Bera A.K., Ivliev S. Lillo F. (eds.) Financial Econometrics and Empirical Market Microstructure

Springer, 2015. — 284 p. — ISBN: 9783319099453, 9783319099460In the era of Big Data our society is given the unique opportunity to understand the inner dynamics and behavior of complex socio-economic systems. Advances in the availability of very large databases, in capabilities for massive data mining, as well as progress in complex systems theory, multi-agent simulation and computational social science open the possibility of modeling phenomena never before successfully achieved. This contributed volume from the Perm Winter School address the problems of the mechanisms and statistics of the socio-economics system evolution with a focus on financial markets powered by the high-frequency data analysis.Mathematical Models of Price Impact and Optimal Portfolio Management in Illiquid Markets
Evidence of Microstructure Variables’ Nonlinear Dynamics from Noised High-Frequency Data
Revisiting of Empirical Zero Intelligence Models
Construction and Backtesting of a Multi-Factor Stress-Scenario for the Stock Market
Modeling Financial Market Using Percolation Theory
How Tick Size Affects the High Frequency Scaling of Stock Return Distributions
Market Shocks: Review of Studies
The Synergy of Rating Agencies’ Efforts: Russian Experience
Spread Modelling Under Asymmetric Information
On the Modeling of Financial Time Series
Adaptive Stress Testing: Amplifying Network Intelligence by Integrating Outlier Information (Draft 16)
On Some Approaches to Managing Market Risk Using VaR Limits: A Note
Simulating the Synchronizing Behavior of High-Frequency Trading in Multiple Markets
Raising Issues About Impact of High Frequency Trading on Market Liquidity
Application of Copula Models for Modeling One-Dimensional Time Series
Modeling Demand for Mortgage Loans Using Loan-Level Data
Sample Selection Bias in Mortgage Market Credit Risk Modeling
Global Risk Factor Theory and Risk Scenario Generation Based on the Rogov-Causality Test of Time Series Time-Warped Longest Common Subsequence
Stress-Testing Model for Corporate Borrower Portfolios