Econometric Modelling of Stock Market Intraday Activity

Econometric Modelling of Stock Market Intraday Activity

by Luc Bauwens, Pierre Giot

Paperback(Softcover reprint of hardcover 1st ed. 2001)

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Product Details

ISBN-13: 9781441949066
Publisher: Springer US
Publication date: 11/24/2010
Series: Advanced Studies in Theoretical and Applied Econometrics , #38
Edition description: Softcover reprint of hardcover 1st ed. 2001
Pages: 180
Product dimensions: 6.30(w) x 9.45(h) x 0.02(d)

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.

Table of Contents

Acknowledgments. Introduction. 1. Market Microstructure, Trading Mechanisms and Exchanges. 2. NYSE TAQ Database and Financial Durations. 3. Intraday Duration Models. 4. Empirical Results and Extensions. 5. Intraday Volatility and Value-At-Risk. About the Authors. Index.

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