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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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