An Introduction to High-Frequency Finance
Normal Price: $148.00
Your Price: $133.20 AUD, inc. GST
Shipping: $7.95 per order
You Save: $14.80! (10% off normal price)
Plus...earn $6.66 in Boomerang Bucks
Availability: Available to Backorder, No Due Date for Supply
Introduction to High-Frequency Finance by Ramazan Gencay
Book DescriptionLiquid 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.
Buy Introduction to High-Frequency Finance book by Ramazan Gencay from Australia's Online Bookstore, Boomerang Books.
Book DetailsISBN: 9780122796715
(229mm x 152mm x 19mm)
Imprint: Academic Press Inc
Publisher: Elsevier Science Publishing Co Inc
Publish Date: 29-May-2001
Country of Publication: United States
Books By Author Ramazan Gencay
Introduction to Wavelets and Other Filtering Methods in Finance and Economics, Hardback (October 2001)» View all books by Ramazan Gencay
Presents a unified view of filtering techniques with a focus on wavelet analysis in finance and economics. This title emphasizes the methods and explanations of the theory that underlies them. It also concentrates on exactly what wavelet analysis (and filtering methods in general) can reveal about a time series.
» Have you read this book? We'd like to know what you think about it - write a review about Introduction to High-Frequency Finance book by Ramazan Gencay and you'll earn 50c in Boomerang Bucks loyalty dollars (you must be a member - it's free to sign up!)
Author Biography - Ramazan Gencay
Ramazan Gen ay is a professor in the economics department at Simon Fraser University. His areas of specialization are financial econometrics, nonlinear time series, nonparametric econometrics, and chaotic dynamics. His publications appear in finance, economics, statistics and physics journals. His work has appeared in the Journal of the American Statistical Association, Journal of Econometrics, and Physics Letters A.
Bestselling Books: Our Current Bestsellers | Australia's Hottest 1000 Books | Bestselling Fiction | Bestselling Crime Mysteries and Thrillers | Bestselling Non Fiction Books | Bestselling Sport Books | Bestselling Gardening and Handicrafts Books | Bestselling Biographies | Bestselling Food and Drink | Bestselling History | Bestselling Travel Books | Bestselling School Textbooks & Study Guides | Bestselling Children's General Non-Fiction | Bestselling Young Adult Fiction | Bestselling Children's Fiction | Bestselling Picture Books | Top 100 US Bestsellers
Phone: 1300 36 33 32 (9am-2pm Mon-Fri AEST) - International: +61 2 9960 7998 - Online Form
Address: Boomerang Books, 878 Military Road, Mosman Junction, NSW, 2088
© 2003-2016. All Rights Reserved. Eclipse Commerce Pty Ltd - ACN: 122 110 687 - ABN: 49 122 110 687
For every $20 you spend on books, you will receive $1 in Boomerang Bucks loyalty dollars. You can use your Boomerang Bucks as a credit towards a future purchase from Boomerang Books. Note that you must be a Member (free to sign up) and that conditions do apply.