgments -- References -- Notes -- Chapter 4 Portfolio Optimization: Applications in Quantum Computing -- 4.1 Introduction -- 4.2 Background -- 4.3 The models -- 4.4 Methods -- 4.5 Results -- 4.6 Discussion -- 4.7 Conclusion -- Acknowledgments -- Appendix 4.A: WMIS Matlab Code -- References -- Notes -- Chapter 5 Estimation Procedure for Regime Switching Stochastic Volatility Model and Its Applications -- 5.1 Introduction -- 5.2 The methodology -- 5.3 Results obtained applying the model to real data -- 5.4 Conclusion -- Appendix 5.A: Theoretical results and empirical testing -- References -- Chapter 6 Detecting Jumps in High-Frequency Prices Under Stochastic Volatility: A Review and a Data-Driven Approach -- 6.1 Introduction -- 6.2 Review on the intraday jump tests -- 6.3 A data-driven testing procedure -- 6.4 Simulation study -- 6.5 Empirical results -- 6.6 Conclusion -- Acknowledgments -- Appendix 6.A: Least-square estimation of HAR-MA (2) model for log(BP) of SPY -- Appendix 6.B: Estimation of ARMA (2, 1) model for log(BP) of SPY.

Appendix 6.C: Minimized loss function loss(ρ1, ρ2) for SV2FJ_2ρ model, SPY -- Appendix 6.D.1: Calibration of ξ under SV2FJ_2ρ model at 2-min frequency, E[Nt] = 0.08 -- Appendix 6.D.2: Calibration of ξ under SV2FJ_2ρ model at 2-min frequency, E[Nt] = 0.40 -- Appendix 6.D.3: Calibration of ξ under SV2FJ_2ρ model at 5-min frequency, E[Nt] = 0.08 -- Appendix 6.D.4: Calibration of ξ under SV2FJ_2ρ Model at 5-min frequency, E[Nt] = 0.40 -- Appendix 6.D.5: Calibration of ξ under SV2FJ_2ρ model at 10-min frequency, E[Nt] = 0.08 -- Appendix 6.D.6: Calibration of ξ under SV2FJ_2ρ model at 10-min frequency, E[Nt] = 0.40 -- References -- Notes -- Chapter 7 Hawkes Processes and Their Applications to High-Frequency Data Modeling -- 7.1 Introduction -- 7.2 Point processes -- 7.3 Hawkes processes -- 7.4 Statistical inference of Hawkes processes -- 7.5 Applications of Hawkes processes -- Appendix 7.A: Point Processes -- Appendix 7.B: A Brief History of Hawkes processes -- References -- Notes -- Chapter 8 Multifractal Random Walk Driven by a Hermite Process: -- 8.1 Introduction -- 8.2 Preliminaries -- 8.3 Multifractal random walk driven by a Hermite process -- 8.4 Financial applications -- 8.5 Concluding remarks -- References -- Notes -- Chapter 9 Interpolating Techniques and Nonparametric Regression Methods Applied to Geophysical and Financial Data Analysis -- 9.1 Introduction -- 9.2 Nonparametric regression models -- 9.3 Interpolation methods -- 9.4 Conclusion -- Acknowledgments -- References -- Chapter 10 Study of Volatility Structures in Geophysics and Finance Using Garch Models -- 10.1 Introduction -- 10.2 Short memory models -- 10.3 Long memory models -- 10.4 Detection and estimation of long memory -- 10.5 Data collection, analysis, and result -- 10.6 Discussion and conclusion -- References.

Chapter 11 Scale Invariance and Lévy Models Applied to Earthquakes and Financial High-Frequency Data -- 11.1 Introduction -- 11.2 Governing equations for the deterministic model -- 11.3 Lévy flights and application to geophysics -- 11.4 Application to the high-frequency market data -- 11.5 Brief program code description -- 11.6 Conclusion -- 11.A Appendix -- References -- Chapter 12 Analysis of Generic Diversity in the Fossil Record, Earthquake Series, and High-Frequency Financial Data -- 12.1 Introduction -- 12.2 Statistical preliminaries and results -- 12.3 Statistical and numerical analysis -- 12.4 Analysis with Lévy distribution -- 12.5 Analysis of the Stock Indices, high-frequency (tick) data, and explosive series -- 12.6 Results and discussion -- Acknowledgments -- 12.A Appendix A-Big 'O' notation -- References -- Index -- Series -- EULA.

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Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2024. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries.