Multifractality is ubiquitously observed in complex natural and socioeconomic systems.
Multifractal analysis provides powerful tools to understand the complex nonlinear nature of …

Financial market volatility is an important input for investment, option pricing, and financial
market regulation. The emphasis of this review article is on forecasting instead of modelling; …

This book is an ambitious effort by three well-known and well-respected scholars to fill an
acknowledged void in the literature—a text covering the burgeoning field of empirical …

For over half a century, financial experts have regarded the movements of markets as a
random walk--unpredictable meanderings akin to a drunkard's unsteady gait--and this …

During the seven years that elapsed between the first and second editions of the present
book, considerable progress was achieved in the area of financial modelling and pricing of …

We estimate the conditional distribution of trade-to-trade price changes using ordered probit,
a statistical model for discrete random variables. This approach recognizes that transaction …

We examine how prices in interest rate and foreign exchange futures markets adjust to the
new information contained in scheduled macroeconomic news releases in the very short …

We develop and estimate an econometric model of limit-order execution times using survival
analysis and actual limit-order data. We estimate versions for time-to-first-fill and time-to …

The global value of trading in index futures is about $20 trillion per year and rising and for
many countries the value traded is similar to that traded on their stock markets. This book …

This paper presents an empirical microstructure model of bid and ask quotes that features
discreteness, random costs of market making, and ARCH volatility effects. Applied to …