Quantitative Finance, Volume 12, Issue 4 (2012)

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Quantitative Finance, Volume 12, Issue 4 (2012)

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High Frequency Data Analysis

Feature

Article
The scale of market quakes
T. Bisig, A. Dupuis, V. Impagliazzo & R. B. Olsen
Pages: 501-508
Published online: 22 Mar 2012
First Page PreviewforThe scale of market quakes | Full Text | References | PDF (1 MB)
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Book Review

Book Review
Models Behaving Badly: Why Confusing Illusion with Reality Can Lead to Disaster, on Wall Street and in Life, by Emanuel Derman
M.A.H. Dempster
Pages: 509-511
Published online: 22 Mar 2012
First Page PreviewforModels Behaving Badly: Why Confusing Illusion with Reality Can Lead to Disaster, on Wall Street and in Life, by Emanuel Derman | Full Text | References | PDF (255.2 KB)
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Free Access

Calendar

Calendar
Calendar
Page: 513
Published online: 22 Mar 2012
CitationforCalendar | PDF (527.4 KB)
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Research Papers

Introduction
Foreword
Special Issue of Quantitative Finance on ‘High frequency data analysis’
Ionut Florescu, Maria C. Mariani, H. Eugene Stanley & Frederi G. Viens
Page: 515
Published online: 22 Mar 2012
CitationforForeword | Full Text | PDF (45.3 KB)
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Article
Trading activity and price impact in parallel markets: SETS vs. off-book market at the London Stock Exchange
Angelo Carollo, Gabriella Vaglica, Fabrizio Lillo & Rosario N. Mantegna
Pages: 517-530
Published online: 22 Mar 2012
AbstractforTrading activity and price impact in parallel markets: SETS vs. off-book market at the London Stock Exchange | Full Text | References | PDF (1.4 MB)
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Article
Model calibration and automated trading agent for Euro futures
Germán Creamer
Pages: 531-545
Published online: 22 Mar 2012
AbstractforModel calibration and automated trading agent for Euro futures | Full Text | References | PDF (781.9 KB)
  • 699 Views
  • 26 CrossRef citations
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Article
A generalized birth–death stochastic model for high-frequency order book dynamics
He Huang & Alec N. Kercheval
Pages: 547-557
Published online: 22 Mar 2012
AbstractforA generalized birth–death stochastic model for high-frequency order book dynamics | Full Text | References | PDF (190.8 KB)
  • 411 Views
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Article
High-frequency trading model for a complex trading hierarchy
Boris Podobnik, Duan Wang & H. Eugene Stanley
Pages: 559-566
Published online: 22 Mar 2012
AbstractforHigh-frequency trading model for a complex trading hierarchy | Full Text | References | PDF (442 KB)
  • 614 Views
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Article
Hidden noise structure and random matrix models of stock correlations
Ivailo I. Dimov, Petter N. Kolm, Lee Maclin & Dan Y. C. Shiber
Pages: 567-572
Published online: 22 Mar 2012
AbstractforHidden noise structure and random matrix models of stock correlations | Full Text | References | PDF (353.8 KB)
  • 428 Views
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Article
Regularization for stationary multivariate time series
Yan Sun & Xiaodong Lin
Pages: 573-586
Published online: 22 Mar 2012
AbstractforRegularization for stationary multivariate time series | Full Text | References | PDF (655.4 KB)
  • 362 Views
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Article
Integer-valued Lévy processes and low latency financial econometrics
Ole E. Barndorff-Nielsen, David G. Pollard & Neil Shephard
Pages: 587-605
Published online: 22 Mar 2012
AbstractforInteger-valued Lévy processes and low latency financial econometrics | Full Text | References | PDF (435.2 KB)
  • 576 Views
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Article
Estimation of quarticity with high-frequency data
Maria Elvira Mancino & Simona Sanfelici
Pages: 607-622
Published online: 22 Mar 2012
AbstractforEstimation of quarticity with high-frequency data | Full Text | References | PDF (619 KB)
  • 336 Views
  • 17 CrossRef citations
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Article
Detecting market crashes by analysing long-memory effects using high-frequency data
E. Barany, M. P. Beccar Varela, I. Florescu & I. Sengupta
Pages: 623-634
Published online: 22 Mar 2012
AbstractforDetecting market crashes by analysing long-memory effects using high-frequency data | Full Text | References | PDF (586.1 KB)
  • 324 Views
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Article
Stochastic volatility and option pricing with long-memory in discrete and continuous time
Alexandra Chronopoulou & Frederi G. Viens
Pages: 635-649
Published online: 22 Mar 2012
AbstractforStochastic volatility and option pricing with long-memory in discrete and continuous time | Full Text | References | PDF (324.4 KB)
  • 578 Views
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Article
Systemic risk components and deposit insurance premia
Jeremy Staum
Pages: 651-662
Published online: 22 Mar 2012
AbstractforSystemic risk components and deposit insurance premia | Full Text | References | PDF (159.9 KB)
  • 591 Views
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Article
Nonlinear problems modeling stochastic volatility and transaction costs
Maria C. Mariani & Indranil SenGupta
Pages: 663-670
Published online: 22 Mar 2012
AbstractforNonlinear problems modeling stochastic volatility and transaction costs | Full Text | References | PDF (152.8 KB)
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