Mark Salmon

Chris Adcock

Alexandra Dias

Portfolio theory and much of asset pricing, as well as many empirical applications, depend on the use of multivariate probability distributions to describe asset returns. Traditionally, this has meant the multivariate normal (or Gaussian) distribution. More recently, theoretical and empirical work in financial economics has employed the multivariate Student (and other) distributions which are members of the elliptically symmetric class. There is also a growing body of work which is based on skew-elliptical distributions. These probability models all exhibit the property that the marginal distributions differ only by location and scale parameters or are restrictive in other respects. Very often, such models are not supported by the empirical evidence that the marginal distributions of asset returns can differ markedly. Copula theory is a branch of statistics which provides powerful methods to overcome these shortcomings. This book provides a synthesis of the latest research in the area of copulae as applied to finance and related subjects such as insurance. Multivariate non-Gaussian dependence is a fact of life for many problems in financial econometrics. This book describes the state of the art in tools required to deal with these observed features of financial data. This book was originally published as a special issue of the European Journal of Finance.

Copulae and Multivariate Probability Distributions in Finance

Ingmar Nolte

This book brings together the latest research in the areas of market microstructure and high-frequency finance along with new econometric methods to address critical practical issues in these areas of research. Thirteen chapters, each of which makes a valuable and significant contribution to the existing literature have been brought together, spanning a wide range of topics including information asymmetry and the information content in limit order books, high-frequency return distribution models, multivariate volatility forecasting, analysis of individual trading behaviour, the analysis of liquidity, price discovery across markets, market microstructure models and the information content of order flow. These issues are central both to the rapidly expanding practice of high frequency trading in financial markets and to the further development of the academic literature in this area. The volume will therefore be of immediate interest to practitioners and academics. This book was originally published as a special issue of European Journal of Finance.

High Frequency Trading and Limit Order Book Dynamics

Culture Smart!

Mention Denmark and some people will think of marauding Vikings with horned helmets or one of Denmark's more famous exports—Carlsberg beer—or the fairy tales of Hans Christian Andersen. But of the Danes themselves they may know very little. The Danes tend to be more relaxed and less formal than their fellow Scandinavians—and more independently minded. In fact, Denmark used to be referred to by its puritanical northern neighbors as "the loose woman to the south." This book gives an insider's perspective on Danish home, work, and social life, and on the Jantelov—the principles underpinning the traditional Scandinavian virtues of modesty, equality, and social cohesion, but which also warn against the dangers of individualism. This book offers many practical tips on travelers should conduct themselves in Denmark and what to expect in social situations. Readers will discover that, beneath their quiet northern reserve, the Danish people are friendly, fair-minded, civilized, and warm.

Mark Salmon

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