An Introduction to High-frequency Finance (Hardcover)

Liquid markets generate hundreds or thousands of ticks (the minimum change in price a security can have, either up or down) every business day. Data vendors such as Reuters transmit more than 275,000 prices per day for foreign exchange spot rates alone. Thus, high-frequency data can be a fundamental object of study, as traders make decisions by observing high-frequency or tick-by-tick data. Yet most studies published in financial literature deal with low frequency, regularly spaced data. For a variety of reasons, high-frequency data are becoming a way for understanding market microstructure. This book discusses the best mathematical models and tools for dealing with such vast amounts of data.
This book provides a framework for the analysis, modeling, and inference of high frequency financial time series. With particular emphasis on foreign exchange markets, as well as currency, interest rate, and bond futures markets, this unified view of high frequency time series methods investigates the price formation process and concludes by reviewing techniques for constructing systematic trading models for financial assets.

General

Imprint:	Academic Press Inc.(London) Ltd
Country of origin:	United States
Release date:	May 2001
First published:	May 2001
Authors:	Michel Dacorogna • Ramazan Gencay • Ulrich Muller • Richard Olsen • Olivier Pictet
Dimensions:	232 x 156 x 20mm (L x W x T)
Format:	Hardcover
Pages:	383
ISBN-13:	978-0-12-279671-5
Categories:	Books > Science & Mathematics > Mathematics > Probability & statistics Books > Business & Economics > Finance & accounting > Finance > General Books > Business & Economics > Business & management > Management of specific areas > Budgeting & financial management Books > Money & Finance > General Books > Academic & Education > Professional & Technical > Finance Promotions
LSN:	0-12-279671-3
Barcode:	9780122796715

Is the information for this product incomplete, wrong or inappropriate? Let us know about it.

Does this product have an incorrect or missing image? Send us a new image.

Is this product missing categories? Add more categories.

Review This Product

No reviews yet - be the first to create one!