Modelling and Forecasting High Frequency Financial Data

Degiannakis, Stavros; Floros, Christos

The global financial crisis has reopened discussion surrounding the use of appropriate theoretical financial frameworks to reflect the current economic climate. There is a need for more sophisticated analytical concepts which take into account current quantitative changes and unprecedented turbulence in the financial markets.

This book provides a comprehensive guide to the quantitative analysis of high frequency financial data in the light of current events and contemporary issues, using the latest empirical research and theory. It highlights and explains the shortcomings of theoretical frameworks and provides an explanation of high-frequency theory, emphasising ways in which to critically apply this knowledge within a financial context.

Modelling and Forecasting High Frequency Financial Datacombines traditional and updated theories and applies them to real-world financial market situations. It will be a valuable and accessible resource for anyone wishing to understand quantitative analysis and modelling in current financial markets.

Details

Published by: Palgrave Macmillan

Publication Date: 2015-09-29

Format: Hardcover

ISBN-13: 9781137396488

DOI: 10.1057/9781137396495

Dimensions: 235cm x155cm

Pages: 278