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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Détails bibliographiques
Cote:Libro Electrónico
Autres auteurs: Dacorogna, Michel M.
Format: Électronique eBook
Langue:Inglés
Publié: San Diego : Academic Press, �2001.
Sujets:
Finance > Econometric models.
Time-series analysis.
Finances > Mod�eles �econom�etriques.
S�erie chronologique.
BUSINESS & ECONOMICS > Econometrics.
BUSINESS & ECONOMICS > Statistics.
Aktienkurs
Volatilit�at
Valutahandel.
Tijdreeksen.
Hoge frequenties.
Accès en ligne:Texto completo
Table des matières:
  • 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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