ISBN 9780792374244,Econometric Modelling of Stock Market Intraday Activity

Econometric Modelling of Stock Market Intraday Activity

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ISBN 9780792374244
Publisher

Ingram Publisher Services

Publication Year 2001
ISBN-13

ISBN 9780792374244

ISBN-10 079237424X
Binding

Hardback

Number of Pages 195 Pages
Subject

Econometrics

Focuses on the econometric modelling of intraday tick-by-tick transaction data (trades and quote) for stock traded on the New York Stock Exchange (NYSE). This title presents quantitative modelling tools such as intraday duration models and GARCH modes. It also includes a survey of trading mechanisms in financial markets.
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