An Introduction to High-Frequency Finance
by Ramazan Gen?ay, Michel Dacorogna, Ulrich A. Muller, Olivier Pictet, Richard Olsen
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Book Summary Information
Author: Michel Dacorogna, Olivier Pictet, Ramazan Gen?ay, Richard Olsen, Ulrich A. MullerEdition: Hardcover
Audio: English (Original Language); English (Unknown); English (Published)
Published: 2001-05
ISBN: 0122796713
Number of pages: 383
Publisher: Academic Press
Book Reviews of An Introduction to High-Frequency Finance
Book Review: modelling financial instruments
Summary: 4 Stars
The book gives an indepth statistical modelling of important financial events, that have time dependency. It is suitable for the financial analyst who wants a semi-empirical approach.
For some quantities, like foreign exchange data, there is a comparison between fully empirical results and various theoretical models. What is investigated are such behaviours like scaling laws, for the absolute returns as a function of frequency. Here, it has been empirically observed that scalings do exist for FX rates.
Whenever possible, the book gives rigorous results, often encapsulated in theorems relating to distributions of independently distributed random variables. The reader should have a background in statistics, with the equivalent of several years of undergraduate courses.
Summary of 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 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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