An Introduction to High-Frequency Finance
Authors: Gençay Ramazan, Dacorogna Michel, Muller Ulrich A., Pictet Olivier, Olsen RichardLanguage: Anglais
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382 p. · 15.2x22.9 cm · Hardback
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.
Markets and Data.
Time Series of Interest.
Adaptive Data Cleaning.
Basic Stylized Facts.
Modeling Seasonal Volatility.
Realized Volatility Dynamics.
Forecasting Risk and Return.
Correlation and Multivariate Risk.
Toward a Theory of Heterogeneous Markets.
—Paul Embrechts, Professor of Mathematics, ETH Zurich
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