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• catalog abstract ""The recent widespread availability of intraday tick-by-tick databases for stocks, options and currencies has had an important impact on research in applied financial econometrics and market microstructure. Econometric Modelling of Stock Market Intraday Activity focuses on the econometric modelling of intraday tick-by-tick transaction data (trades and quote) for stock traded on the New York Stock Exchange (NYSE). Recent quantitative modelling tools such as intraday duration models and GARCH modes are presented. A survey of trading mechanisms in financial markets and a review of market microstructure issues is also included, which allows a better understanding of the motivation underlying the use of the quantitative models. In the empirical applications, the link is made with the models of the market microstructure literature that have proposed an explicit treatment of time in the trading process. Other empirical applications deal with the modelling of intraday volatility and intraday Value-at-Risk. Although the models are applied to data for stock traded on the NYSE, they are not specific to this exchange and could be used to analyze other existing trading mechanisms. Accordingly, this book should be of interest to academics and graduate students involved in empirical finance and applied econometrics, regulators working for exchanges, and practitioners in banks or brokerage firms."--Jacket.".
• catalog contributor b12318687.
• catalog contributor b12318688.
• catalog created "c2001.".
• catalog date "2001".
• catalog date "c2001.".
• catalog dateCopyrighted "c2001.".
• catalog description ""The recent widespread availability of intraday tick-by-tick databases for stocks, options and currencies has had an important impact on research in applied financial econometrics and market microstructure. Econometric Modelling of Stock Market Intraday Activity focuses on the econometric modelling of intraday tick-by-tick transaction data (trades and quote) for stock traded on the New York Stock Exchange (NYSE). Recent quantitative modelling tools such as intraday duration models and GARCH modes are presented. A survey of trading mechanisms in financial markets and a review of market microstructure issues is also included, which allows a better understanding of the motivation underlying the use of the quantitative models.".
• catalog description "1. Market Microstructure, Trading Mechanisms and Exchanges. Price setting in financial markets. Exchanges. Market microstructure -- 2. NYSE TAQ Database and Financial Durations. The TAQ database. Extracting information from the TAQ database. Durations. Durations: a descriptive analysis -- 3. Intraday Duration Models. Basic statistical concepts. Econometric models. Illustration on NYSE data. App. Probability distributions -- 4. Empirical Results and Extensions. Market microstructure effects. A joint model of durations and price change indicators -- 5. Intraday Volatility and Value-at-Risk. A review of ARCH models. ARCH models for intraday data. Intraday Value-at-Risk.".
• catalog description "In the empirical applications, the link is made with the models of the market microstructure literature that have proposed an explicit treatment of time in the trading process. Other empirical applications deal with the modelling of intraday volatility and intraday Value-at-Risk. Although the models are applied to data for stock traded on the NYSE, they are not specific to this exchange and could be used to analyze other existing trading mechanisms. Accordingly, this book should be of interest to academics and graduate students involved in empirical finance and applied econometrics, regulators working for exchanges, and practitioners in banks or brokerage firms."--Jacket.".
• catalog description "Includes bibliographical references (p. 161-172) and index.".
• catalog extent "xv, 177 p. :".
• catalog identifier "079237424X (alk. paper)".
• catalog isPartOf "Advanced studies in theoretical and applied econometrics ; v. 38".
• catalog issued "2001".
• catalog issued "c2001.".
• catalog language "eng".
• catalog publisher "Boston : Kluwer Academic Publishers,".
• catalog subject "332.63/222 21".
• catalog subject "Day trading (Securities) Econometric models.".
• catalog subject "HG4515.2 .B384 2001".
• catalog subject "Stock exchanges Econometric models.".
• catalog subject "Stocks Prices Econometric models.".
• catalog tableOfContents "1. Market Microstructure, Trading Mechanisms and Exchanges. Price setting in financial markets. Exchanges. Market microstructure -- 2. NYSE TAQ Database and Financial Durations. The TAQ database. Extracting information from the TAQ database. Durations. Durations: a descriptive analysis -- 3. Intraday Duration Models. Basic statistical concepts. Econometric models. Illustration on NYSE data. App. Probability distributions -- 4. Empirical Results and Extensions. Market microstructure effects. A joint model of durations and price change indicators -- 5. Intraday Volatility and Value-at-Risk. A review of ARCH models. ARCH models for intraday data. Intraday Value-at-Risk.".
• catalog title "Econometric modelling of stock market intraday activity / by Luc Bauwens and Pierre Giot.".
• catalog type "text".