An Introduction to High-Frequency Finance
Language: en
Pages: 411
Authors: Ramazan Gençay
Categories: Business & Economics
Type: BOOK - Published: 2001-05-29 - Publisher: Elsevier

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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 suc
An Introduction to High-frequency Finance
Language: en
Pages: 383
Authors: Michel M. Dacorogna
Categories: Business & Economics
Type: BOOK - Published: 2001 - Publisher:

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Provides a framework for the analysis, modelling, and inference of high-frequency financial time series. Emphasizing foreign exchange markets, currency, interes
High-Frequency Trading
Language: en
Pages: 258
Authors: Irene Aldridge
Categories: Business & Economics
Type: BOOK - Published: 2009-12-22 - Publisher: John Wiley and Sons

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A hands-on guide to the fast and ever-changing world of high-frequency, algorithmic trading Financial markets are undergoing rapid innovation due to the continu
High-Frequency Financial Econometrics
Language: en
Pages: 683
Authors: Yacine Aït-Sahalia
Categories: Business & Economics
Type: BOOK - Published: 2014-07-21 - Publisher: Princeton University Press

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A comprehensive introduction to the statistical and econometric methods for analyzing high-frequency financial data High-frequency trading is an algorithm-based
Algorithmic and High-Frequency Trading
Language: en
Pages: 360
Authors: Álvaro Cartea
Categories: Mathematics
Type: BOOK - Published: 2015-08-06 - Publisher: Cambridge University Press

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The design of trading algorithms requires sophisticated mathematical models backed up by reliable data. In this textbook, the authors develop models for algorit