An Introduction to High-Frequency Finance

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9780122796715: An Introduction to High-Frequency Finance
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Prepublication Praise: "The authors have shaped the field of high-frequency data in finance; the text provides an excellent summary of their pioneering work." --PAUL EMBRECHTS, Professor of Mathematics, ETH Zurich "An Introduction to High-Frequency Finance by the research team from Olsen & Associates is an amazing presentation of their work over the last decade and a half examining high-frequency, primarily currency, data. The volume includes details of data handling, filtering methods, scaling procedures, volatility models, automatic market making and trading rules that for many years were proprietary information. I highly recommend the book for anyone using tick data." --ROBERT ENGLE, Department of Finance, Stern School, NYU and Department of Economics, University of California, San Diego "At long last, the study of financial prices is moving beyond convenient oversimplifications. For providing much of the best data and an indispensable bridge between the financial and academic communities, this flowering is deeply indebted to the group led by Dr. Richard Olsen. This group and its alumni have also analyzed their own data. That work, which I often quote, has now been collected and extended in a book. I shall wear it out by constant use and it is a delight to recommend it to the emerging rational finance community." --BENOIT B. MANDELBROT, Sterling Professor of Mathematical Sciences, Yale University

Reseña del editor:

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. This book discusses the best mathematical models and tools for dealing with such vast amounts of data. This book provides a framework for the analysis, modeling, and inference of high frequency financial time series. With particular emphasis on foreign exchange markets, as well as currency, interest rate, and bond futures markets, this unified view of high frequency time series methods investigates the price formation process and concludes by reviewing techniques for constructing systematic trading models for financial assets.

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1.

Ramazan Gencay, Michel Dacorogna, Ulrich A. Muller
Editorial: Elsevier Science Publishing Co Inc, United States (2001)
ISBN 10: 0122796713 ISBN 13: 9780122796715
Nuevos Tapa dura Cantidad: 1
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The Book Depository US
(London, Reino Unido)
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Descripción Elsevier Science Publishing Co Inc, United States, 2001. Hardback. Estado de conservación: New. 229 x 152 mm. Language: English . Brand New Book. 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. This book discusses the best mathematical models and tools for dealing with such vast amounts of data. This book provides a framework for the analysis, modeling, and inference of high frequency financial time series. With particular emphasis on foreign exchange markets, as well as currency, interest rate, and bond futures markets, this unified view of high frequency time series methods investigates the price formation process and concludes by reviewing techniques for constructing systematic trading models for financial assets. Nº de ref. de la librería AAZ9780122796715

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Ramazan Gencay, Michel Dacorogna, Ulrich Müller
Editorial: Elsevier Science Publishing Co Inc, United States (2001)
ISBN 10: 0122796713 ISBN 13: 9780122796715
Nuevos Tapa dura Cantidad: 1
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The Book Depository
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Descripción Elsevier Science Publishing Co Inc, United States, 2001. Hardback. Estado de conservación: New. 229 x 152 mm. Language: English . Brand New Book. 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. This book discusses the best mathematical models and tools for dealing with such vast amounts of data. This book provides a framework for the analysis, modeling, and inference of high frequency financial time series. With particular emphasis on foreign exchange markets, as well as currency, interest rate, and bond futures markets, this unified view of high frequency time series methods investigates the price formation process and concludes by reviewing techniques for constructing systematic trading models for financial assets. Nº de ref. de la librería AAZ9780122796715

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Ramazan Gencay, Michel Dacorogna, Ulrich A. Muller
Editorial: Elsevier Science Publishing Co Inc 2001-05-29, San Diego (2001)
ISBN 10: 0122796713 ISBN 13: 9780122796715
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Descripción Elsevier Science Publishing Co Inc 2001-05-29, San Diego, 2001. hardback. Estado de conservación: New. Nº de ref. de la librería 9780122796715

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Gencay, Muller, Olsen & Pictet Dacorogna
Editorial: Academic Press (2001)
ISBN 10: 0122796713 ISBN 13: 9780122796715
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Descripción Academic Press, 2001. Hardcover. Estado de conservación: New. First Edition. Nº de ref. de la librería DADAX0122796713

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Ramazan Gencay, Michel Dacorogna, Ulrich Muller, Richard Olsen, Olivier Pictet
Editorial: Elsevier Science Publishing Co Inc
ISBN 10: 0122796713 ISBN 13: 9780122796715
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Descripción Elsevier Science Publishing Co Inc. Hardback. Estado de conservación: new. BRAND NEW, An Introduction to High-Frequency Finance, Ramazan Gencay, Michel Dacorogna, Ulrich Muller, Richard Olsen, Olivier Pictet, 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. This book discusses the best mathematical models and tools for dealing with such vast amounts of data. This book provides a framework for the analysis, modeling, and inference of high frequency financial time series. With particular emphasis on foreign exchange markets, as well as currency, interest rate, and bond futures markets, this unified view of high frequency time series methods investigates the price formation process and concludes by reviewing techniques for constructing systematic trading models for financial assets. Nº de ref. de la librería B9780122796715

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Gencay, Ramazan; Dacorogna, Michel; Muller, Ulrich; Olsen, Richard; Pictet, Olivier
Editorial: Elsevier Science Publishing Co Inc (2001)
ISBN 10: 0122796713 ISBN 13: 9780122796715
Nuevos Tapa dura Primera edición Cantidad: 2
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Valoración
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Descripción Elsevier Science Publishing Co Inc, 2001. Estado de conservación: New. Provides a framework for the analysis, modelling, and inference of high-frequency financial time series. Emphasizing foreign exchange markets, currency, interest rate and bond futures markets, it investigates price formation processes and reviews systematic trading models for financial assets. Num Pages: 383 pages, Illustrations. BIC Classification: KFF; KJMV1; PBT. Category: (P) Professional & Vocational. Dimension: 234 x 160 x 25. Weight in Grams: 686. . 2001. 1st Edition. Hardcover. . . . . . Nº de ref. de la librería V9780122796715

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Gencay, Ramazan; Gengay, Ramazan; Dacorogna, Michel
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Descripción Estado de conservación: New. This item is Print on Demand - Depending on your location, this item may ship from the US or UK. Nº de ref. de la librería POD_9780122796715

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Dacorogna
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ISBN 10: 0122796713 ISBN 13: 9780122796715
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Descripción Unknown, 2001. Hardcover. Estado de conservación: New. 1. 0122796713. Nº de ref. de la librería 542946

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Gencay, Ramazan; Gengay, Ramazan; Dacorogna, Michel
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Descripción Estado de conservación: New. Bookseller Inventory # ST0122796713. Nº de ref. de la librería ST0122796713

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Ramazan Gencay, Michel Dacorogna, Ulrich A. Muller, Richard Olsen
ISBN 10: 0122796713 ISBN 13: 9780122796715
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Descripción Hardback. Estado de conservación: New. Not Signed; 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. book. Nº de ref. de la librería ria9780122796715_rkm

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