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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
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, $\tau$-scale      255
Time scale, $\vartheta$-scale      see Time scale
Time scale, $\vartheta$-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, $R_{eff}$      307
Trading model, performance measures, $X_{eff}$      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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