| Description |
xxvi, 383 pages : illustrations ; 24 cm |
| Contents |
Machine derived contents note: Table of contents for An introduction to high-frequency finance / Michel M. Dacorogna [et al.]. -- Bibliographic record and links to related information available from the Library of Congress catalog -- Information from electronic data provided by the publisher. May be incomplete or contain other coding. -- Introduction. -- Markets and Data. -- Time Series of Interest. -- Adaptive Data Cleaning. -- Basic Stylized Facts. -- Modeling Seasonal Volatility. -- Realized Volatility Dynamics. -- Volatility Processes. -- Forecasting Risk and Return. -- Correlation and Multivariate Risk. -- Trading Models. -- Toward a Theory of Heterogeneous Markets. -- Bibliography. -- Index. -- Library of Congress subject headings for this publication: Finance Econometric models, Time-series analysis |
| Summary |
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. T |
| Bibliography |
Includes bibliography and index |
| Notes |
English |
|
Print version record |
| Subject |
Economics -- Mathematical models.
|
|
Finance -- Econometric models.
|
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Time-series analysis.
|
| Author |
Dacorogna, Michel M.
|
| LC no. |
2001088178 |
| ISBN |
0122796713 |
|
