By Michael Siering (auth.), Fethi A. Rabhi, Peter Gomber (eds.)
This publication constitutes the complaints of the sixth overseas Workshop on company purposes and providers within the Finance undefined, FinanceCom 2012, held in Barcelona, Spain, on June 10, 2012.
The workshop spans a number of disciplines, together with technical, provider, fiscal, sociological, and behavioral sciences. It displays on technologically enabled possibilities, implications, and adjustments a result of advent of recent enterprise types or laws regarding the monetary companies and the monetary markets.
The seven papers awarded have been conscientiously reviewed and chosen from quite a few submissions. the themes lined are: information and textual content research; algorithmic and high-frequency buying and selling; and the position and effect of technology.
Read or Download Enterprise Applications and Services in the Finance Industry: 6th International Workshop, FinanceCom 2012, Barcelona, Spain, June 10, 2012. Revised Papers PDF
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Extra info for Enterprise Applications and Services in the Finance Industry: 6th International Workshop, FinanceCom 2012, Barcelona, Spain, June 10, 2012. Revised Papers
RV includes both, the continuous part of the process and the discontinuous part (price jump). BPV is the multiplied sum of the last two observations captured at a time at regular sampled intervals per day. BPV contrary to RV only contains the continuous part of the process and is unaffected by price jumps, also called robust to price jumps. A deeper introduction to RV and BPV can be found in Barndorff-Nielsen & Shephard  and Pirino . Lee & Mykland  investigated a more complex approach based on the findings by Barndorff-Nielsen & Shephard  that delivers more detailed results.
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A further strength is that input data from daily to five minute intervals can be analysed, thus, depending on the data availability, various research questions can be addressed using this method. A weakness of the Lee & Mykland  method is that intraday volatility patterns are not taken into account. While especially in the morning and in the late afternoon volatility is usually significantly higher (see Andersen & Bollerslev , which describe the U-shape of intraday volatility), a constant volatility is assumed throughout the whole day.