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Theory

In: Adventures in Financial Data Science The Empirical Properties of Financial and Economic Data

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  • Graham L. Giller

Abstract

In this chapter, I am going to present the contents of some white-papers I have written which are mostly theoretical in nature but motivated by the empirical work I was doing. I needed to fully understand, or extend, some of the concepts I was working with and felt it would be useful to encapsulate each piece of work into a single document. It has become my practice to publish such work on the Social Science Research Network (SSRN), where you may find them under my author page [125], and these sections more-or-less directly echo those works.

Suggested Citation

  • Graham L. Giller, 2022. "Theory," World Scientific Book Chapters, in: Adventures in Financial Data Science The Empirical Properties of Financial and Economic Data, chapter 7, pages 395-447, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789811251818_0007
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    Keywords

    Data Science; Finance; Quant Research; Econometrics; Trading Strategy; Survey Research; Political Science; Time-Series Analysis; Volatility; Stock Market; Bond Market; Interest Rates; Empirical Finance; Probability Distributions; Statistics; Estimation; Empirical Science; Hypothesis Testing; Biography; Coronavirus; Epidemiology; Geospatial Analysis; Index Futures; Index Options; Morgan Stanley; Process Driven Trading; Quant Trading; Climate; Temperature; Demographics; Machine Learning;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G1 - Financial Economics - - General Financial Markets
    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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