An Introduction to High-Frequency Finance Book

	List of Figures
	List of Tables
	Preface
	Acknowledgments
1	Introduction
1.1	Markets: The Source of High-Frequency Data	1
1.2	Methodology of High-Frequency Research	2
1.3	Data Frequency and Market Information	3
1.4	New Levels of Significance	6
1.5	Interrelating Different Time Scales	8
2	Markets and Data
2.1	General Remarks on Markets and Data Types	10
2.2	Foreign Exchange Markets	13
2.3	Over-the Counter Interest Rate Markets	20
2.4	Interest Rate Futures	23
2.5	Bond Futures Markets	28
2.6	Commodity Futures	31
2.7	Equity Markets	32
3	Time Series of Interest
3.1	Time Series and Operators	34
3.2	Variables in Homogeneous Time Series	37
3.3	Convolution Operators	51
3.4	Microscopic Operators	76
4	Adaptive Data Cleaning
4.1	Introduction: Using a Filter to Clean the Data	82
4.2	Data and Data Errors	84
4.3	General Overview of the Filter	86
4.4	Basic Filtering Elements and Operations	88
4.5	The Scalar Filtering Window	103
4.6	The Full-Quote Filtering Window	109
4.7	Univariate Filtering	113
4.8	Special Filter Elements	116
4.9	Behavior and Effects of the Data Filter	118
5	Basic Stylized Facts
5.1	Introduction	121
5.2	Price Formation Process	123
5.3	Institutional Structure and Exogeneous Impacts	127
5.4	Distributional Properties of Returns	132
5.5	Scaling Laws	147
5.6	Autocorrelation and Seasonality	160
6	Modeling Seasonal Volatility
6.1	Introduction	174
6.2	A Model of Market Activity	175
6.3	A New Business Time Scale ([theta]-Scale)	188
6.4	Filtering Intraday Seasonalities with Wavelets	193
7	Realized Volatility Dynamics
7.1	Introduction	197
7.2	The Bias of Realized Volatility and Its Correction	198
7.3	Conditional Heteroskedasticity	204
7.4	The Heterogeneous Market Hypothesis	209
8	Volatility Processes
8.1	Introduction	219
8.2	Intraday Volatility and GARCH Models	221
8.3	Modeling Heterogeneous Volatilities	231
8.4	Forecasting Short-Term Volatility	243
9	Forecasting Risk and Return
9.1	Introduction to Forecasting	248
9.2	Forecasting Volatility for Value-at-Risk	250
9.3	Forecasting Returns over Multiple Time Horizons	255
9.4	Measuring Forecast Quality	261
10	Correlation and Multivariate Risk
10.1	Introduction	268
10.2	Estimating the Dependence of Financial Time Series	269
10.3	Covolatility Weighting	270
10.4	Stability of Return Correlations	277
10.5	Correlation Behavior at High Data Frequencies	287
10.6	Conclusions	293
11	Trading Models
11.1	Introduction	295
11.2	Real-Time Trading Strategies	297
11.3	Risk Sensitive Performance Measures	304
11.4	Trading Model Algorithms	309
11.5	Optimization and Testing Procedures	317
11.6	Statistical Study of a Trading Model	323
11.7	Trading Model Portfolios	338
11.8	Currency Risk Hedging	340
12	Toward a Theory of Heterogeneous Markets
12.1	Definition of Efficient Markets	349
12.2	Dynamic Markets and Relativistic Effects	350
12.3	Impact of New Technology	352
12.4	Zero-Sum Game or Perpetuum Mobile?	353
12.5	Discussion of the Conventional Definition	354
12.6	An Improved Definition of "Efficient Markets"	354
	Bibliography	356
	Index	376