An Introduction to High-Frequency Finance

Ulrich Muller

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Langue : anglais

Edité par Elsevier Science Publishing Co Inc, 2001

0122796713 / 9780122796715

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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 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.

N° de réf. du vendeur 00110720655

Titre
An Introduction to High-Frequency Finance
Auteur
Ulrich Muller
Éditeur
Elsevier Science Publishing Co Inc
Année de publication
2001
État de l'article
Good
Reliure
Hardback
Langue
anglais
ISBN à 10 chiffres
0122796713
ISBN à 13 chiffres
9780122796715

World of Books (was SecondSale)

Montgomery, IL, Etats-Unis

Vendeur avec une évaluation de 5 étoiles

Vendeur AbeBooks depuis 20 décembre 2007

Frais d'expédition à l'intérieur de ce pays : Etats-Unis

Article4 à 12 jours ouvrés3 à 6 jours ouvrés
Premier articleEUR 0,00EUR 9,57
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