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...
Gespeichert in:
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
San Diego :
Academic Press,
©2001.
|
| Schlagworte: | |
| Online-Zugang: | Volltext Volltext |
| Zusammenfassung: | 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. |
| Beschreibung: | 1 online resource (xxvi, 383 pages) : illustrations |
| Bibliographie: | Includes bibliographical references (pages 356-375) and index. |
| ISBN: | 9780122796715 0122796713 9780080499048 008049904X |
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| 505 | 0 | |a Introduction -- Markets and data -- Time series of interest -- Adaptive data cleaning -- Basic stylized facts -- Modeling seasonal volatility -- Realized volatility dynamics -- Volatility processes -- Forecasting risk and return -- Correlation and multivariate risk -- Trading models -- Toward a theory of heterogeneous markets. | |
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| contents | Introduction -- Markets and data -- Time series of interest -- Adaptive data cleaning -- Basic stylized facts -- Modeling seasonal volatility -- Realized volatility dynamics -- Volatility processes -- Forecasting risk and return -- Correlation and multivariate risk -- Trading models -- Toward a theory of heterogeneous markets. |
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| genre | dissertations. aat Academic theses fast Academic theses. lcgft http://id.loc.gov/authorities/genreForms/gf2014026039 Thèses et écrits académiques. rvmgf |
| genre_facet | dissertations. Academic theses Academic theses. Thèses et écrits académiques. |
| id | ZDB-4-EBA-ocn213298473 |
| illustrated | Illustrated |
| indexdate | 2024-11-27T13:16:18Z |
| institution | BVB |
| isbn | 9780122796715 0122796713 9780080499048 008049904X |
| language | English |
| lccn | 2001088178 |
| oclc_num | 213298473 |
| open_access_boolean | |
| owner | MAIN DE-863 DE-BY-FWS |
| owner_facet | MAIN DE-863 DE-BY-FWS |
| physical | 1 online resource (xxvi, 383 pages) : illustrations |
| psigel | ZDB-4-EBA |
| publishDate | 2001 |
| publishDateSearch | 2001 |
| publishDateSort | 2001 |
| publisher | Academic Press, |
| record_format | marc |
| spelling | An introduction to high-frequency finance / Michel M. Dacorogna [and others]. High-frequency finance San Diego : Academic Press, ©2001. 1 online resource (xxvi, 383 pages) : illustrations text txt rdacontent computer c rdamedia online resource cr rdacarrier polychrome. rdacc http://rdaregistry.info/termList/RDAColourContent/1003 text file 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. Introduction -- Markets and data -- Time series of interest -- Adaptive data cleaning -- Basic stylized facts -- Modeling seasonal volatility -- Realized volatility dynamics -- Volatility processes -- Forecasting risk and return -- Correlation and multivariate risk -- Trading models -- Toward a theory of heterogeneous markets. Includes bibliographical references (pages 356-375) and index. Print version record. English. Finance Econometric models. Time-series analysis. http://id.loc.gov/authorities/subjects/sh85135430 Finances Modèles économétriques. Série chronologique. BUSINESS & ECONOMICS Econometrics. bisacsh BUSINESS & ECONOMICS Statistics. bisacsh Finance Econometric models fast Time-series analysis fast Aktienkurs gnd http://d-nb.info/gnd/4141736-7 Volatilität gnd http://d-nb.info/gnd/4268390-7 Valutahandel. gtt Tijdreeksen. gtt Hoge frequenties. gtt dissertations. aat Academic theses fast Academic theses. lcgft http://id.loc.gov/authorities/genreForms/gf2014026039 Thèses et écrits académiques. rvmgf Dacorogna, Michel M. http://id.loc.gov/authorities/names/no2001049809 Print version: Introduction to high-frequency finance. San Diego : Academic Press, ©2001 9780122796715 (DLC) 2001088178 (OCoLC)46502065 FWS01 ZDB-4-EBA FWS_PDA_EBA https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=297033 Volltext FWS01 ZDB-4-EBA FWS_PDA_EBA https://www.sciencedirect.com/science/book/9780122796715 Volltext |
| spellingShingle | An introduction to high-frequency finance / Introduction -- Markets and data -- Time series of interest -- Adaptive data cleaning -- Basic stylized facts -- Modeling seasonal volatility -- Realized volatility dynamics -- Volatility processes -- Forecasting risk and return -- Correlation and multivariate risk -- Trading models -- Toward a theory of heterogeneous markets. Finance Econometric models. Time-series analysis. http://id.loc.gov/authorities/subjects/sh85135430 Finances Modèles économétriques. Série chronologique. BUSINESS & ECONOMICS Econometrics. bisacsh BUSINESS & ECONOMICS Statistics. bisacsh Finance Econometric models fast Time-series analysis fast Aktienkurs gnd http://d-nb.info/gnd/4141736-7 Volatilität gnd http://d-nb.info/gnd/4268390-7 Valutahandel. gtt Tijdreeksen. gtt Hoge frequenties. gtt |
| subject_GND | http://id.loc.gov/authorities/subjects/sh85135430 http://d-nb.info/gnd/4141736-7 http://d-nb.info/gnd/4268390-7 http://id.loc.gov/authorities/genreForms/gf2014026039 |
| 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 | introduction to high frequency finance |
| topic | Finance Econometric models. Time-series analysis. http://id.loc.gov/authorities/subjects/sh85135430 Finances Modèles économétriques. Série chronologique. BUSINESS & ECONOMICS Econometrics. bisacsh BUSINESS & ECONOMICS Statistics. bisacsh Finance Econometric models fast Time-series analysis fast Aktienkurs gnd http://d-nb.info/gnd/4141736-7 Volatilität gnd http://d-nb.info/gnd/4268390-7 Valutahandel. gtt Tijdreeksen. gtt Hoge frequenties. gtt |
| topic_facet | Finance Econometric models. Time-series analysis. Finances Modèles économétriques. Série chronologique. BUSINESS & ECONOMICS Econometrics. BUSINESS & ECONOMICS Statistics. Finance Econometric models Time-series analysis Aktienkurs Volatilität Valutahandel. Tijdreeksen. Hoge frequenties. dissertations. Academic theses Academic theses. Thèses et écrits académiques. |
| url | https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=297033 https://www.sciencedirect.com/science/book/9780122796715 |
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