Financial Markets Tick By Tick

ISBN 13: 9780471981602

Financial Markets Tick By Tick

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9780471981602: Financial Markets Tick By Tick

Financial Markets Tick by Tick Insights in Financial Markets Microstructure Edited by Pierre Lequeux "Financial Markets Tick by Tick is an in-depth and unique collection of analyses of the behaviour of the financial markets at the micro level. Its publication is particularly timely, given the current period of high volatility in the financial markets. LIFFE are proud to be associated with a text which features so many leading quantitative analysts, risk managers, academics and experts in this highly specialized field." Brian Williamson Executive Chairman, LIFFE The editor has brought together some of the acknowledged experts in the field to contribute on a subject of great timeliness across the finance sector. One could go as far as to say we are experiencing a renaissance in terms of how market players work on a day-to-day basis due to the high intra-day volatility of financial markets and the greater emphasis put on risk management. This book will provide essential reading matter for all those using high frequency data, in both the practitioner and academic markets alike.

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From the Inside Flap:

Over the last decade financial markets have been subjected to drastic changes consequent to the progress made in information technology. The huge increase in "number crunching" capability has enabled the financial community to use so called "tick data" on a wider scale. This brings a wealth of information about the behaviour of financial prices and gives new perspectives in the field of risk management and forecasting. It provides new ways to model and generate correlation and volatility estimates to input into pricing and risk models. The recent release of high frequency price data by financial exchanges and other data suppliers has translated into a steady flow of research papers on high frequency modelling produced by both academics and market practitioners. It addresses practical issues that are paramount to the financial community. The first section of the book is dedicated to price volatility and risk estimators, the second section concentrates on statistical features and forecasting issues. Finally the last section investigates how "tick data" affects the way that market practitioners operate in the financial markets by giving practical examples of applications. The topic of high frequency data in the financial markets is very broad and the implications for market practitioners are numerous. We hope that this book will contribute towards a finer knowledge of this very specialized field as well as giving some orientation in terms of future research. Pierre can be contacted by e-mail at: Pierre.lequeux@dial.pipex.com This book has been kindly sponsored by the London International Financial Futures and Options Exchange (LIFFE). To find out more about LIFFE and LIFFE products please complete the tear-out card found to the rear of this book.

About the Author:

Pierre Lequeux is Assistant Vice President at Banque Nationale de Paris, London which he joined in 1987. Pierre joined the BNP Quantitative Research and Trading desk in 1991 as a proprietary dealer after gaining experience on the Treasury and Corporate desk. After heading the Quantitative Research and Trading desk of BNP London where he developed a new active management currency benchmark (FXDX), he is now focusing his attention on developing Foreign Exchange Business for BNP. He is an active member of the editorial board of Derivatives Uses Trading & Regulation as well as the Editor of the AIMA newsletter's currency section. He is Chairman of the AIMA benchmark committee on "Review of Methodology and Utilisation of Alternative Investment Benchmarks" and also a member of the AIMA Currency Advisory Group.

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Descripción John Wiley and Sons Ltd, United Kingdom, 1999. Hardback. Estado de conservación: New. New.. Language: English . Brand New Book. Financial Markets Tick by Tick Insights in Financial Markets Microstructure Edited by Pierre Lequeux Financial Markets Tick by Tick is an in-depth and unique collection of analyses of the behaviour of the financial markets at the micro level. Its publication is particularly timely, given the current period of high volatility in the financial markets. LIFFE are proud to be associated with a text which features so many leading quantitative analysts, risk managers, academics and experts in this highly specialized field. Brian Williamson Executive Chairman, LIFFE The editor has brought together some of the acknowledged experts in the field to contribute on a subject of great timeliness across the finance sector. One could go as far as to say we are experiencing a renaissance in terms of how market players work on a day-to-day basis due to the high intra-day volatility of financial markets and the greater emphasis put on risk management. This book will provide essential reading matter for all those using high frequency data, in both the practitioner and academic markets alike. Nº de ref. de la librería AAH9780471981602

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Descripción John Wiley and Sons Ltd, United Kingdom, 1999. Hardback. Estado de conservación: New. New.. Language: English . Brand New Book. Financial Markets Tick by Tick Insights in Financial Markets Microstructure Edited by Pierre Lequeux Financial Markets Tick by Tick is an in-depth and unique collection of analyses of the behaviour of the financial markets at the micro level. Its publication is particularly timely, given the current period of high volatility in the financial markets. LIFFE are proud to be associated with a text which features so many leading quantitative analysts, risk managers, academics and experts in this highly specialized field. Brian Williamson Executive Chairman, LIFFE The editor has brought together some of the acknowledged experts in the field to contribute on a subject of great timeliness across the finance sector. One could go as far as to say we are experiencing a renaissance in terms of how market players work on a day-to-day basis due to the high intra-day volatility of financial markets and the greater emphasis put on risk management. This book will provide essential reading matter for all those using high frequency data, in both the practitioner and academic markets alike. Nº de ref. de la librería AAH9780471981602

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