An Introduction to High-Frequency Finance

图书标准信息

• 作者 Olsen、Pictet Dacorogna 著
• 出版社 Academic Press
• 出版时间 2001-04
• ISBN 9780122796715
• 定价 1422.70元
• 装帧 精装
• 开本 其他
• 纸张 其他
• 页数 383页
• 正文语种 英语

【内容简介】

Liquidmarketsgeneratehundredsorthousandsofticks(theminimumchangeinpriceasecuritycanhave,eitherupordown)everybusinessday.DatavendorssuchasReuterstransmitmorethan275,000pricesperdayforforeignexchangespotratesalone.Thus,high-frequencydatacanbeafundamentalobjectofstudy,astradersmakedecisionsbyobservinghigh-frequencyortick-by-tickdata.Yetmoststudiespublishedinfinancialliteraturedealwithlowfrequency,regularlyspaceddata.Foravarietyofreasons,high-frequencydataarebecomingawayforunderstandingmarketmicrostructure.Thisbookdiscussesthebestmathematicalmodelsandtoolsfordealingwithsuchvastamountsofdata.Thisbookprovidesaframeworkfortheanalysis,modeling,andinferenceofhighfrequencyfinancialtimeseries.Withparticularemphasisonforeignexchangemarkets,aswellascurrency,interestrate,andbondfuturesmarkets,thisunifiedviewofhighfrequencytimeseriesmethodsinvestigatesthepriceformationprocessandconcludesbyreviewingtechniquesforconstructingsystematictradingmodelsforfinancialassets.

【作者简介】

RamazanGen?ayisaprofessorintheeconomicsdepartmentattheUniversityofWindsor,Ontario,Canada.Hisareasofspecializationarefinancialeconometrics,nonlineartimeseries,nonparametriceconometrics,andchaoticdynamics.Hispublicationsappearinfinance,economics,statisticsandphysicsjournals.SomeofhispublicationsarepublishedintheJournaloftheAmericanStatisticalAssociation,JournalofEconometrics,JournalofInternationalEconomics,JournalofNonparametricStatistics,JournalofEmpiricalFinance,JournalofEconomicDynamicsandControl,JournalofAppliedEconometrics,EuropeanEconomicReview,JournalofForecasting,PhysicaA,PhysicaDandPhysicsLettersA.Heisco-editorofStudiesinNonlinearDynamicsandEconometricsandIEEETransactionsinComputationalFinance.Heisalsoaco-authorofAnIntroductiontoHigh-FrequencyFinance(AcademicPress,2001).