An Introduction to High-Frequency Finance 2024 pdf epub mobi 电子书

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发表于2024-11-25

An Introduction to High-Frequency Finance 2024 pdf epub mobi 电子书

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出版者:Academic Press

作者:Ramazan Gençay

出品人:

页数:383

译者:

出版时间:2001-5-14

价格:USD 132.00

装帧:Hardcover

isbn号码:9780122796715

丛书系列:

图书标签: 金融高频交易 Microstructure 金融数学 quant 量化投资统计学量化

An Introduction to High-Frequency Finance 2024 pdf epub mobi 电子书图书描述

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.

An Introduction to High-Frequency Finance 2024 pdf epub mobi 电子书

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