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Dacorogna M.M., Gencay R., Mueller U.A. — An Introduction to High-Frequency Finance
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Название: An Introduction to High-Frequency FinanceАвторы: 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.
Язык: Рубрика: Экономика и финансы /Статус предметного указателя: Готов указатель с номерами страниц ed2k: ed2k stats Год издания: 2001Количество страниц: 383Добавлена в каталог: 19.09.2006Операции: Положить на полку |
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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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