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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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Предметный указатель
Intraweek statistics 163 Intraweek volatility 174 Intrinsic time see Time scale Investment assets 339 J.P. Morgan 6 kernels 52 Kronecker symbol 260 kurtosis 134 205 Kurtosis, operator 71 Lagged correlation 211 Lead-lag 20 Lead-lag correlation 211 Leptokurticity 173 Libor 25 LIFFE 24 31 Likelihood, likelihood-ratio test 230 Likelihood, log-likelihood 222 Likelihood, maximum likelihood 223 330 Ljung-Box 334 Long memory 8 198 207 Long-term regime 259 Mapping function 261 Mark-to-markct 305 Market activity 175 177 183 Market efficiency 14 45 156 249 see Market expectation 130 Market makers 19 Market microstructure effect 197 201 Market risk 158 Market, Asian stock 52 Market, bond 28 Market, centralized 11 Market, decentralized (OTC) 11 Market, derivative 11 Market, equity 32 Market, Eurofutures 169 Market, Eurofutures, Eurodollar 169 Market, Eurofutures, Eurolira 24 169 Market, Eurofutures, Euromark 169 Market, Eurofutures, Euroyen 24 Market, Eurofutures, Short Sterling 169 Market, foreign exchange (FX) 11 13 Market, foreign exchange (FX), FX forward 15 Market, foreign exchange (FX), FX forwards 14 Market, foreign exchange (FX), FX futures 14 Market, foreign exchange (FX), FXspot 13 15 Market, futures 11 12 Market, futures, bond futures 28 Market, futures, commodity futures 31 Market, futures, Eurofutures 24 Market, futures, individual equity futures 33 Market, geographical market 214 Market, German bond market 131 Market, heterogeneous market 210 Market, holidays 190 Market, homogeneous market 210 Market, interest rate futures 23 25 Market, liquid 1 Market, market microstructure 5 Market, opening hours 176 Market, option 11 13 33 Market, over-the-counter (OTC) 2 12 19 21 24 Market, over-the-counter interest rate 23 Market, participants 10 Market, participants, anonymity 10 Market, spot 11 12 Market, spot interest rate 24 Market, U.S. treasury bond market 131 Market-dependent persistence 206 Markov chain 233 maturity 22 Maximum likelihood see Likelihood Mean absolute error (MAE) 262 Mean square error (MSE) 262 Mean squared prediction errors (MSPE) 295 Measure, asymmetric effective returns 307 Measure, reward-to-variability ratio 305 Measure, risk-sensitive performance 304 Measure, symmetric effective returns 305 Method, distribution free measure 262 Method, interpolation 37 Method, interpolation, linear 54 Method, interpolation, previous-tick 37 Method, nonparametric method 262 Method, overlapping 44 Method, panel regression 47 Method, polynomial 25 Method, polynomial interpolation 26 Microstructure 2 5 14 Middle European Time (MET) 326 Middle price 122 Misspecification 222 Mixture of distributions 131 Model, ARCH 221 Model, capital asset pricing model (CAPM) 349 Model, EMA-HARCH 237 254 Model, FIGARCH 221 231 Model, GARCH 44 146 221 222 224 328 Model, GARCH, AR-GARCH 328 Model, GARCH, diffusion process 224 Model, GARCH, estimation problems 226 Model, GARCH, jump process 224 Model, GARCH, temporal aggregation 224 Model, HARCH 146 231 335 Model, HARCH, AR-HARCh 328 Model, HARCH, HARCH components 236 Model, IGARCH 251 Model, in-sample optimization 263 Model, intraweek market activity 179 Model, lagged adjustment model 124 Model, macroeconomic 5 Model, market activity 175 183 Model, market maker bias 154 Model, market microstructure 14 Model, model initialization 263 Model, model structure 256 Model, moving average model 295 Model, multi-horizon 263 Model, multicascade model 148 Model, multifractal model 148 Model, multivariate volatility model 250 Model, nonparametric conditional mean models 295 Model, Normal Inverse Gaussian (NIG) Levy process 151 Model, out-of-sample test 263 Model, purchasing power parity model 249 Model, QARCH 232 Model, random walk 54 147 150 152 253 331 Model, risk premia 249 Model, structural model 249 Model, time series model 249 Model, trading model 295 Model, volatility 6 moment 55 132 135 137 Moment, finite second moment 142 Moment, nonconverging fourth moment 142 Momenta 257 Monte Carlo simulations 145 Multifractal model 8 Multifractality 148 Multiple assets 278 Near-singularity 259 Neutral point see Hedging Noise trader 349 Nonstable distribution 142 Notional deposit 26 