An Introduction to High-Frequency Finance (Google eBook)

Front Cover
Academic Press, May 29, 2001 - Business & Economics - 383 pages
3 Reviews
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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Review: An Introduction to High-Frequency Finance

User Review  - Evans - Goodreads

Pretty good intro to high frequency. I liked the first couple and last couple chapters, there rest weren't very interesting Read full review

Review: An Introduction to High-Frequency Finance

User Review  - Evans - Goodreads

Pretty good intro to high frequency. I liked the first couple and last couple chapters, there rest weren't very interesting Read full review

Contents

CHAPTER 2 MARKETS AND DATA
10
CHAPTER 3 TIME SERIES of INTEREST
34
CHAPTER 4 ADAPTIVE DATA CLEANING
82
CHAPTER 5 BASIC STYLIZED FACTS
121
CHAPTER 6 MODELING SEASONAL VOLATILITY
174
CHAPTER 7 REALIZED VOLATILITY DYNAMICS
197
CHAPTER 8 VOLATILITY PROCESSES
219
CHAPTER 9 FORECASTING RISK AND RETURN
248
CHAPTER 10 CORRELATION AND MULTIVARIATE RISK
268
CHAPTER 11 TRADING MODELS
295
CHAPTER 12 TOWARD A THEORY of HETEROGENEOUS MARKETS
348
BIBLIOGRAPHY
356
INDEX
376
Copyright

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About the author (2001)

Ramazan Gençay is a professor in the economics department at Simon Fraser University. His areas of specialization are financial econometrics, nonlinear time series, nonparametric econometrics, and chaotic dynamics. His publications appear in finance, economics, statistics and physics journals. His work has appeared in the Journal of the American Statistical Association, Journal of Econometrics, and Physics Letters A.