An introduction to high-frequency finance:
Gespeichert in:
| Format: | Elektronisch E-Book |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
San Diego
Academic Press
©2001
|
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Beschreibung: | 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 Includes bibliographical references (pages 356-375) and index |
| Beschreibung: | 1 Online-Ressource (xxvi, 383 pages) |
| ISBN: | 9780122796715 0122796713 9780080499048 008049904X |
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| isbn | 9780122796715 0122796713 9780080499048 008049904X |
| language | English |
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| spelling | An introduction to high-frequency finance Michel M. Dacorogna [and others] High-frequency finance San Diego Academic Press ©2001 1 Online-Ressource (xxvi, 383 pages) txt rdacontent c rdamedia cr rdacarrier 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 Includes bibliographical references (pages 356-375) and index Finance / Econometric models. Time-series analysis Finances / Modèles économétriques Série chronologique BUSINESS & ECONOMICS / Econometrics bisacsh BUSINESS & ECONOMICS / Statistics bisacsh Valutahandel gtt Tijdreeksen gtt Hoge frequenties gtt Statistik Wirtschaft Ökonometrisches Modell Finance Econometric models Time-series analysis Aktienkurs (DE-588)4141736-7 gnd rswk-swf Volatilität (DE-588)4268390-7 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Aktienkurs (DE-588)4141736-7 s Volatilität (DE-588)4268390-7 s 1\p DE-604 Finanzmathematik (DE-588)4017195-4 s 2\p DE-604 Dacorogna, Michel M. Sonstige oth http://www.sciencedirect.com/science/book/9780122796715 Verlag Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | An introduction to high-frequency finance Finance / Econometric models. Time-series analysis Finances / Modèles économétriques Série chronologique BUSINESS & ECONOMICS / Econometrics bisacsh BUSINESS & ECONOMICS / Statistics bisacsh Valutahandel gtt Tijdreeksen gtt Hoge frequenties gtt Statistik Wirtschaft Ökonometrisches Modell Finance Econometric models Time-series analysis Aktienkurs (DE-588)4141736-7 gnd Volatilität (DE-588)4268390-7 gnd Finanzmathematik (DE-588)4017195-4 gnd |
| subject_GND | (DE-588)4141736-7 (DE-588)4268390-7 (DE-588)4017195-4 |
| title | An introduction to high-frequency finance |
| title_alt | High-frequency finance |
| title_auth | An introduction to high-frequency finance |
| title_exact_search | An introduction to high-frequency finance |
| title_full | An introduction to high-frequency finance Michel M. Dacorogna [and others] |
| title_fullStr | An introduction to high-frequency finance Michel M. Dacorogna [and others] |
| title_full_unstemmed | An introduction to high-frequency finance Michel M. Dacorogna [and others] |
| title_short | An introduction to high-frequency finance |
| title_sort | an introduction to high frequency finance |
| topic | Finance / Econometric models. Time-series analysis Finances / Modèles économétriques Série chronologique BUSINESS & ECONOMICS / Econometrics bisacsh BUSINESS & ECONOMICS / Statistics bisacsh Valutahandel gtt Tijdreeksen gtt Hoge frequenties gtt Statistik Wirtschaft Ökonometrisches Modell Finance Econometric models Time-series analysis Aktienkurs (DE-588)4141736-7 gnd Volatilität (DE-588)4268390-7 gnd Finanzmathematik (DE-588)4017195-4 gnd |
| topic_facet | Finance / Econometric models. Time-series analysis Finances / Modèles économétriques Série chronologique BUSINESS & ECONOMICS / Econometrics BUSINESS & ECONOMICS / Statistics Valutahandel Tijdreeksen Hoge frequenties Statistik Wirtschaft Ökonometrisches Modell Finance Econometric models Time-series analysis Aktienkurs Volatilität Finanzmathematik |
| url | http://www.sciencedirect.com/science/book/9780122796715 |
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