Erschienen: 30.04.2001 Abbildung von Gençay / Dacorogna / Muller | An Introduction to High-Frequency Finance | 2001

Gençay / Dacorogna / Muller

An Introduction to High-Frequency Finance

lieferbar, ca. 4 Wochen

ca. 106,94 €

inkl. Mwst.

2001. Buch. 383 S. Hardcover

Academic Press. ISBN 978-0-12-279671-5

Format (B x L): 15,2 x 22,9 cm

In englischer Sprache

Produktbeschreibung

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.

Gesamtwerk

Die 8. Auflage ist wieder auf sechs Bände angelegt. Darin finden sich übersichtlich und in systematischer Gliederung Vertragsmuster aus der Feder erfahrener Experten. Jedem dieser Muster folgen Anmerkungen, mit denen der dem Vertragsentwurf zu Grunde liegende Sachverhalt und die Gründe für die Wahl des spezifischen Formulars erläutert werden.

Autoren

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