An Introduction to High-Frequency Finance
- ISBN-10
- 008049904X
- ISBN-13
- 9780080499048
- Category
- Business & Economics
- Pages
- 383
- Language
- English
- Published
- 2001-05-29
- Publisher
- Elsevier
- Authors
- Ramazan Gençay, Michel Dacorogna, Ulrich A. Muller
Description
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.
Get the book
Similar books
-
An Introduction to High-frequency Finance
By Michel M. DacorognaProvides a framework for the analysis, modelling, and inference of high-frequency financial time series.
-
High-Frequency Financial Econometrics
By Jean Jacod, Yacine Ait-SahaliaAït-Sahalia and Jacod approach high-frequency econometrics with a distinct focus on the financial side of matters while maintaining technical rigor, which makes this book invaluable to researchers and practitioners alike.
-
High Frequency Trading and Limit Order Book Dynamics
By Ingmar Nolte, Mark Salmon, Chris AdcockThe 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.
-
Handbook of Modeling High-Frequency Data in Finance
By Maria C. Mariani, Ionut Florescu, Frederi G. ViensA one-stop compilation of empirical and analytical research, this handbook explores data sampled with high-frequency finance in financial engineering, statistics, and the modern financial business arena.
-
Algorithmic and High-Frequency Trading
By Álvaro Cartea, Sebastian Jaimungal, José PenalvaIf you need to understand how modern electronic markets operate, what information provides a trading edge, and how other market participants may affect the profitability of the algorithms, then this is the book for you.
-
High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems
By Irene AldridgePraise for High-Frequency Trading "A well thought out, practical guide covering all aspects of high-frequency trading and of systematic trading in general. I recommend this book highly.
-
Econometrics of Financial High-Frequency Data
By Nikolaus HautschThis book provides a state-of-the art overview on the major approaches in high-frequency econometrics, including univariate and multivariate autoregressive conditional mean approaches for different types of high-frequency variables, ...
-
Handbook of High-Frequency Trading and Modeling in Finance
By H. Eugene Stanley, Maria C. Mariani, Ionut FlorescuReflecting the fast pace and ever-evolving nature of the financial industry, the Handbook of High-Frequency Trading and Modeling in Finance details how high-frequency analysis presents new systematic approaches to implementing quantitative ...
-
Handbook of High Frequency Trading
By Greg N. GregoriouDeveloped for students and professionals who want more than discussions on the econometrics of the modelling process, The Handbook of High Frequency Trading explains the entirety of this controversial trading strategy.
-
All About High-Frequency Trading
By Michael DurbinAll About High-Frequency Trading examines the practice of deploying advanced computer algorithms to read and interpret market activity, make trades, and pull in huge profi ts—all within milliseconds.