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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...
| Clasificación: | Libro Electrónico |
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| Autor principal: | |
| Otros Autores: | , , , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Burlington :
Elsevier,
2001.
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| Temas: | |
| Acceso en línea: | Texto completo |
| Sumario: | 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. T. |
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| Descripción Física: | 1 online resource (411 pages) |
| Bibliografía: | Includes bibliographical references (pages 356-375) and index. |
| ISBN: | 9780080499048 008049904X 0122796713 9780122796715 |