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Dacorogna M.M., Gencay R., Mueller U.A. — An Introduction to High-Frequency Finance
Dacorogna M.M., Gencay R., Mueller U.A. — An Introduction to High-Frequency Finance

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Название: An Introduction to High-Frequency Finance

Авторы: Dacorogna M.M., Gencay R., Mueller U.A.

Аннотация:

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.


Язык: en

Рубрика: Экономика и финансы/

Статус предметного указателя: Готов указатель с номерами страниц

ed2k: ed2k stats

Год издания: 2001

Количество страниц: 383

Добавлена в каталог: 19.09.2006

Операции: Положить на полку | Скопировать ссылку для форума | Скопировать ID
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Предметный указатель
Activity, activity variable      see variable
Activity, market activity      175 177 183
Approach, macroeconomic      5
Approach, microstructure      2
Approach, time series      2
Arbitrage, formula      29
Arbitrage, opportunities      28
Arbitrage, riskfree      22
Arbitrage, triangular arbitrage      118 127
arch      see Model
Bank for International Settlements      137
Basis point      23 125 171
BHHH algorithm      223
Bias      44
Bias, bias of realized volatility      see volatility
Bias, market maker bias      154
Bid-ask bounce      124
Black and Scholes      43
Brownian motion      49
Build-up      52 87 223 263
Build-up, error      56
Build-up, time interval      56
Business-time scale      see Time scale
Call for margin      12
Capital management system      296
Cash interest rates      21
Cheapest-to-deliver      29 31
Conditional heteroskedasticity      204
Conditional predictability      215
Convergence      163 320
Convergence, model estimation      223
Correlation      268
Correlation, adjusted correlation measure      272
Correlation, breakdown      270 277
Correlation, covolatility weighting      268 270
Correlation, Epps effect      269 288
Correlation, linear correlation coefficient      272
Correlation, memory      293
Correlation, variations      278
Counterparty default risk      11
Covariance      268
Covariance, cross-covariance      124
Covariance, matrix      116 346
Covariance, realized      50
Credit ratings      28
Credit risk      128
Credit spread      21
Cross rate      16 19
Cross-covariance      124
Cumulative distribution function      173
Daily time series      174
Data cleaning      82
DATA ERROR      85
Data error, decimal error      85
Data error, human error      85
Data error, human error, intentional error      85
Data error, human error, unintentional error      85
Data error, repeated ticks      86
Data error, scaling problem      86
Data error, system error      85
Data error, test      85
Data error, test, early morning test      86
Data error, test, monotonic series      86
Data error, tick copying      86
Data providers      11
Data providers, Bloomberg      11 15
Data providers, Bridge      11 46 186
Data providers, Knight Ridder      15 186
Data providers, Reuters      11 15 46 186
Data providers, Telerate      15 128 186
Data, ask      12 15
Data, bid      12 15
Data, bid-ask price      see Price
Data, bid-ask spread      see Spread
Data, daily      14
Data, data cleaning      see Filter
Data, data filter      see Filter
Data, dependent quote      95
Data, effective price      see Price
Data, effective spread      see Spread
Data, empirical      132
Data, high-frequency      1 10 32 33
Data, historical      16
Data, homogeneous      35
Data, inhomogeneous      35
Data, interest rate      21
Data, intraday      14
Data, irregularly spaced      1
Data, low-frequency      14
Data, quote      1
Data, quoted spread      see Spread
Data, quotes      15
Data, regularly spaced      1
Data, sparse      3
Data, synthetic regular      54
Data, tick      see Tick
Data, tick-by-tick      1 4 6 51
Data, time stamp      15
Data, traded spread      see Spread
Data, transaction price      1 15
Data, weekly      14
Data-generating process      122 328 338 see
Day-of-the-week effect      169
Daylight Saving Time      164 190
Delivery risk      170
Deseasonalized returns      197
Directing process      176
Direction change indicator      47
Direction quality      262
distribution      see Probability distribution
Distribution, nonstable      142
Dow Jones Industrials      8
Dynamic memory      255
Dynamic optimization      246
Dynamic overlay      see Hedging
Economic forecast      129
Economic news announcement      130
Econophysicist      9
Effective news      130
Effective number of observations      50
Efficient frontier      341
Efficient markets      349 354
Electronic Broking Services (EBS)      15
Electronic order-matching system      15
EMA-HARCH      see Model
Epps effect      see Correlation
Equity indices      32
Eurex      24
EURIBOR      25
Euro      24
Eurodeposits      21
Eurofutures contracts      121
Eurolira      see Market Eurofutures
European Monetary System (EMS)      127
Euroyen      see Market Eurofutures
Expiry      12 29 31
Expiry, quarterly expiry      24
Expiry, time-to-expiry      31
Exponential attenuation      293
Exponential decline      209
Exponential memory      282
Exposure      339
Extreme events      6
Extreme risks      144
Extreme value theory      138
Fat-tailedness      132
FIGARCH      see Model
Filter, adaptive method      98
Filter, after-jump algorithm      105
Filter, artificial quote method      118
