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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 |
|---|---|
| Autor principal: | |
| Otros Autores: | , , , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Burlington :
Elsevier,
2001.
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| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 049 | |a UAMI | ||
| 100 | 1 | |a Gençay, Ramazan. | |
| 245 | 1 | 3 | |a An Introduction to High-Frequency Finance. |
| 260 | |a Burlington : |b Elsevier, |c 2001. | ||
| 300 | |a 1 online resource (411 pages) | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 347 | |a text file | ||
| 505 | 0 | |a 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. | |
| 505 | 8 | |a INDEX. | |
| 520 | |a 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. | ||
| 588 | 0 | |a Print version record. | |
| 546 | |a English. | ||
| 504 | |a Includes bibliographical references (pages 356-375) and index. | ||
| 590 | |a ProQuest Ebook Central |b Ebook Central Academic Complete | ||
| 650 | 0 | |a Finance |x Econometric models. | |
| 650 | 0 | |a Time-series analysis. | |
| 650 | 6 | |a Finances |x Modèles économétriques. | |
| 650 | 6 | |a Série chronologique. | |
| 650 | 1 | 7 | |a Finance |x Econometric models. |2 bisacsh |
| 650 | 7 | |a Finance |x Econometric models |2 fast | |
| 650 | 7 | |a Time-series analysis |2 fast | |
| 700 | 1 | |a Dacorogna, Michel M. | |
| 700 | 1 | |a Muller, Ulrich. | |
| 700 | 1 | |a Pictet, Olivier. | |
| 700 | 1 | |a Olsen, Richard. | |
| 758 | |i has work: |a An introduction to high-frequency finance (Text) |1 https://id.oclc.org/worldcat/entity/E39PCGXJg4bTKVJ7bcQDFGQqry |4 https://id.oclc.org/worldcat/ontology/hasWork | ||
| 776 | 1 | |z 9780122796715 | |
| 856 | 4 | 0 | |u https://ebookcentral.uam.elogim.com/lib/uam-ebooks/detail.action?docID=452805 |z Texto completo |
| 936 | |a BATCHLOAD | ||
| 938 | |a EBL - Ebook Library |b EBLB |n EBL452805 | ||
| 994 | |a 92 |b IZTAP | ||