An Introduction to High-frequency Finance (Hardback)
$100.36 - Save $24.64 19% off - RRP $125.00 Free shipping worldwide (to United States and
all these other countries) Usually dispatched within 24 hours | |Short Description for An Introduction to High-frequency Finance Provides a framework for the analysis, modelling, and inference of high-frequency financial time series. Emphasizing foreign exchange markets, currency, interest rate and bond futures markets, it investigates price formation processes and reviews systematic trading models for financial assets.
Full description- Publisher: Academic Press Inc
- Published: 29 May 2001
- Format: Hardback 383 pages
- See: Full bibliographic data
- Categories: Economics | Economic Theory & Philosophy | Econometrics | Accounting | Finance | Investment & Securities | Budgeting & Financial Management | Business Mathematics & Systems | Probability & Statistics
- ISBN 13: 9780122796715 ISBN 10: 0122796713
- Sales rank: 557,531
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Full description for An Introduction to High-frequency Finance
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.
