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SSRN-Effective Frequency - Trends
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Hautsch, N. (2004). Modelling Irregularly Spaced Financial Data: Theory and Practice of Dynamic Duration Models, Springer. I recently taught an MBA class (Financial Markets: Structures and Dynamics). This class was shorter, and did not dwell on the economic and statistical properties of market data. But it did cover institutions in some detail. The class web site is at: Financial Markets: Structure and Dynamics . SAS for microstructure at Stern contains an overview of how to use SAS to do TAQ analysis at WRDS. Most of the SAS sample programs discussed in class are available in my FTP directory of programs ...
Poets are the hierophants of an unapprehended inspiration; the mirrors of the gigantic shadows which humanity casts upon the present; the words which express what they understand not; the trumpets which sign to battle, and feel not what they inspire; the influence which is moved not but moves. Poets are the unacknowledged legislators of the world. – Percy Bysshe Shelley The key to the treasure is the treasure. – John Barth I would like to open by paraphrasing Dobzhanzky’s well-known title (1973) and assert that nothing in human psyche and society makes sense except in the light of cultural ... Read More
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