Official intervention 129 Olsen & Associates (O&A) 4 11 18 Open position (mark-to-market) 305 Opening hours see Trading hours Operator 35 Operator, average 55 Operator, backward shift 77 Operator, causal 54 Operator, comparison 314 Operator, complex moving average 75 Operator, conditional 314 Operator, convolution 51 Operator, crossover 312 Operator, derivative 55 66 Operator, difference 78 Operator, differential 64 Operator, exponential moving average (EMA) 59 Operator, exponential moving average (EMA), iterated 59 Operator, homogeneous 58 Operator, linear operator and kernels 54 Operator, logic 314 Operator, microscopic 36 76 Operator, moving average (MA) 61 Operator, moving correlation 71 Operator, moving kurtosis 71 Operator, moving norm 63 Operator, moving skewness 71 Operator, moving standard deviation 63 Operator, moving variance 63 Operator, mutation 312 Operator, nonlinear 58 Operator, regular time series 77 Operator, tick frequency 79 Operator, time translation 77 Operator, time-translation invariant 54 Operator, volatility 68 79 Operator, windowed Fourier transform 74 Optimization, robust optimization 317 Option pricing 3 Out-of-sample 222 Outright forward rate 22 Outright forward transactions 23 Overlap, method 44 Overlap, overlap-free 50 Overlap, overlapping returns see Return Overshooting 27 Performance index 32 periodicity 160 Permanence hypothesis 5 Perpetuum mobile 353 Physical delivery 31 Portfolio, pricing 277 Portfolio, trading model portfolio 338 Post ex-ante testing 264 Prefiltering technique 249 Price 37 38 Price, bid-ask 17 Price, effective price 40 125 Price, middle 122 Price, price formation 3 123 Price, synthetic 275 Price, transaction 1 15 Probability density function (pdf) 54 probability distribution 54 132 Process see Model Psychological time 176 Quadratic programming 346 quote see Data Random walk see Model Rational expectations 210 Real market value 210 Realized volatility see Volatility Regime shifts 8 Relaxation time 352 RETURN 37 40 Return, deseasonalized 197 Return, mean 48 Return, nonoverlapping 50 Return, overlapping 47 Return, synthetic 275 Reuters 1 21 Reuters Dealing 2000 15 Reuters Instrument Code (RIC) 15 Risk management 3 14 32 277 Risk profiles 14 Risk-sensitive measures 305 RiskMetrics 251 RiskMetrics, methodology 251 RiskMetrics, volatility 253 Robustness 58 Rolling over 13 Rollover scheme 29 Root mean squared error (RMSE) 186 Safety margins 171 Scaling laws see Stylized facts Scaling laws, empirical 177 Scaling properties 8 Scaling properties, significance 9 Seasonality 35 44 175 Seasonality, daily seasonality 204 Seasonality, geographical seasonality 181 Seasonality, ordinary seasonality 214 Seasonality, seasonal heteroskedasticity 175 265 Seasonality, seasonal volatility 174 Seasonality, weekly seasonality 204 Second positron 30 Segmentation 128 Serial expiry contracts 24 Settlement rules 12 Sharpe ratio 305 Short memory 207 Signal processing 338 Singapore International Monetary Exchange 24 skewness 173 Skewness, operator 71 Skewness, realized 46 Slippage 32 Speculative bubbles 349 Spot, interest rates 21 Spot, market see Market Spot, trading 11 Spot, transaction 23 Spread, average 46 172 Spread, bid-ask 17 19 23 40 45 91 124 125 154 170 354 Spread, credit spread 21 Spread, effective 126 Spread, log 45 Spread, quoted 171 Spread, relative 45 Spread, traded 171 Spurious persistence 194 Stability 143 Standard limit theory 153 Stochastic process see Model Stock indices 32 Stock splits 32 Stop-loss deal 301 Stop-profit algorithm 299 Stringent filter 302 Structural change 259 Stylized facts 2 14 121 127 Stylized facts, autocorrelation of return 121 Stylized facts, autocorrelation study 161 Stylized facts, bid-ask bounce 124 Stylized facts, bid-ask spread 170 Stylized facts, daily and weekly patterns 122 Stylized facts, deterministic volatility 169 Stylized facts, discreteness 125 Stylized facts, distribution of returns 122 Stylized facts, distribution of returns, fat-tailed 122 Stylized facts, distributional issues 121 Stylized facts, distributional properties 132 Stylized facts, distributional properties, bounded distributions 135 Stylized facts, distributional properties, fat-tailed distributions 135 Stylized facts, distributional properties, thin-tailed distributions 135
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