Introduction to High-Frequency Finance

Name: Introduction to High-Frequency Finance
Brand: Elsevier Science Publishing Co Inc
SKU: 9780122796715
Price: 565.92 RON
Availability: InStock

Autor: Dacorogna

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Legare: Copertă tare

Editura: Elsevier Science Publishing Co Inc

Disponibilitate: În depozitul extern în cantități mici

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Liquid markets generate hundreds or thousands of ticks (the minimum change in price a security can h...

Informații despre carte

Autor

Dacorogna

Limbă

engleză

Legare

Carte - Copertă tare

Publicat

2001

Pagini

416

EAN

9780122796715

ISBN

0122796713

Enbook ID

04020631

Editura

Elsevier Science Publishing Co Inc

Greutate

686

Dimensiuni

160 x 234 x 25

Descriere completă

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.

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Introduction to High-Frequency Finance

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