Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 54 for “"High Frequency data"”.
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Volatility modeling and estimation of high-frequency data with Gaussian noise
Thesis (Ph. D.)--Massachusetts Institute of Technology, Sloan School of Management, 1996.
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Price and liquidity discovery, jumps and co-jumps using high frequency data from the foreign exchange markets
… low or equivalently when trading volatility is high. We then analyze the contribution of liquidity to systemic risk and contagion and, in particular, assess the price impact of liquidity shocks. We extend the approach in Dumitru and Urga (2012) and present a co-jump testing procedure, robust to …
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Fourier method for the measurement of univariate and multivariate volatility in the presence of high frequency data
Includes bibliographical references (leaves 75-77).
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Forecasting daily volatility of foreign exchange markets : a comparison of the ARCH model and a new model using high frequency data
Thesis (M.S.)--Massachusetts Institute of Technology, Sloan School of Management, 1993.
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Novel anomaly detection algorithms for major and critical items of plant
… are related to the quality and quantity of data present. In order to capture the dynamics of complex systems, high frequency data is preferred. Lack of a sufficiently high sampling rate can render traditional methods of modelling the dynamics inaccurate or impractical. This thesis proposes …
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Essays in Pricing and Price Formation
… brand coefficients in hedonic regressions using high frequency data should not be interpreted as capturing unobserved quality only.
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On the profitability of technical trading
… Motivated by this, a very large sample of ultra high-frequency data is used to investigate intraday momentum and reversal effects. As well as being an important contribution to research in this field, the results are, once again, of relevance to practitioners. The need for further research into …
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Extracting value from patterns in routinely collected, high-frequency water quality data in rivers supplying drinking water treatment works
… basis, both spatially and temporally. The use of high-frequency water quality monitoring in rivers is an integral part of intake protection for the management of drinking water treatment works. Due to their operational focus, these routinely collected data are not commonly used beyond real-time …
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Extracting value from patterns in routinely collected, high-frequency water quality data in rivers supplying drinking water treatment works
… basis, both spatially and temporally. The use of high-frequency water quality monitoring in rivers is an integral part of intake protection for the management of drinking water treatment works. Due to their operational focus, these routinely collected data are not commonly used beyond real-time …
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Essays on financial econometrics : variance and covariance estimation using price durations
… applications. With the advent of tick-by-tick high-frequency data, the estimation of univariate variances and multivariate covariance matrices has attracted more attention from econometricians. Many of the proposed high-frequency variance and covariance estimators are based on time-domain …
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Price discovery in the foreign exchange market
… discovery in the foreign exchange market using high frequency data. Traditional exchange rate models assume market homogeneity and the sole existence of public information. However. recent studies suggest such assumptions are not well founded and have generated the 'disconnection' puzzle of …
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Essays on Portfolio Optimization, Simulation and Option Pricing
… second paper uses realized volatility based on high frequency data to improve the volatility trading strategy. The performance is compared with that using the implied volatility. The last paper re-examines the Markowitz's portfolio optimization problem using a general case. It also extends the …
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Large Signal HBT Model and Integrated Circuit Design Using 300-Ghz Indium Phosphide HBT Technology
… circuits. Good fitting to the measured DC and high-frequency data from single HBTs is achieved. In terms of circuit verification, high-gain and wideband variable gain amplifier (VGA) is developed using a negative-RE approach. This circuit shows a single-ended S21 of 18 dB and a 3-dB bandwidth …
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Aukšto dažnio duomenų agregavimas ir vertės pokyčio rizika /
… currencies position VaR estimates’ dependence on data aggregation functions (pointwise, maximum value, minimum value and average value) is provided. Functional ρ−GARCH(1,1) model is introduced and theorems of the stationary solution existence and maximum likelihood estimators of model parameters …
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Can intraday data improve commodity hedging performance?
Submission published under a 24 month embargo labeled 'U of I Access', the embargo will last until 2024-12-01
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Copulas for High Dimensions: Models, Estimation, Inference, and Applications
… four chapters that concern topics on copulas for high dimensions. Chapter 1 proposes a new general model for high dimension joint distributions of asset returns that utilizes high frequency data and copulas. The dependence between returns is decomposed into linear and nonlinear components, which …
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Using High-Frequency Options Data to Evaluate Economic Trading Models
… empirical assesment of economic models based on high-frequency options data. Options data allows for the investigation of heterogeneous effects across moneyness and maturities, and the use of high-frequency data makes it possible to compute various estimates at higher frequencies and analyze the …
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Essays On The Effects Of Oil Price Shocks On The U.s. Stock Returns
… effects on the U.S. stock returns. Using high frequency data, thethird essay addresses the issue of uncertainty in oil prices and its effect on U.S. stock returns, taking into account the day of the week effect. The results suggest that the-day-of-the-week effect is present in both the …
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Input variable selection for time series forecasting with artificial neural networks : an empirical evaluation across varying time series frequencies
… new proposed variations, is performed on low frequency data, exploring which input variable selection methodologies perform best. This analysis concludes that regression based methodologies outperformed other linear and nonlinear ones. The best way to code deterministic seasonality in the …
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