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Financial Econometrics and Empirical Market Microstructure

  • Anil K. Bera
  • Sergey Ivliev
  • Fabrizio Lillo

Table of contents

  1. Front Matter
    Pages i-viii
  2. Vyacheslav Arbuzov
    Pages 25-36
  3. Kirill Boldyrev, Dmitry Andrianov, Sergey Ivliev
    Pages 37-45
  4. Anastasiya Byachkova, Artem Simonov
    Pages 47-53
  5. Mariya Frolova
    Pages 77-92
  6. Sergey Kazachenko
    Pages 111-129
  7. Aleksey Kutergin, Vladimir Filimonov
    Pages 131-151
  8. Vadim Onishchenko, Henry Penikas
    Pages 225-239
  9. Vladimir Seleznev, Denis Surzhko, Nikolay Khovanskiy
    Pages 279-284

About this book

Introduction

In 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.

Keywords

Big data analytics Market microstructure Mortgage portfolios Perm winter school Risk management Stress testing

Editors and affiliations

  • Anil K. Bera
    • 1
  • Sergey Ivliev
    • 2
  • Fabrizio Lillo
    • 3
  1. 1.Department of EconomicsUniversity of IllinoisUrbanaUSA
  2. 2.Perm State UniversityPermRussia
  3. 3.Scuola Normale SuperiorePisaItaly

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-319-09946-0
  • Copyright Information Springer International Publishing Switzerland 2015
  • Publisher Name Springer, Cham
  • eBook Packages Business and Economics
  • Print ISBN 978-3-319-09945-3
  • Online ISBN 978-3-319-09946-0
  • Buy this book on publisher's site