'Microstructure noise' diaporamas de présentation

Large Data Bases: Advantages, Problems and Puzzles: Some naive observations from an economist

Large Data Bases: Advantages, Problems and Puzzles: Some naive observations from an economist. Alan Kirman, GREQAM Marseille Jerusalem September 2008. Some Basic Points. Economic data bases may be large in two ways

415 views • 33 slides

Initial Stock Analysis

Initial Stock Analysis. Andrew Bentley February 8 , 2012. Outline. Price and returns for Apple Inc. (AAPL) and Ford Motor Inc. (F) Measures of Volatility RV, BV, Sub-Sampled RV, TV Volatility Signatures RV and BV Relative Contribution of Jumps Basic Comparison Between these Measures.

388 views • 27 slides

Sampling Frequency and Jump Detection Mike Schwert ECON201FS 4/16/08

Sampling Frequency and Jump Detection Mike Schwert ECON201FS 4/16/08. Background and Motivation Various tests exist to identify jumps in asset price movements

285 views • 17 slides

Miscellany

263 views • 15 slides

Second Attempt at Jump-Detection and Analysis Mike Schwert ECON201FS 2/13/08

Second Attempt at Jump-Detection and Analysis Mike Schwert ECON201FS 2/13/08. My Approach This Week

205 views • 14 slides

Comparing Constant and Time-varying Beta

235 views • 11 slides