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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 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:
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
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Предметный указатель
Stylized facts, negative first-order autocorrelation of turns 123
Stylized facts, scaling laws 122 147
Stylized facts, scaling laws, apparent scaling 152
Stylized facts, scaling laws, fat tails 142
Stylized facts, scaling laws, interquartile range 150
Stylized facts, scaling laws, limitations 158
Stylized facts, scaling properties 121
Stylized facts, seasonal heteroskedasticity 122 163
Stylized facts, seasonal volatility 163 167
Stylized facts, seasonal volatility, U-shaped 167
Stylized facts, seasonality 121
Subordinated process 176
Swap 23
Swap, FX swap rates 23
Symmetry 132
Synthetic price see Price
Synthetic return see Return
Tail, index 6 132 135
Tail, statistics 6
Taylor expansion 62
Technical analysis 3 14 129
technological change 8
Temporal aggregation 224
Test, ex-ante test 322
Test, likelihood ratio 7
Test, Monte Carlo 274
Test, out-of-sample test 249
Test, ratio test 192
Tick 1 10
Tick, tick frequency 37 46
Tick, tick frequency, log 46
Tick, tick time 124
Tick-by-tick see data
Time horizon 209 210 249 307 309
Time scale 8 176
Time scale, -scale 255
Time scale, -scale see Time scale
Time scale, -time 174 176 188
Time scale, business 174 188 225
Time scale, tick time 124
Time scale, variety of time scales 8
Time stamp 10 15
Trading horizon (trader class) 198
Trading horizon (trader class), day trader 199
Trading horizon (trader class), intraday trader 199
Trading horizon (trader class), long-term trader 199
Trading horizon (trader class), market maker 199
Trading horizon (trader class), short-term trader 199
Trading hours 174 299 327
Trading model 295
Trading model, current price 302
Trading model, current return 300
Trading model, gearing calculator 301
Trading model, market constraints 299
Trading model, performance calculator 297
Trading model, performance measures 304
Trading model, performance measures, 307
Trading model, performance measures, 305
Trading model, performance measures, Sharpe ratio 305
Trading model, portfolios 338
Trading model, real-time trading models 296 310 323
Trading model, real-time trading strategics 297
Trading model, recommendation maker 301
Trading model, simulated trader 297 303
Trading model, simulated trader, bookkeeper 303
Trading model, simulated trader, opportunity catcher 303
Trading model, stop-loss deal 301
Trading model, stop-loss detector 302
Trading model, stop-loss price 302
Trading model, stop-profit algorithm 299
Trading model, stop-profit control 302
Trading model, symmetry properties 315
Trading model, testing procedures 317
Trading model, trading hours see Trading hours
Trading model, transaction costs see Transaction
Transaction clock 176
Transaction costs 170 295 325 331 333
Transaction price 1 15
Transaction volume 46 176
Trust capital see Filter
Uncertainty 154
Undershooting 28
Value-at-Risk (VaR) 6 250
Variable activity 176
Variable direction change indicator 47
Variable price see Price
Variable realized covariance see Covariance
Variable realized skewness see Skewness
Variable return see Return
Variable spread see Spread
Variable tick frequency see Tick
Vehicle currency 19 172
Volatility see Volatility
Volatility, annualized 41
Volatility, coarse volatility 211
Volatility, conditional hcteroskedasticity 198
Volatility, daily volatility 158
Volatility, deterministic volatility 170
Volatility, expected volatility 96
Volatility, fine volatility 211
Volatility, historical 41
Volatility, implied 43
Volatility, model 43
Volatility, patterns 176
Volatility, realized volatility 37 41 197 248
Volatility, realized volatility, bias 154 159 198
Volatility, realized volatility, bias correction 202
Volatility, volatility clustering 122 161 198 228
Volatility, volatility ratio 47 192
Wavelet 193
Wavelet, multiscaling approach 193
Wavelet, signal-to-noise ratio 193
Wavelet, wavelet transform 159
Wavelet, wavelet variance 160
Weekend effect 172
White’s variance-covariance matrix estimation 224
Yield curve 25
Zero-sum game 353
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