Special Issue "Financial High-Frequency Data"
A special issue of Econometrics (ISSN 2225-1146).
Deadline for manuscript submissions: closed (29 February 2016) | Viewed by 38985
Interests: financial econometrics; econometric modelling of financial high-frequency data; time series econometrics; volatility estimation; empirical market microstructure; estimation of systemic risk
Technological progress and the advance of fully electronic trading systems, currently provides researchers access to detailed information on financial market activity at a high-frequency level. The analysis and use of such data triggered a new research area that currently belongs to the most active fields in econometrics and statistics. A major realm of research focuses on the construction of asset return volatility estimators that efficiently exploit high-frequency information while accounting for jumps and peculiarities of the data induced by market microstructure effects. Utilizing high-frequency based estimates in prediction models yields daily or weekly volatility forecasts that are superior to low-frequency based predictions and are beneficial in asset pricing and risk management. High-frequency data are moreover shown to be valuable for the estimation of high-dimensional asset return covariances. Recent research has made significant progress in constructing consistent and positive semi-definite covariance estimates in high dimensions while optimally handling the non-synchronicity and irregularity of noisy tick-by-tick data.
A further major research area focuses on the development of econometric methods to model high-frequency trading dynamics, orderbook processes and liquidity risks. Recent developments on financial markets, such as high-frequency trading, hidden liquidity, the increasing competition between trading platforms and the proliferation of new forms of trading are in the core interest of regulators and market supervision and challenge theoretical and empirical research. High-frequency based market microstructure analysis thus has emerged as a fast developing field that is more relevant today than ever before.
Prof. Dr. Nikolaus Hautsch
Manuscript Submission Information
Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All submissions that pass pre-check are peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.
Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Econometrics is an international peer-reviewed open access quarterly journal published by MDPI.
Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 1400 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.
- high-frequency data
- market microstructure
- high-frequency trading