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...
| Други автори: | Dacorogna, Michel M. |
|---|---|
| Формат: | Електронна книга |
| Език: | English |
| Публикувано: |
San Diego :
Academic Press,
℗♭2001.
|
| Предмети: | |
| Онлайн достъп: |
http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=297033 |
| Подобни документи: |
Print version::
Introduction to high-frequency finance. |
Съдържание:
- 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.