Econometric Modelling of Stock Market Intraday Activities (Advanced Studies in Theoretical and Applied Econometrics) [Hardcover]

Luc Bauwens (Author), Pierre Giot (Author)

Book Description

ISBN-10: 079237424X | ISBN-13: 978-0792374244 | Publication Date: January 15, 2001 | Edition: 1st

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 to gain 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.

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About the Author

Luc Bauwens is Professor of Economics at the Université catholique de Louvain, Belgium where he chairs the Department of Economics, and has been co-director of the Center for Operations Research and Econometrics (CORE) from 1992 to 1998. He has published several books and papers in the fields of Bayesian inference, time series methods, simulation and numerical methods in econometrics, as well as empirical finance and international trade. Pierre Giot is Professor of Econometrics and Quantitative Finance at Maastricht University in The Netherlands, and he is a member of CORE in Belgium. After graduating as a Civil Engineer (Polytechnique) in Electronics, he got his Ph.D. in Economics at the Université catholique de Louvain in 1999. His current research interests focus on quantitative finance, models for intraday data and empirical market microstructure.

Product Details

• Hardcover: 196 pages
• Publisher: Springer; 1st edition (January 15, 2001)
• Language: English
• ISBN-10: 079237424X
• ISBN-13: 978-0792374244
• Product Dimensions: 9.7 x 6.2 x 0.6 inches
• Shipping Weight: 1 pounds (View shipping rates and policies)
• Amazon Best Sellers Rank: #3,175,991 in Books (See Top 100 in Books)

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