Financial econometrics and empirical market microstructure

Anil K. Bera, Sergey Ivliev, Fabrizio Lillo

Research output: Book/Report/Conference proceedingBook


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.

Original languageEnglish (US)
Number of pages284
ISBN (Electronic)9783319099460
ISBN (Print)9783319099453
StatePublished - Jan 1 2015

ASJC Scopus subject areas

  • General Economics, Econometrics and Finance
  • General Business, Management and Accounting
  • General Mathematics


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