Textbook Discounter: Business: An Introduction to High-Frequency Finance

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An Introduction to High-Frequency Finance
	Authors: Ramazan Gencay, Michel Dacorogna, Ulrich A. Muller, Olivier Pictet, Richard Olsen Publisher: Academic Press Category: Book List Price: ~~$108.00~~ Buy New: $86.40 You Save: $21.60 (20%) New (10) Used (2) from $86.40 Rating: 5 reviews Sales Rank: 38046 Media: Hardcover Edition: 1 Pages: 383 Number Of Items: 1 Shipping Weight (lbs): 1.5 Dimensions (in): 9.1 x 6.1 x 0.9 ISBN: 0122796713 Dewey Decimal Number: 330 EAN: 9780122796715 ASIN: 0122796713 Publication Date: May 2001 Availability: Usually ships in 1-2 business days Shipping: International shipping available Condition: Brand New, Perfect Condition, Please allow 4-14 business days for delivery. 100% Money Back Guarantee, Over 1,000,000 customers served.


Editorial Reviews: Product 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.