October 2011
Beginner
576 pages
16h 32m
English
Content preview from Equity Valuation and Portfolio ManagementBecome an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
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QUESTIONS
- What properties of high-frequency data affect portfolio management strategies?
- How does the volume of high-frequency data impact estimation of optimal portfolio allocation?
- How does the bid-ask bounce factor into the high-frequency portfolio allocation decisions?
- How does irregular spacing in time influence high-frequency portfolio allocation?
- How can different data sampling methodologies affect high-frequency portfolio allocation decisions?
1 Dacorogna, Gencay, Muller, Olsen, and Pictet, An Introduction to High-Frequency Finance.
2 Fulvio Corsi, Gilles Zumbach, Ulrich Müller, and Michael M. Dacorogna “Consistent High-Precision Volatility from High-Frequency Data,” Economics Notes 30, no. 2 (2001): 183–204.
3 Valeri Voev and Asger Lunde, “Integrated Covariance Estimation Using High-Frequency Data in the Presence of Noise,” Journal of Financial Econometrics 5, no. 1 (2007): 68–104.
4 Richard R. Roll, “A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market,” Journal of Finance 39, no. 4 (1984): 1127–1240.
5 Joel Hasbrouck, Empirical Market Microstructure: The Institutions, Economics, and Econometrics of Securities Trading (New York: Oxford University Press, 2007).
6 Charles Goodhart and Maureen O'Hara, “High Frequency Data in Financial Markets: Issues and Applications,” Journal of Empirical Finance 4, nos. 2 and 3 (1997): 80–81.
7 Dacorogna, Gencay, Muller, Olsen, and Pictet, An Introduction to High-Frequency Finance.
8 Douglas W. Diamond and ...
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