| 紀錄類型: |
書目-語言資料,印刷品
: Monograph/item
|
| 杜威分類號: |
330.01/51955 |
| 書名/作者: |
An introduction to high-frequency finance/ Michel M. Dacorogna ... [et al.]. |
| 其他題名: |
High-frequency finance |
| 其他作者: |
Dacorogna, Michel M. |
| 出版者: |
San Diego : : Academic Press,, c2001. |
| 面頁冊數: |
1 online resource (xxvi, 383 p.) : : ill. |
| 附註: |
Description based on print version record. |
| 標題: |
Finance - Econometric models. |
| 標題: |
Time-series analysis. |
| 標題: |
Finances - Mod�eles �econom�etriques. |
| 標題: |
S�erie chronologique. |
| 標題: |
Valutahandel. |
| 標題: |
Tijdreeksen. |
| 標題: |
Hoge frequenties. |
| 標題: |
Finance --Econometric models. Time-series analysis. |
| ISBN: |
9780080499048 (electronic bk.) |
| ISBN: |
008049904X (electronic bk.) |
| 書目註: |
Includes bibliographical references (p. 356-375) and index. |
| 內容註: |
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. |
| 摘要、提要註: |
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. |
| 電子資源: |
An electronic book accessible through the World Wide Web; click for information |
| 電子資源: |
http://www.loc.gov/catdir/description/els031/2001088178.html |
| 電子資源: |
http://www.loc.gov/catdir/toc/els031/2001088178.html |
| 電子資源: |
http://www.netlibrary.com/urlapi.asp?action=summary&v=1&bookid=297033 |
| 電子資源: |
Click here to view book |