The Econometric Analysis of Financial Markets
A special issue of Mathematics (ISSN 2227-7390). This special issue belongs to the section "Financial Mathematics".
Deadline for manuscript submissions: closed (13 December 2023) | Viewed by 1527
Special Issue Editors
Interests: foreign exchange market; market microstructure; international financial markets; emerging markets finance; international asset management and institutional investors
Special Issues, Collections and Topics in MDPI journals
Interests: finance
Special Issue Information
Dear Colleagues,
In the last few decades, the application of highly sophisticated econometric methods both by researchers and professionals has become common in the analysis of financial markets. To a large extent, this evolution has been driven by the vast expansion of the financial markets and the increasing availability of data. This refers to daily (high frequency) and intra-daily data (ultra-high frequency) and has now reached tick-by-tick data as its natural limitation. Remarkably, not only does financial econometrics apply known methods to financial markets, but it has also developed a toolkit designed to deal with finance-specific questions. Accordingly, applications of econometrics to financial markets combine statistical skills with an understanding of financial markets.
The aim of this Special Issue is to provide a selection of econometric applications to problems arising from financial markets. Therefore, we invite submissions that rely on a wide range of econometric applications on financial markets, including the testing of price predictability and market efficiency, volatility modelling, non-linear models in finance, such as the GARCH-models, machine learning, regime-switching models, and microstructure topics, amongst others. Each article shall apply econometric techniques within the context of a particular financial application.
In this Special Issue, we welcome original and applied research articles, theoretical articles, and a limited number of review articles. Articles should link an econometric focus with financial markets, e.g., by applying sophisticated econometric methods.
We are pleased to invite you to submit this Special Issue your original research dealing with the above-presented problems.
We look forward to receiving your contributions.
Prof. Dr. Michael Frömmel
Prof. Dr. Youwei Li
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.
Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Mathematics is an international peer-reviewed open access semimonthly journal published by MDPI.
Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 2600 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.
