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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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| Otros Autores: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
San Diego :
Academic Press,
©2001.
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| Temas: | |
| Acceso en línea: | Texto completo (Requiere registro previo con correo institucional) |
Tabla de Contenidos:
- 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.