Introduction to High-Frequency Finance by Ramazan Gencay
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Introduction to High-Frequency Finance
By Ramazan Gencay

An Introduction to High-Frequency Finance

By (author) See other recent books by Ramazan Gencay See other recent books by Michel Dacorogna See other recent books by Ulrich Muller
Format: Hardback

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Introduction to High-Frequency Finance by Ramazan Gencay

Book Description

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.

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Book Details

ISBN: 9780122796715
ISBN-10: 0122796713
Format: Hardback
(229mm x 152mm x 19mm)
Pages: 383
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 by Ramazan Gencay Introduction to Wavelets and Other Filtering Methods in Finance and Economics, Hardback (October 2001)

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.

» View all books by Ramazan Gencay

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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.

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