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| Analiza danych wysokiej częstotliwości i mikrostruktury rynku× | Modele stóp procentowych (Vasicek, CIR, Nelson-Siegel)× | |
|---|---|---|
| Dziedzina | Finanse | Finanse |
| Rodzina | Regression model | Regression model |
| Rok powstania≠ | 2007 | 1977 |
| Twórca≠ | Hasbrouck (2007); Aït-Sahalia & Jacod (2014) | Vasicek (1977); Nelson & Siegel (1987) |
| Typ≠ | Market microstructure / high-frequency econometrics | Term-structure / short-rate model |
| Źródło pierwotne≠ | Hasbrouck, J. (2007). Empirical Market Microstructure: The Institutions, Economics, and Econometrics of Securities Trading. Oxford University Press. ISBN: 978-0195301649 | Vasicek, O. (1977). An Equilibrium Characterization of the Term Structure. Journal of Financial Economics, 5(2), 177–188. DOI ↗ |
| Inne nazwy≠ | market microstructure, high-frequency financial econometrics, tick data analysis, Yüksek Frekanslı Veri ve Piyasa Mikro Yapısı | term structure models, short-rate models, yield curve models, Vasicek model |
| Pokrewne | 5 | 5 |
| Podsumowanie≠ | Market microstructure analysis studies how prices form from tick-level trade and quote data, examining order-book dynamics, the bid-ask spread, and price discovery. The modern econometric framework was set out by Hasbrouck (2007) and extended for high-frequency data by Aït-Sahalia and Jacod (2014). | Interest rate models are structural models that describe how interest rates evolve over time within a stochastic differential equation framework. The family covers Vasicek's normal short-rate process (1977), the CIR square-root process, the adjustable Hull-White extension, and the Nelson-Siegel approach to fitting the yield curve (1987). |
| ScholarGateZbiór danych ↗ |
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