scholarly journals Bayesian inference on volatility in the presence of infinite jump activity and microstructure noise

2021 ◽  
Vol 15 (1) ◽  
pp. 506-553
Author(s):  
Qi Wang ◽  
José E. Figueroa-López ◽  
Todd A. Kuffner
Keyword(s):  
Bayesian Inference ◽  
Microstructure Noise

High-Frequency Financial Econometrics

2014 ◽  
Author(s):  
Yacine Aït-Sahalia ◽  
Jean Jacod
Keyword(s):  
High Frequency ◽  
Practical Importance ◽  
Financial Econometrics ◽  
Trading Strategies ◽  
Financial Data ◽  
Jump Processes ◽  
High Frequency Trading ◽  
Microstructure Noise ◽  
Econometric Methods ◽  
Mathematical Foundations

High-frequency trading is an algorithm-based computerized trading practice that allows firms to trade stocks in milliseconds. Over the last fifteen years, the use of statistical and econometric methods for analyzing high-frequency financial data has grown exponentially. This growth has been driven by the increasing availability of such data, the technological advancements that make high-frequency trading strategies possible, and the need of practitioners to analyze these data. This comprehensive book introduces readers to these emerging methods and tools of analysis. The book covers the mathematical foundations of stochastic processes, describes the primary characteristics of high-frequency financial data, and presents the asymptotic concepts that their analysis relies on. It also deals with estimation of the volatility portion of the model, including methods that are robust to market microstructure noise, and address estimation and testing questions involving the jump part of the model. As the book demonstrates, the practical importance and relevance of jumps in financial data are universally recognized, but only recently have econometric methods become available to rigorously analyze jump processes. The book approaches high-frequency econometrics with a distinct focus on the financial side of matters while maintaining technical rigor, which makes this book invaluable to researchers and practitioners alike.

Unifying Bayesian Inference and Vector Space Models for Improved Decipherment

2015 ◽  
Author(s):  
Qing Dou ◽  
Ashish Vaswani ◽  
Kevin Knight ◽  
Chris Dyer
Keyword(s):  
Bayesian Inference ◽  
Vector Space ◽  
Vector Space Models

How do academics assess the results of multiple experiments?

2018 ◽  
Author(s):  
Olmo Van den Akker ◽  
Linda Dominguez Alvarez ◽  
Marjan Bakker ◽  
Jelte M. Wicherts ◽  
Marcel A. L. M. van Assen
Keyword(s):  
Bayesian Inference ◽  
Secondary Analysis ◽  
Individual Participant Data ◽  
Additional Experiment ◽  
Underlying Theory ◽  
Individual Participant ◽  
Vote Counting

We studied how academics assess the results of a set of four experiments that all test a given theory. We found that participants’ belief in the theory increases with the number of significant results, and that direct replications were considered to be more important than conceptual replications. We found no difference between authors and reviewers in their propensity to submit or recommend to publish sets of results, but we did find that authors are generally more likely to desire an additional experiment. In a preregistered secondary analysis of individual participant data, we examined the heuristics academics use to assess the results of four experiments. Only 6 out of 312 (1.9%) participants we analyzed used the normative method of Bayesian inference, whereas the majority of participants used vote counting approaches that tend to undervalue the evidence for the underlying theory if two or more results are statistically significant.

Sign in / Sign up

Export Citation Format

Share Document