Handbook of high-frequency trading and modeling in finance

Intro -- Title page -- Copyright -- Notes on Contributors -- Editors -- List of Contributors -- Preface -- Chapter 1 Trends and Trades -- 1.1 Introduction -- 1.2 A trend-based trading strategy -- 1.3 CUSUM timing -- 1.4 Example: Random walk on ticks -- 1.5 CUSUM strategy Monte Carlo -- 1.6 The effect of the threshold parameter -- 1.7 Conclusions and future work -- Appendix: Tables -- References -- Chapter 2 Gaussian Inequalities and Tranche Sensitivities -- 2.1 Introduction -- 2.2 The tranche loss function -- 2.3 A sensitivity identity -- 2.4 Correlation sensitivities -- Acknowledgment -- References -- Chapter 3 A Nonlinear Lead Lag Dependence Analysis of Energy Futures: Oil, Coal, and Natural Gas1 -- 3.1 Introduction -- 3.2 Data -- 3.3 Estimation techniques -- 3.4 Results -- 3.5 Discussion -- 3.6 Conclusions -- Acknowledgments -- References -- Notes -- Chapter 4 Portfolio Optimization: Applications in Quantum Computing -- 4.1 Introduction -- 4.2 Background -- 4.3 The models -- 4.4 Methods -- 4.5 Results -- 4.6 Discussion -- 4.7 Conclusion -- Acknowledgments -- Appendix 4.A: WMIS Matlab Code -- References -- Notes -- Chapter 5 Estimation Procedure for Regime Switching Stochastic Volatility Model and Its Applications -- 5.1 Introduction -- 5.2 The methodology -- 5.3 Results obtained applying the model to real data -- 5.4 Conclusion -- Appendix 5.A: Theoretical results and empirical testing -- References -- Chapter 6 Detecting Jumps in High-Frequency Prices Under Stochastic Volatility: A Review and a Data-Driven Approach -- 6.1 Introduction -- 6.2 Review on the intraday jump tests -- 6.3 A data-driven testing procedure -- 6.4 Simulation study -- 6.5 Empirical results -- 6.6 Conclusion -- Acknowledgments -- Appendix 6.A: Least-square estimation of HAR-MA (2) model for log(BP) of SPY -- Appendix 6.B: Estimation of ARMA (2, 1) model for log(BP) of SPY.