An Introduction to High-Frequency Finance - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook An Introduction to High-Frequency Finance write by Ramazan Gençay. This book was released on 2001-05-29. An Introduction to High-Frequency Finance available in PDF, EPUB and Kindle. 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
An Introduction to High-frequency Finance - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook An Introduction to High-frequency Finance write by Michel M. Dacorogna. This book was released on 2001. An Introduction to High-frequency Finance available in PDF, EPUB and Kindle. Provides a framework for the analysis, modelling, and inference of high-frequency financial time series. Emphasizing foreign exchange markets, currency, interest rate and bond futures markets, it investigates price formation processes and reviews systematic trading models for financial assets.
High-Frequency Trading
High-Frequency Trading - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook High-Frequency Trading write by Irene Aldridge. This book was released on 2009-12-22. High-Frequency Trading available in PDF, EPUB and Kindle. 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 continuing proliferation of computer power and algorithms. These developments have created a new investment discipline called high-frequency trading. This book covers all aspects of high-frequency trading, from the business case and formulation of ideas through the development of trading systems to application of capital and subsequent performance evaluation. It also includes numerous quantitative trading strategies, with market microstructure, event arbitrage, and deviations arbitrage discussed in great detail. Contains the tools and techniques needed for building a high-frequency trading system Details the post-trade analysis process, including key performance benchmarks and trade quality evaluation Written by well-known industry professional Irene Aldridge Interest in high-frequency trading has exploded over the past year. This book has what you need to gain a better understanding of how it works and what it takes to apply this approach to your trading endeavors.
Algorithmic and High-Frequency Trading
Algorithmic and High-Frequency Trading - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Algorithmic and High-Frequency Trading write by Álvaro Cartea. This book was released on 2015-08-06. Algorithmic and High-Frequency Trading available in PDF, EPUB and Kindle. The design of trading algorithms requires sophisticated mathematical models backed up by reliable data. In this textbook, the authors develop models for algorithmic trading in contexts such as executing large orders, market making, targeting VWAP and other schedules, trading pairs or collection of assets, and executing in dark pools. These models are grounded on how the exchanges work, whether the algorithm is trading with better informed traders (adverse selection), and the type of information available to market participants at both ultra-high and low frequency. Algorithmic and High-Frequency Trading is the first book that combines sophisticated mathematical modelling, empirical facts and financial economics, taking the reader from basic ideas to cutting-edge research and practice. If you need to understand how modern electronic markets operate, what information provides a trading edge, and how other market participants may affect the profitability of the algorithms, then this is the book for you.
High-Frequency Financial Econometrics
High-Frequency Financial Econometrics - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook High-Frequency Financial Econometrics write by Yacine Aït-Sahalia. This book was released on 2014-07-21. High-Frequency Financial Econometrics available in PDF, EPUB and Kindle. A comprehensive introduction to the statistical and econometric methods for analyzing high-frequency financial data High-frequency trading is an algorithm-based computerized trading practice that allows firms to trade stocks in milliseconds. Over the last fifteen years, the use of statistical and econometric methods for analyzing high-frequency financial data has grown exponentially. This growth has been driven by the increasing availability of such data, the technological advancements that make high-frequency trading strategies possible, and the need of practitioners to analyze these data. This comprehensive book introduces readers to these emerging methods and tools of analysis. Yacine Aït-Sahalia and Jean Jacod cover the mathematical foundations of stochastic processes, describe the primary characteristics of high-frequency financial data, and present the asymptotic concepts that their analysis relies on. Aït-Sahalia and Jacod also deal with estimation of the volatility portion of the model, including methods that are robust to market microstructure noise, and address estimation and testing questions involving the jump part of the model. As they demonstrate, the practical importance and relevance of jumps in financial data are universally recognized, but only recently have econometric methods become available to rigorously analyze jump processes. Aït-Sahalia and Jacod approach high-frequency econometrics with a distinct focus on the financial side of matters while maintaining technical rigor, which makes this book invaluable to researchers and practitioners alike.
