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The econometrics of financial markets A. Craig MacKinlay, Andrew W. Lo, Andrew Y. Lo, John Y. Campbell
Publisher: PUP

In this article, we discuss the state of the art of high-frequency trading (HFT) and important issues related to the econometric analysis of high TBTD data and the impact of HFT on financial markets. Based on the implied volatilities (for March 16 expiration) of AAPL compared to SPY, GOOG, IBM and MSFT, I believe that the market expectation for AAPL is bullish for the next few weeks. They asses multiple proposed explanations (from biofuels, oil prices, weather, trade barriers, and speculative markets) using econometric time series analysis. The Econometrics of Financial Markets book download Download The Econometrics of Financial Markets Campbell, 1997. The definitive work explaining this complex but important field of academic endeavor. Courses that focus more on the ECONOMETRICS primarily use Campbell, Lo, MacKinlay's "The Econometrics of Financial Markets". Vintage Years in Econometrics - The 1930's. Cochrane's book is now the standard text for Ph.D financial THEORY courses. Oh, and by the way, it's not just academic. The Econometrics of Financial Markets 1st edition, John Y. I point out that low real interest rates can be expected to be associated with financial market phenomena—like high asset price volatility—that are seen as signifying instability.