ThisvolumecontainstheproceedingsofMPC2002, thesixthinternationalc- ferenceontheMathematicsofProgramConstruction.Thisseriesofconferences aims to promote the development of mathematical principles and techniques that are demonstrably useful and usable in the process of constructing c- puter programs (whether implemented in hardware or software). The focus is ontechniquesthatcombineprecisionwith conciseness, enablingprogramsto be constructed by formal calculation. Within this theme, the scope of the series is verydiverse, including programmingmethodology, programspeci?cationand transformation,...
ThisvolumecontainstheproceedingsofMPC2002, thesixthinternationalc- ferenceontheMathematicsofProgramConstruction.Thisseriesofconferences aims to promot...
Initially the theory of convergence in law of stochastic processes was developed quite independently from the theory of martingales, semimartingales and stochastic integrals. Apart from a few exceptions essentially concerning diffusion processes, it is only recently that the relation between the two theories has been thoroughly studied. The authors of this Grundlehren volume, two of the international leaders in the field, propose a systematic exposition of convergence in law for stochastic processes, from the point of view of semimartingale theory, with emphasis on results that are useful for...
Initially the theory of convergence in law of stochastic processes was developed quite independently from the theory of martingales, semimartingales a...
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.
Yacine...
High-frequency trading is an algorithm-based computerized trading practice that allows firms to trade stocks in milliseconds. Over the last fifteen...
In applications, and especially in mathematical finance, random time-dependent events are often modeled as stochastic processes. Assumptions are made about the structure of such processes, and serious researchers will want to justify those assumptions through the use of data. As statisticians are wont to say, "In God we trust; all others must bring data."
This book establishes the theory of how to go about estimating not just scalar parameters about a proposed model, but also the underlying structure of the model itself. Classic statistical tools are used: the law of large numbers, and...
In applications, and especially in mathematical finance, random time-dependent events are often modeled as stochastic processes. Assumptions are ma...
