The Resource An introduction to high-frequency finance, Michel M. Dacorogna [and others], (electronic resource/)

An introduction to high-frequency finance, Michel M. Dacorogna [and others], (electronic resource/)

Label
An introduction to high-frequency finance
Title
An introduction to high-frequency finance
Statement of responsibility
Michel M. Dacorogna [and others]
Title variation
High-frequency finance
Contributor
Subject
Genre
Language
eng
Summary
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
Cataloging source
OPELS
Dewey number
330.01/51955
Illustrations
illustrations
Index
index present
LC call number
HG106
LC item number
.I58 2001eb
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
Label
An introduction to high-frequency finance, Michel M. Dacorogna [and others], (electronic resource/)
Link
http://library.quincycollege.edu:2048/login?url=http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=297033
Instantiates
Publication
Antecedent source
unknown
Bibliography note
Includes bibliographical references (pages 356-375) and index
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
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
Control code
ocn213298473
Dimensions
unknown
Extent
1 online resource (access may be restricted)
File format
unknown
Form of item
online
Governing access note
Access restricted to subscribing institution
Level of compression
unknown
Media category
computer
Media MARC source
rdamedia
Media type code
c
Note
  • eBooks on EBSCOhost
  • eBooks on EBSCOhost
Quality assurance targets
not applicable
Reformatting quality
unknown
Sound
unknown sound
Specific material designation
remote
Stock number
CL0500000179
Label
An introduction to high-frequency finance, Michel M. Dacorogna [and others], (electronic resource/)
Link
http://library.quincycollege.edu:2048/login?url=http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=297033
Publication
Antecedent source
unknown
Bibliography note
Includes bibliographical references (pages 356-375) and index
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
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
Control code
ocn213298473
Dimensions
unknown
Extent
1 online resource (access may be restricted)
File format
unknown
Form of item
online
Governing access note
Access restricted to subscribing institution
Level of compression
unknown
Media category
computer
Media MARC source
rdamedia
Media type code
c
Note
  • eBooks on EBSCOhost
  • eBooks on EBSCOhost
Quality assurance targets
not applicable
Reformatting quality
unknown
Sound
unknown sound
Specific material designation
remote
Stock number
CL0500000179

Library Locations

    • Massasoit Community College Brockton CampusBorrow it
      1 Massasoit Blvd., Brockton, MA, 02301, US
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    • Nease Library - Eastern Nazarene College Borrow it
      23 East Elm Ave. , Quincy, MA, 02170, US
      42.271089 -71.012428
    • Quincy College Library Borrow it
      1250 Hancock St. 3rd Fl Rm#347, Quincy, MA, 02169, US
      42.2513682 -70.9962875
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