Handbook of high-frequency trading and modeling in finance

DOI10.1002/9781118593486MaRDI QIDQ2810197zbMATH OpenOpenAlexFDO

Authors

Publication date 31 May 2016

Full work available at URL https://doi.org/10.1002/9781118593486

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Proceedings, conferences, collections, etc. pertaining to statistics (62-06) Proceedings, conferences, collections, etc. pertaining to game theory, economics, and finance (91-06) Stochastic models in economics (91B70)

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Cited in

(13)

• High-frequency trading and probability theory
• INVESTIGATION OF INTEGRAL BOUNDARY VALUE PROBLEM WITH IMPULSIVE BEHAVIOR INVOLVING NON-SINGULAR DERIVATIVE
• Parameter estimation of default portfolios using the Merton model and phase transition
• Quantitative Energy Finance
• Stochastic mean-reverting trend (SMART) model in quantitative finance
• Algorithmic trading and quantitative strategies
• Market microstructure and nonlinear dynamics. Keeping financial crisis in context
• Algorithmic and high-frequency trading
• Handbook of financial engineering
• Rosenblatt Laplace motion
• Handbook of recent advances in commodity and financial modeling. Quantitative methods in banking, finance, insurance, energy and commodity markets
• Fractal dimensions of the Rosenblatt process
• Stochastic modelling of big data in finance

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