An Introduction to High-Frequency Finance
An Introduction to High-Frequency Finance

An Introduction to High-Frequency Finance
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Academic Press

UPC:
978012279671

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$94.95

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An Introduction to High-Frequency Finance Specs:
Product NameAn Introduction to High-Frequency Finance
ManufacturerAcademic Press
Product Number MPN0122796713
Retail Price $94.95
EAN-1409780122796715
UPC978012279671
Specifications 
TitleAn Introduction to High-Frequency Finance
ISBN0122796713
Author(s)Michel M. Dacorogna, Ramazan Gençay, Ulrich A. Müller, Richard B. Olsen, Olivier V. Pictet, Ramazan Gençay, Ulrich A. Müller
Release DateMay, 2001, 2001-05
FormatHardcover
Num of Pages383
Num. of Items1
EAN9780122796715
Deal first added on:20-January-2004

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Business / Economics / Finance Business & Economics mathematics finance Economics - General Investments & Securities - General Accounting - General Probability & Statistics - General Econometric models Econometrics Time-series analysis
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Latest 6 Reviews
Here is what people are saying about the An Introduction to High-Frequency Finance
3 Star Rating  "FX Only!"2009-10-24
- Reviewed By User: AXSWGRIUYSVNM
The tools described in this book are actually in mid frequency, not exactly high frequency. And they are specific for FX. If you are looking for truly high frequency strategies for equities, this book is not for you.
 
4 Star Rating  "modelling financial instruments"2007-03-08
- Reviewed By southlandplace
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.
 
5 Star Rating  "good analysis on data error."2007-01-16
- Reviewed By zhongming3
Many type of error the book list are frequently occur in FX data.
This book give good guide on how to filter them.
 
3 Star Rating  "From the experts in the field"2002-06-06
- Reviewed By derwanderer
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.
 
5 Star Rating  "For the new millenium...that's what we need."2001-07-23
- Reviewed By Anonymous
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.
 
5 Star Rating  "More Than An Introduction"2001-05-28
- Reviewed By Anonymous
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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