An Introduction to High-Frequency Finance.

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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...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Gençay, Ramazan
Otros Autores: Dacorogna, Michel M., Muller, Ulrich, Pictet, Olivier, Olsen, Richard
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Burlington : Elsevier, 2001.
Temas:
Finance > Econometric models.
Time-series analysis.
Finances > Modèles économétriques.
Série chronologique.
Finance > Econometric models
Time-series analysis
Acceso en línea:Texto completo
Tabla de Contenidos:
  • Front Cover; AN INTRODUCTION TO HIGH-FREQUENCY FINANCE; Copyright Page; CONTENTS; LIST OF FIGURES; LIST OF TABLES; PREFACE; ACKNOWLEDGMENTS; CHAPTER 1. INTRODUCTION; CHAPTER 2. MARKETS AND DATA; CHAPTER 3. TIME SERIES of INTEREST; CHAPTER 4. ADAPTIVE DATA CLEANING; CHAPTER 5. BASIC STYLIZED FACTS; CHAPTER 6. MODELING SEASONAL VOLATILITY; CHAPTER 7. REALIZED VOLATILITY DYNAMICS; CHAPTER 8. VOLATILITY PROCESSES; CHAPTER 9. FORECASTING RISK AND RETURN; CHAPTER 10. CORRELATION AND MULTIVARIATE RISK; CHAPTER 11. TRADING MODELS; CHAPTER 12. TOWARD A THEORY of HETEROGENEOUS MARKETS; BIBLIOGRAPHY.
  • INDEX.

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