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Econometric Modelling of Stock Market Intraday Activities Full Description

The recent widespread availability of intraday tick-by-tickdatabases for stocks, options and currencies has had an importantimpact on research in applied financial econometrics and marketmicrostructure. Econometric Modelling of Stock Market IntradayActivity focuses on the econometric modelling of intraday tick-by-ticktransaction data (trades and quote) for stock traded on the New YorkStock Exchange (NYSE). Recent quantitative modelling tools such asintraday duration models and GARCH modes are presented. A survey oftrading mechanisms in financial markets and a review of marketmicrostructure issues is also included, which allows to gain a betterunderstanding of the motivation underlying the use of the quantitativemodels. In the empirical applications, the link is made with themodels of the market microstructure literature that have proposed anexplicit treatment of time in the trading process. Other empiricalapplications deal with the modelling of intraday volatility andintraday Value-at-Risk. Although the models are applied to data forstock traded on the NYSE, they are not specific to this exchange andcould be used to analyze other existing trading mechanisms.Accordingly, this book should be of interest to academics and graduatestudents involved in empirical finance and applied econometrics, regulators working for exchanges, and practitioners in banks orbrokerage firms. Free Shipping.