Special Issue "Mathematical and Empirical Finance"
Deadline for manuscript submissions: 1 December 2022 | Viewed by 11061
Interests: mathematical and empirical finance; computational applied mathematics
High-frequency finance is a relatively new and exciting field of rational finance. When studying this field, the wealth of high-frequency data is both a blessing and a curse. Market microstructure phenomena often make the use of the classical semimartingale approach to high-frequency asset pricing obsolete. Still, the current host of market microstructure models lack the mathematical beauty of dynamic asset pricing theory and its jewel, the Fundamental Theorem of Asset Pricing. This Special Issue of JRFM is an attempt to bring together recent work in the areas of high-frequency asset pricing, market microstructure, high-frequency econometrics, risk assessment and risk management , and derivative pricing in an effort to seek an unified approach to dynamic asset pricing and market microstructure in high-frequency traded markets.
This Special Issue is aimed at reconciling dynamic asset pricing theory and market microstructure in high-frequency traded financial markets. We seek contributions on novel approaches to high-frequency finance, approaches that capture market microstructure phenomena in high-frequency trading but remain consistent with dynamic asset pricing theory, or its novel extensions. We strongly encourage contributions whose findings are backed by solid empirical studies. We would like to see articles which try to resolve the divide between dynamic asset pricing and market microstructure—a divide described in Joel Hasbrouck’s working paper “Modeling Market Microstructure Time Series (February 1996) as follows: “At the level of transaction prices, however, the random-walk conjecture is a straw man, a hypothesis that is very easy to reject in most markets even in small data samples. In microstructure, the question is not ‘whether’ transaction prices diverge from random walk, but rather ‘how much?’ and ‘why?’.”
We encourage possibly controversial papers seeking new dynamic asset pricing models possibly beyond the semimartingale approach to rational finance but having empirical findings consistent with market microstructure theory. We are in search of the Holy Grail of high-frequency finance—a Fundamental Asset Pricing and Market Microstructure Theorem.
Prof. Dr. W. Brent Lindquist
Prof. Dr. Svetlozar (Zari) Rachev
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. Journal of Risk and Financial Management is an international peer-reviewed open access monthly 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 1200 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 finance
- dynamic asset pricing theory
- market microstructure
- risk management
- derivative pricing