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An Introduction to High-Frequency Finance | 
 enlarge | Authors: Ramazan Gencay, Michel Dacorogna, Ulrich A. Muller, Olivier Pictet, Richard Olsen
Publisher: Academic Press
Category: Book
List Price: $108.00
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Rating:  5 reviews
Sales Rank: 58907
Media: Hardcover
Edition: 1
Pages: 383
Number Of Items: 1
Shipping Weight (lbs): 1.5
Dimensions (in): 9.1 x 6.1 x 0.9
ISBN: 0122796713
Dewey Decimal Number: 330
EAN: 9780122796715
ASIN: 0122796713
Publication Date: May 2001
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Product 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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| Customer Reviews:
 modelling financial instruments March 8, 2007
W Boudville (Terra, Sol 3)
3 out of 3 found this review helpful
The book gives an indepth statistical modelling of important financial events, that have time dependency. It is suitable for the financial analyst who wants a semi-empirical approach.
For some quantities, like foreign exchange data, there is a comparison between fully empirical results and various theoretical models. What is investigated are such behaviours like scaling laws, for the absolute returns as a function of frequency. Here, it has been empirically observed that scalings do exist for FX rates.
Whenever possible, the book gives rigorous results, often encapsulated in theorems relating to distributions of independently distributed random variables. The reader should have a background in statistics, with the equivalent of several years of undergraduate courses.
 good analysis on data error. January 16, 2007
Ming Zhong (NJ USA)
3 out of 8 found this review helpful
Many type of error the book list are frequently occur in FX data.
This book give good guide on how to filter them.
 From the experts in the field June 6, 2002
Professor Joseph L. McCauley (Austria+Texas)
28 out of 36 found this review helpful
Michel Dacorogna and the team at the former Olsen & Associates are well-known experts in the field of foreign exchange rate data analysis, and their book provides us with a vast, useful source of information. Unfortunately for students and other beginners, the book is written like a compilation of papers and review articles, the opposite of pedagogical, and with an awful choice of 'computerese' notation (MA(t,n)=sum(EMA(t',k)... etc) that makes Boudhaud-Potters look easy in comparison. More to the point, even their noncomputerese notation is difficult to follow. I hope for a very different second edition written pedagogically for students of this growing and important field. On the positive side, data analyses are performed using logarithmic returns, not price increments. Workers in the field who consult this text will find it helpful.
For the new millenium...that's what we need. July 23, 2001
3 out of 23 found this review helpful
The book covers a wide range of topics related to high-frequency data in Finance. There is a very detailed approach to tackle a huge amount of data and to deal with its based stylized facts. The book triggers the reader's desire to update his knowledge in the field of finance.
More Than An Introduction May 28, 2001
25 out of 29 found this review helpful
This one of the few books on high frequency finance is a most welcome to the literature. The book is useful not only for people who are new to the subject but also for researchers in the field since it is a most uniform treatment of many topics. From adaptive data cleaning (chapter 4) to intraday and weekly seasonality (chapter 6) and real time trading models (chapter 11), it covers a broad range of topics specific to high frequency financial time series analysis. Chapters on volatility modeling (Chapter 8), forecasting (chapter 9) and correlation and multivariate risk (chapter 10) are enlightening especially for risk exposure analysis and risk management purposes. Finally, the the extensive bibliography is a precious source for those who would like to explore certain topics in detail. I highly recommend it for practitioners as well as researchers in the field.
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