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URN: urn:nbn:de:swb:90-253991

Time Series Analysis and Market Microstructure Aspects on Short Time Scales

Beck, Alexander

Abstract:
ARMA-GARCH and FIGARCH models with non-normal, tempered-stable innovations are applied to intraday financial time-series on high-frequency time scales. The goal is to investigate their risk forecasting performance and to observe random scaling behavior. To this end, Value-at-Risk (VaR) and Conditional VaR is predicted. In the second part limit order books based on real trading information are modeled with a statistical-learning approach in order to forecast the execution of passive limit orders.


Zugehörige Institution(en) am KIT Institut für Wirtschaftstheorie und Statistik (ETS)
Publikationstyp Hochschulschrift
Jahr 2011
Sprache Englisch
Identifikator KITopen ID: 1000025399
Verlag Karlsruhe
Abschlussart Dissertation
Fakultät Fakultät für Wirtschaftswissenschaften (WIWI)
Institut Institut für Wirtschaftstheorie und Statistik (ETS)
Prüfungsdaten 07.12.2011
Referent/Betreuer Prof. S. T. Rachev
Schlagworte high-frequency, market-microstructure, risk, order book, arma-garch
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