Wong, Kin Lung Keith. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2010. / Includes bibliographical references (p. 127-131). / Abstracts in English and Chinese. / Abstract --- p.i / Thesis/Assessment Committee --- p.iii / Acknowledgement --- p.iv / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Background Studies --- p.5 / Chapter 2.1 --- Ultra-high Frequency Data Handling with Database Server --- p.5 / Chapter 2.1.1 --- Use of Database Server --- p.5 / Chapter 2.2 --- Ultra-high Frequency Data Treatments --- p.7 / Chapter 2.2.1 --- Cleaning of Data --- p.7 / Chapter 2.2.2 --- Matching of a Trade and Its Standing Quote --- p.13 / Chapter 2.3 --- Tick-by-tick Price Modeling --- p.15 / Chapter 2.3.1 --- Multivariate Linear Models --- p.15 / Chapter 2.3.2 --- Duration and Volume Handling --- p.16 / Chapter 2.3.3 --- VAR Model Selection Techniques --- p.20 / Chapter 2.3.4 --- Seasonality Handling --- p.24 / Chapter 3 --- Problem Definition and Framework --- p.27 / Chapter 3.1 --- Engle and Patton's Model --- p.27 / Chapter 3.2 --- Preparation of data --- p.31 / Chapter 3.3 --- Methods to Estimate Diurnal Adjustment Param- eters --- p.38 / Chapter 3.4 --- Transformation of the Model to Fit in VARX soft- wares --- p.40 / Chapter 3.5 --- Modification of the Model --- p.47 / Chapter 3.6 --- Estimating and Forecasting the Exogenous Vari- ables --- p.52 / Chapter 3.6.1 --- Modelling BUYt and SELLt --- p.52 / Chapter 3.6.2 --- Modelling DURt and VOLt --- p.53 / Chapter 3.6.3 --- Modelling k(t) --- p.56 / Chapter 3.6.4 --- Forecasting the Cross Terms and the Sum of Buys and Sells --- p.62 / Chapter 3.7 --- Forecasting with the Main Model --- p.64 / Chapter 4 --- Experimental Evaluation --- p.67 / Chapter 5 --- Conclusion --- p.73 / Chapter A --- Source and Data Information --- p.76 / Chapter B --- Model Estimation Results for (3.13) --- p.80 / Chapter C --- Model Forecasting Results for (3.13) and (3.2) --- p.102 / Bibliography --- p.127
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_327147 |
| Date | January 2010 |
| Contributors | Wong, Kin Lung Keith., Chinese University of Hong Kong Graduate School. Division of Systems Engineering and Engineering Management. |
| Source Sets | The Chinese University of Hong Kong |
| Language | English, Chinese |
| Detected Language | English |
| Type | Text, bibliography |
| Format | print, x, 131 p. : ill. ; 30 cm. |
| Coverage | United States, United States |
| Rights | Use of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/) |
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