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e-book

An Introduction to High-Frequency Finance (Cód: 3026008)

Muller, Ulrich A.

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An Introduction to High-Frequency Finance

R$367,20

Descrição

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.

Características

Peso 0.00 Kg
Produto sob encomenda Sim
Marca ELSEVIER S&T
Número de Páginas 383 (aproximado)
Idioma 337
Acabamento e-book
Formato Livro Digital Epub
Gratuito Não
Proteção Drm Sim
Tamanho do Arquivo 9442
Início da Venda 22/11/2012
Código do Formato Epub
Cód. Barras 9780080499048
Ano da edição 82009
AutorMuller, Ulrich A.