Econometrics of Financial Models and Market Microstructure
A special issue of Journal of Risk and Financial Management (ISSN 1911-8074). This special issue belongs to the section "Financial Markets".
Deadline for manuscript submissions: 31 December 2024 | Viewed by 5619
Special Issue Editors
2. School of Business and Law, Edith Cowan University, Joondalup, WA 6027, Australia
3. Department of Finance, Asia University, Wufeng 41354, Taiwan
Interests: financial econometrics; financial economics; time-series; investments
Special Issues, Collections and Topics in MDPI journals
Interests: statistical analysis of stationary and non-stationary time series data; theory and applications of estimating functions; financial time series modelling; saddle point and Edgeworth type approximations related to time series problems
Special Issues, Collections and Topics in MDPI journals
Special Issue Information
Dear Colleagues,
We are planning a Special Issue on the theme of the "Econometrics of Financial Models and Market Microstructure".
The rapid advances in 'big data' availability, innovations in financial modelling and econometric techniques, machine learning and artificial intelligence capabilities, plus continuous financial innovation, combine to provide a great deal of scope for novel research in the various abovementioned topic areas. For example, in recent developments in financial econometrics and in the analysis of risk, there has been a move towards non-linear and non-parametric modelling which moves away from the standard adoption of Gauss–Markov assumptions. The use of the machinery of copula analysis becomes ever more flexible.
The advancement and adoption of innovations such as blockchain technology and the expansion of cryptocurrency markets have served to make these markets more mainstream and to promote their greater adoption by investment managers and financial institutions. Market microstructure research has also been supported by the explosion of information channels, such as online bulletin boards, social media, etc., which have fostered greater application of data mining exercise, machine learning techniques, and sentiment analysis. This Special Issue will welcome papers on one or more of these topics.
Prof. Dr. David Allen
Prof. Dr. Shelton Peiris
Guest Editors
Manuscript Submission Information
Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All submissions that pass pre-check are peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.
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Keywords
- novel econometric models
- machine learning and AI
- non-linear and non-parametric
- blockchain and cryptocurrencies
- data mining and sentiment analysis
- recent developments in time series methods
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