An Introduction to High-Frequency Finance
Academic Press, May 29, 2001 - Business & Economics - 383 pages
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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absolute returns activity algorithm analysis behavior bias bid-ask spread Bollerslev calculated clusters components computed contracts correlation coefficients credibility cross rates currency data frequency dealing frequency defined DEM-JPY distribution drift exponent effect empirical Equation error estimated expiry exponential moving average Figure financial markets forecasting models foreign exchange futures futures contracts FX market FX rates FX spot GARCH Gençay genetic algorithm HARCH hedging heteroskedasticity high-frequency data homogeneous time series horizons hourly indicators interest rates interpolation intervals intraday kernel linear interpolation market makers mean measure method moving average Müller normal normally distributed operator optimization p-values parameters portfolio position random walk real-time realized volatility risk RiskMetrics scalar quotes scaling law seasonality short-term simulated statistical stochastic stop-loss Table tail index tick frequency tick-by-tick trading model trust capital U.S. Dollar USD-CHF USD-DEM USD-FRF USD-JPY values variable variance volatility forecasts week Xeff zero