Theory

Graham Giller

Chapter 7 in Adventures in Financial Data Science:The Empirical Properties of Financial and Economic Data, 2022, pp 395-447 from World Scientific Publishing Co. Pte. Ltd.

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.

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 (search for similar items in EconPapers)
JEL-codes: C01 C22 C58 G1 (search for similar items in EconPapers)
Date: 2022
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