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Type of bind: Hardcover
Dewey Decimal Number: 330
EAN num: 9780122796715
ISBN number: 0122796713
Label: Academic Press
Manufacturer: Academic Press
Quantity: 1
Page Count: 383
Printing Date: 2001-05
Publishing house: Academic Press
Sale Popularity Level: 62688
Studio: Academic Press
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Editor's Notes and Comments:
Product Description:
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.
User popularity level:
Rated by buyers 
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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.
Rated by buyers 
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Many type of error the book list are frequently occur in FX data.
This book give good guide on how to filter them.
Rated by buyers 
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Michel Dacorogna and the team at the former Olsen & Associates are well-known experts in the field of foreign exchange rate data analysis, and their book provides us with a vast, useful source of information. Unfortunately for students and other beginners, the book is written like a compilation of papers and review articles, the opposite of pedagogical, and with an awful choice of 'computerese' notation (MA(t,n)=sum(EMA(t',k)... etc) that makes Boudhaud-Potters look easy in comparison. More to the point, even their noncomputerese notation is difficult to follow. I hope for a very different second edition written pedagogically for students of this growing and important field. On the positive side, data analyses are performed using logarithmic returns, not price increments. Workers in the field who consult this text will find it helpful.
Rated by buyers -
The book covers a wide range of topics related to high-frequency data in Finance. There is a very detailed approach to tackle a huge amount of data and to deal with its based stylized facts. The book triggers the reader's desire to update his knowledge in the field of finance.
Rated by buyers -
This one of the few books on high frequency finance is a most welcome to the literature. The book is useful not only for people who are new to the subject but also for researchers in the field since it is a most uniform treatment of many topics. From adaptive data cleaning (chapter 4) to intraday and weekly seasonality (chapter 6) and real time trading models (chapter 11), it covers a broad range of topics specific to high frequency financial time series analysis. Chapters on volatility modeling (Chapter 8), forecasting (chapter 9) and correlation and multivariate risk (chapter 10) are enlightening especially for risk exposure analysis and risk management purposes. Finally, the the extensive bibliography is a precious source for those who would like to explore certain topics in detail. I highly recommend it for practitioners as well as researchers in the field.
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