國立高雄大學圖資館 |

登入

回首頁

An introduction to high-frequency finance

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	An introduction to high-frequency financeMichel M. Dacorogna ... [et al.].
其他題名:	High-frequency finance
其他作者:	Dacorogna, Michel M.
出版者:	San Diego :Academic Press,c2001.
面頁冊數:	1 online resource (xxvi, 383 p.) :ill.
附註:	Description based on print version record.
標題:	FinanceEconometric models.
電子資源:	An electronic book accessible through the World Wide Web; click for information
電子資源:	http://www.loc.gov/catdir/description/els031/2001088178.html
電子資源:	http://www.loc.gov/catdir/toc/els031/2001088178.html
電子資源:	http://www.netlibrary.com/urlapi.asp?action=summary&v=1&bookid=297033
電子資源:	http://public.eblib.com/EBLPublic/PublicView.do?ptiID=452805
ISBN:	9780080499048 (electronic bk.)

An introduction to high-frequency finance
An introduction to high-frequency finance[electronic resource] /High-frequency financeMichel M. Dacorogna ... [et al.]. - San Diego :Academic Press,c2001. - 1 online resource (xxvi, 383 p.) :ill.

Description based on print version record.

Includes bibliographical references (p. 356-375) and index.

Introduction -- Markets and data -- Time series of interest -- Adaptive data cleaning -- Basic stylized facts -- Modeling seasonal volatility -- Realized volatility dynamics -- Volatility processes -- Forecasting risk and return -- Correlation and multivariate risk -- Trading models -- Toward a theory of heterogeneous markets.

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.

ISBN: 9780080499048 (electronic bk.)Subjects--Topical Terms:

187320
Finance
--Econometric models.Index Terms--Genre/Form:

214472
Electronic books.

LC Class. No.: HG106 / .I58 2001eb

Dewey Class. No.: 330.01/51955

An introduction to high-frequency finance
LDR:03219cmm 2200409Ia 4500 001 256578
003 OCoLC
005 20100729101520.0
006 m d
007 cr cnu---unuuu
008 100818s2001 caua ob 001 0 eng d
020 $a 9780080499048 (electronic bk.)
020 $a 008049904X (electronic bk.)
029 1 $a NZ1 $b 12541455
029 1 $a AU@ $b 000043178576
035 $a (OCoLC)213298473
035 $a ocn213298473
040 $a OPELS $b eng $c OPELS $d OPELS $d N $d YDXCP $d OCLCQ $d EBLCP
049 $a TEFA
050 4 $a HG106 $b .I58 2001eb
082 0 4 $a 330.01/51955 $2 22
245 0 3 $a An introduction to high-frequency finance $h [electronic resource] / $c Michel M. Dacorogna ... [et al.].
246 3 0 $a High-frequency finance
260 $a San Diego : $b Academic Press, $c c2001.
300 $a 1 online resource (xxvi, 383 p.) : $b ill.
500 $a Description based on print version record.
504 $a Includes bibliographical references (p. 356-375) and index.
505 0 $a Introduction -- Markets and data -- Time series of interest -- Adaptive data cleaning -- Basic stylized facts -- Modeling seasonal volatility -- Realized volatility dynamics -- Volatility processes -- Forecasting risk and return -- Correlation and multivariate risk -- Trading models -- Toward a theory of heterogeneous markets.
520 $a 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.
650 0 $a Finance $x Econometric models. $3 187320
650 0 $a Time-series analysis. $3 181890
650 4 $a Finance --Econometric models. Time-series analysis. $3 453929
650 6 $a Finances $x Mod�eles �econom�etriques. $3 453925
650 6 $a S�erie chronologique. $3 453926
650 1 7 $a Valutahandel. $2 gtt $3 453927
650 1 7 $a Tijdreeksen. $2 gtt $3 258673
650 1 7 $a Hoge frequenties. $2 gtt $3 453928
655 7 $a Electronic books. $2 local. $3 214472
700 1 $a Dacorogna, Michel M. $3 381134
776 0 8 $i Print version: $t Introduction to high-frequency finance. $d San Diego : Academic Press, c2001 $z 9780122796715 $w (DLC) 2001088178 $w (OCoLC)46502065
856 4 0 $u http://www.sciencedirect.com/science/book/9780122796715 $z An electronic book accessible through the World Wide Web; click for information
856 4 0 $u http://www.loc.gov/catdir/description/els031/2001088178.html
856 4 0 $u http://www.loc.gov/catdir/toc/els031/2001088178.html
856 4 0 $3 NetLibrary $u http://www.netlibrary.com/urlapi.asp?action=summary&v=1&bookid=297033
856 4 0 $z Click here to view book $u http://public.eblib.com/EBLPublic/PublicView.do?ptiID=452805
938 $a YBP Library Services $b YANK $n 3101650
938 $a EBL - Ebook Library $b EBLB $n EBL452805
994 $a C0 $b TEF

筆 0 讀者評論

館藏

1 筆 • 頁數 1 •
1

附件

000000039700

電子館藏

1圖書

電子書

EB HG106 2001

一般使用(Normal)

在架

1 筆 • 頁數 1 •
1

多媒體

多媒體檔案
http://www.sciencedirect.com/science/book/9780122796715
http://www.loc.gov/catdir/description/els031/2001088178.html
http://www.loc.gov/catdir/toc/els031/2001088178.html
http://www.netlibrary.com/urlapi.asp?action=summary&v=1&bookid=297033
http://public.eblib.com/EBLPublic/PublicView.do?ptiID=452805

評論

新增評論分享你的心得

Export

取書館別