This book focuses on the impact of high-frequency data in
forecasting market volatility and options price. New technologies
have created opportunities to obtain better, faster, and more
efficient datasets to explore financial market phenomena at the
most acceptable data levels. It provides reliable intraday data
supporting financial investment decisions across different assets
classes and instruments consisting of commodities, derivatives,
equities, fixed income and foreign exchange. This book emphasises
four key areas, (1) estimating intraday implied volatility using
ultra-high frequency (5-minutes frequency) currency options to
capture traders' trading behaviour, (2) computing realised
volatility based on 5-minute frequency currency price to obtain
speculators' speculation attitude, (3) examining the ability of
implied volatility to subsume market information through
forecasting realised volatility and (4) evaluating the predictive
power of implied volatility for pricing currency options. This is a
must-read for academics and professionals who want to improve their
skills and outcomes in trading options.
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