Analiza podataka visoke učestalosti i tržišne mikrostrukture
Analiza tržišne mikrostrukture proučava kako se cene formiraju iz podataka o trgovanju i kotacijama na nivou tikova, ispitujući dinamiku knjige naloga, raspon ponude i potražnje (bid-ask spread) i otkrivanje cena. Savremeni ekonometrijski okvir postavili su Hasbrouck (2007) i proširili za podatke visoke učestalosti Aït-Sahalia i Jacod (2014).
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Izvori
- Hasbrouck, J. (2007). Empirical Market Microstructure: The Institutions, Economics, and Econometrics of Securities Trading. Oxford University Press. ISBN: 978-0195301649
- Aït-Sahalia, Y. & Jacod, J. (2014). High-Frequency Financial Econometrics. Princeton University Press. ISBN: 978-0691161433
Kako citirati ovu stranicu
ScholarGate. (2026, June 1). High-Frequency Data and Market Microstructure Analysis. ScholarGate. https://scholargate.app/sr/finance/high-frequency-microstructure
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Set this method beside its closest kin and read them side by side — the library lays the books on the table; the choice is yours.
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