Financial econometrics and empirical market microstructure

Anil K Bera, Sergey Ivliev, Fabrizio Lillo

Research output: Book/ReportBook

Abstract

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)
PublisherSpringer International Publishing
Number of pages284
ISBN (Electronic)9783319099460
ISBN (Print)9783319099453
DOIs
StatePublished - Jan 1 2015

Fingerprint

Market Microstructure
Econometrics
Complex Systems
Multi-agent Simulation
Evolution System
Social Sciences
Financial Markets
Systems Theory
Data analysis
Data Mining
Availability
Statistics
Modeling
Socio-economic systems
Financial econometrics
Market microstructure
Complex systems
Systems theory
Social sciences
Data mining

ASJC Scopus subject areas

  • Economics, Econometrics and Finance(all)
  • Business, Management and Accounting(all)
  • Mathematics(all)

Cite this

Financial econometrics and empirical market microstructure. / Bera, Anil K; Ivliev, Sergey; Lillo, Fabrizio.

Springer International Publishing, 2015. 284 p.

Research output: Book/ReportBook

Bera AK, Ivliev S, Lillo F. Financial econometrics and empirical market microstructure. Springer International Publishing, 2015. 284 p. https://doi.org/10.1007/978-3-319-09946-0
Bera, Anil K ; Ivliev, Sergey ; Lillo, Fabrizio. / Financial econometrics and empirical market microstructure. Springer International Publishing, 2015. 284 p.
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