Filter, ask quote      110
Filter, bid quote      110
Filter, bid-ask quote      110
Filter, bid-ask spread      110
Filter, build-up period      87
Filter, credibility      93 114
Filter, data cleaning      82
Filter, data filter      82
Filter, decimal error      113
Filter, domain error      111
Filter, filter configuration      113
Filter, filter parameters      116
Filter, filtering algorithm      89
Filter, filtering algorithm, credibility      89
Filter, filtering algorithm, full-tick filtering window      89
Filter, filtering algorithm, scalar filtering window      89
Filter, filtering algorithm, univariate filter      89
Filter, filtering hypothesis      113
Filter, filtering hypothesis, error hypothesis      113
Filter, filtering hypothesis, winning hypothesis      113
Filter, forward premiums/discounts      111
Filter, full-quote filtering window      109
Filter, full-quote filtering window, quote splitting      110
Filter, high-quality data      100
Filter, historical mode      115
Filter, historical operation      87
Filter, interest rate      111
Filter, level filter      88 91
Filter, level quote      110
Filter, multivariate filtering      100 116
Filter, multivariate filtering, filtering sparse data      116
Filter, next point interpolation      96
Filter, pair filtering      88 93 98
Filter, price      111
Filter, real-time mode      115
Filter, real-time operation      87
Filter, repeated quotes      100
Filter, scalar filtering window      103
Filter, scalar filtering window, filter test      104
Filter, scalar filtering window, the normal update      104
Filter, scalar quote      110
Filter, scalar window, dismissing scalar quotes      107
Filter, scaling factor      113
Filter, second scalar window      108
Filter, sensitivity analysis      120
Filter, short-term interest-rate futures      111
Filter, spread filter      98
Filter, spread quoting      98
Filter, strong filter      116
Filter, time scale      100
Filter, timing      87
Filter, trust capital      90 104
Filter, univariate filtering      113 116
Filter, validity test      110
Filter, weak (tolerant) filter      116
Finite variance      132
First position      30
Forecasting      248
Forecasting performance      243
Forecasting performance, benchmark comparison      245
Forecasting performance, direction quality      245
Forecasting performance, realized potential      245
Forecasting, forecast accuracy      246 262
Forecasting, forecast effectiveness      264
Forecasting, forecast horizon      264
Forecasting, forecast quality      261
Forecasting, forecasting model      249
Forecasting, multivariate forecasting      249
Forecasting, real-time price forecasting system      250
Forecasting, signal correlation      263
Forecasting, signal correlation, forecasting signal      263
Forecasting, signal correlation, real signal      263
Forecasting, volatility forecast      250
Foreign exchange (FX) market      see Market
Forward discount      23
Forward interest rate      25
Forward points      23
Forward premium      23
Forward rate      22 25
Fractal behavior      8 209
Fractional noise process      207
FXFX page      16
GARCH      see Model
Gaussian distribution      135 155
Genetic algorithm      223 317
Genetic algorithm, adaptive clustering      319
Genetic algorithm, multi-modal function      318
Genetic algorithm, sharing scheme      319
Genetic programming      311
Genetic programming, closure property      312
Genetic programming, function nodes      312
Genetic programming, syntactic restrictions      313
Genetic programming, terminal nodes      312
Genetic programming, tournament selection      315
Geographical components      179
Geometric mean      170
Goodness-of-fit      285
Granularity      171
HARCH      see Model
Heat-wave component      207
Heat-wave effect      209 214 352
Hedge funds      17
Hedging      31
Hedging, currency overlay      343
Hedging, currency risk      209 340
Hedging, dynamic hedging      340 345
Hedging, instruments      24
Hedging, neutral point      343
Hedging, ratio      343
Heterogeneity      44
Heterogeneous market hypothesis      see Hypothesis
Heteroskedasticity      35 162
Heteroskedasticity, autoregressive conditional      265
Hill estimator      145
Holiday, half-day      190
holidays      see Market
Hyperbolic decline      210
Hypothesis, heat wave hypothesis      179
Hypothesis, heterogeneous market hypothesis      209 210 224
Hypothesis, island hypothesis      179
Hypothesis, meteor shower hypothesis      179 206
IGARCH      see Model
Implied interest rate      25
Implied volatility      see Volatility
Index, AMEX Stock Index      283
Index, Down Jones Index      283
Indicator      257
Indicator, antisymmetric      315
Indicator, cycle      310
Indicator, overbought and oversold      310
Indicator, symmetric      315
Indicator, timing      310
Indicator, trend following      310
Indicator, volatile indicator      259
Information set      82 249
Instability      259
Institutional constraints      14 128
Institutional framework      127
Institutional investors      17
Interbank interest rates      21
Interbank money market rates      121
Interpolation      see Method
Intervention      129
Intervention, official      129
Intraday analysis      127
Intraday movements      174
Intraday prices      174
Intraday statistics      163
Intraday volatility      174
Intraweek analysis      177
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