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Book Categories |
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 |
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