An Introduction to High-Frequency Finance

by Richard Olsen, Olivier V. Pictet, Ulrich A Muller, et al.

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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 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...

Format:Hardcover

Language:English

ISBN:0122796713

ISBN13:9780122796715

Release Date:May 2001

Publisher:Academic Press

Length:416 Pages

Weight:1.25 lbs.

Dimensions:0.9" x 6.2" x 9.3"

Related Subjects

Accounting Accounting & Finance Business Business & Investing Business Mathematics Econometrics Economics Finance Introduction Investing

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An Introduction to High-Frequency Finance

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